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With the introduction of the variational autoencoder (VAE), probabilistic latent variable models have received renewed attention as powerful generative models. However, their performance in terms of test likelihood and quality of generated…

The paper introduces an interactive machine learning mechanism to process the measurements of an uncertain, nonlinear dynamic process and hence advise an actuation strategy in real-time. For concept demonstration, a trajectory-following…

Integrating non-probability samples into finite-population inference typically requires modeling unknown selection probabilities under a missing-at-random (MAR) assumption that is difficult to verify. We propose a design-based alternative…

We present a novel introspective variational autoencoder (IntroVAE) model for synthesizing high-resolution photographic images. IntroVAE is capable of self-evaluating the quality of its generated samples and improving itself accordingly.…

This work introduces a novel, simple, and flexible method to quantify irreversibility in generic high-dimensional time series based on the well-known mapping to a binary classification problem. Our approach utilizes gradient boosting for…

Independent component analysis (ICA) is a fundamental statistical tool used to reveal hidden generative processes from observed data. However, traditional ICA approaches struggle with the rotational invariance inherent in Gaussian…

Observability is a fundamental structural property of any dynamic system and describes the possibility of reconstructing the state that characterizes the system from observing its inputs and outputs. Despite the huge effort made to study…

This paper proposes a straightforward algorithm to carry out inference in large time-varying parameter vector autoregressions (TVP-VARs) with mixture innovation components for each coefficient in the system. We significantly decrease the…

In this paper we propose a solution to the problem of parameter estimation of nonlinearly parameterized regressions--continuous or discrete time--and apply it for system identification and adaptive control. We restrict our attention to…

We propose novel quadratic performance tests for linear discrete-time impulsive systems based on viewing these systems as feedback interconnections of some non-impulsive linear system with an impulsive operator. In order to systematically…

In the study of complex physical and physiological systems represented by multivariate time series, an issue of great interest is the description of the system dynamics over a range of different temporal scales. While information-theoretic…

We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First,…

The aim of this paper is to develop estimation and inference methods for the drift parameters of multivariate L\'evy-driven continuous-time autoregressive processes of order $p\in\mathbb{N}$. Starting from a continuous-time observation of…

The identification of the lag length for vector autoregressive models by mean of Akaike Information Criterion (AIC), Partial Autoregressive and Correlation Matrices (PAM and PCM hereafter) is studied in the framework of processes with time…

This work provides a framework for nonlinear model-free control of systems with unknown input-output dynamics, but outputs that can be controlled by the inputs. This framework leads to real-time control of the system such that a feasible…

We present a general system identification procedure capable of estimating of a broad spectrum of state-space dynamical models, including linear time-invariant (LTI), linear parameter-varying} (LPV), and nonlinear (NL) dynamics, along with…

Missing data is a ubiquitous challenge in data analysis, often leading to biased and inaccurate results. Traditional imputation methods usually assume that the missingness mechanism is missing-at-random (MAR), where the missingness is…

This paper analyzes identifiability properties of structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. It is well known, that SVARMA models driven by Gaussian errors are not…

In this paper an autoregressive time series model with conditional heteroscedasticity is considered, where both conditional mean and conditional variance function are modeled nonparametrically. A test for the model assumption of…

The reduced-rank vector autoregressive (VAR) model can be interpreted as a supervised factor model, where two factor modelings are simultaneously applied to response and predictor spaces. This article introduces a new model, called vector…