Related papers: Time-varying auto-regressive models for count time…
Gaussian time-series models are often specified through their spectral density. Such models present several computational challenges, in particular because of the non-sparse nature of the covariance matrix. We derive a fast approximation of…
The acute phase of the Covid-19 pandemic has made apparent the need for decision support based upon accurate epidemic modeling. This process is substantially hampered by under-reporting of cases and related data incompleteness issues. In…
We study the problem of modeling and inference for spatio-temporal count processes. Our approach uses parsimonious parameterisations of multivariate autoregressive count time series models, including possible regression on covariates. We…
A study of changes in the transmission of a disease, in particular, a new disease like COVID-19, requires very flexible models which can capture, among others, the effects of non-pharmacological and pharmacological measures, changes in…
The advantages of sequential Monte Carlo (SMC) are exploited to develop parameter estimation and model selection methods for GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) style models. It provides an alternative method…
We develop a Bayesian median autoregressive (BayesMAR) model for time series forecasting. The proposed method utilizes time-varying quantile regression at the median, favorably inheriting the robustness of median regression in contrast to…
During the first months, the Covid-19 pandemic has required most countries to implement complex sequences of non-pharmaceutical interventions, with the aim of controlling the transmission of the virus in the population. To be able to take…
COVID-19 pandemic has brought to the fore epidemiological models which, though describing a wealth of behaviors, have previously received little attention in signal processing literature. In this work, a generalized time-varying…
Integer-valued time series exist widely in economics, finance, biology, computer science, medicine, insurance, and many other fields. In recent years, many types of models have been proposed to model integer-valued time series data, in…
Count time series are widely encountered in practice. As with continuous valued data, many count series have seasonal properties. This paper uses a recent advance in stationary count time series to develop a general seasonal count time…
Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…
Motivated by a dataset of burglaries in Chicago, USA, we introduce a novel framework to analyze time series of count data combining common multivariate time series models with latent position network models. This novel methodology allows us…
Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such models can be drastically accelerated by reweighting and…
Vector autoregressions (VARs) are a widely used tool for modelling multivariate time-series. It is common to assume a VAR is stationary; this can be enforced by imposing the stationarity condition which restricts the parameter space of the…
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new…
The vector autoregressive (VAR) model has been widely used for modeling temporal dependence in a multivariate time series. For large (and even moderate) dimensions, the number of AR coefficients can be prohibitively large, resulting in…
Obtaining up to date information on the number of UK COVID-19 regional infections is hampered by the reporting lag in positive test results for people with COVID-19 symptoms. In the UK, for "Pillar 2" swab tests for those showing symptoms,…
The analysis of non-real-valued data, such as binary time series, has attracted great interest in recent years. This manuscript proposes a post-selection estimator for estimating the coefficient matrices of a high-dimensional generalized…
The evolution of epidemiological parameters, such as instantaneous reproduction number Rt, is important for understanding the transmission dynamics of infectious diseases. Current estimates of time-varying epidemiological parameters often…
Autoregressive (AR) models are useful tools in time series analysis. Inferences under such models are distorted in the presence of measurement error, which is very common in practice. In this article, we establish analytical results for…