Related papers: Time-varying auto-regressive models for count time…
The steady-state Bayesian vector autoregression (BVAR) makes it possible to incorporate prior information about the long-run mean of the process. This has been shown in many studies to substantially improve forecasting performance, and the…
We put forward a new Bayesian modeling strategy for spatiotemporal count data that enables efficient posterior sampling. Most previous models for such data decompose logarithms of the response Poisson rates into fixed effects and spatial…
Through sequential construction of posteriors on observing data online, Bayes' theorem provides a natural framework for continual learning. We develop Variational Auto-Regressive Gaussian Processes (VAR-GPs), a principled posterior updating…
Fast variational approximate algorithms are developed for Bayesian semiparametric regression when the response variable is a count, i.e. a non-negative integer. We treat both the Poisson and Negative Binomial families as models for the…
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility…
Time series data arising in many applications nowadays are high-dimensional. A large number of parameters describe features of these time series. We propose a novel approach to modeling a high-dimensional time series through several…
In this work we present a method for the statistical analysis of continually monitored data arising in a recurrent diseases problem. The model enables individual level inference in the presence of time transience and population…
We study stationarity and moments properties of some count time series models from contraction and stability properties of iterated random maps. Both univariate and multivariate processes are considered, including the recent multivariate…
Causality graphs are routinely estimated in social sciences, natural sciences, and engineering due to their capacity to efficiently represent the spatiotemporal structure of multivariate data sets in a format amenable for human…
The thinning-based integer-valued autoregressive moving-average (INARMA) models are popular for count time series. Recently, types of INARMA models have also been developed for count random fields, i.e., for spatial count data located on a…
We consider a continuous-time Markov chain model of SIR disease dynamics with two levels of mixing. For this so-called stochastic households model, we provide two methods for inferring the model parameters---governing within-household…
Multiplicative error models (MEMs) are commonly used for real-valued time series, but they cannot be applied to discrete-valued count time series as the involved multiplication would not preserve the integer nature of the data. Thus, the…
A new multivariate integer-valued Generalized AutoRegressive Conditional Heteroscedastic process based on a multivariate Poisson generalized inverse Gaussian distribution is proposed. The estimation of parameters of the proposed…
Compartmental epidemic models are among the most popular ones in epidemiology. For the parameters (e.g., the transmission rate) characterizing these models, the majority of researchers simplify them as constants, while some others manage to…
We propose a Bayesian hidden Markov model for analyzing time series and sequential data where a special structure of the transition probability matrix is embedded to model explicit-duration semi-Markovian dynamics. Our formulation allows…
The time varying effective reproduction number is an important parameter for communication and policy decisions during an epidemic. In this paper, we present new statistical methods for estimating the reproduction number based on the…
The Cox model is an indispensable tool for time-to-event analysis, particularly in biomedical research. However, medicine is undergoing a profound transformation, generating data at an unprecedented scale, which opens new frontiers to study…
The present paper introduces a data-driven framework for describing the time-varying nature of an SIRD model in the context of COVID-19. By embedding a rolling regression in a mixed integer bilevel nonlinear programming problem, our aim is…
The PAC-Bayesian approach is a powerful set of techniques to derive non- asymptotic risk bounds for random estimators. The corresponding optimal distribution of estimators, usually called the Gibbs posterior, is unfortunately intractable.…
In contemporary neuroscience, a key area of interest is dynamic effective connectivity, which is crucial for understanding the dynamic interactions and causal relationships between different brain regions. Dynamic effective connectivity can…