Related papers: Estimation of Poisson Autoregressive Model for Mul…
We continue studies of the uncertainty quantification problem in emission tomographies such as PET or SPECT when additional multimodal data (e.g., anatomical MRI images) are available. To solve the aforementioned problem we adapt the…
Time series of matrix-valued data are increasingly available in various areas including economics, finance, social science, among others. These data may shed light on the inter-dynamical relationships between two sets of attributes, for…
We propose a multiscale approach to time series autoregression, in which linear regressors for the process in question include features of its own path that live on multiple timescales. We take these multiscale features to be the recent…
Multiple systems estimation using a Poisson loglinear model is a standard approach to quantifying hidden populations where data sources are based on lists of known cases. Information criteria are often used for selecting between the large…
The Markov-modulated Poisson process is utilised for count modelling in a variety of areas such as queueing, reliability, network and insurance claims analysis. In this paper, we extend the Markov-modulated Poisson process framework through…
Self-Exciting models are statistical models of count data where the probability of an event occurring is influenced by the history of the process. In particular, self-exciting spatio-temporal models allow for spatial dependence as well as…
We propose an Embedding Network Autoregressive Model for multivariate networked longitudinal data. We assume the network is generated from a latent variable model, and these unobserved variables are included in a structural peer effect…
We present protein autoregressive modeling (PAR), the first multi-scale autoregressive framework for protein backbone generation via coarse-to-fine next-scale prediction. Using the hierarchical nature of proteins, PAR generates structures…
In this work, we consider the class of multi-state autoregressive processes that can be used to model non-stationary time-series of interest. In order to capture different autoregressive (AR) states underlying an observed time series, it is…
This paper introduces a new stochastic process with values in the set Z of integers with sign. The increments of process are Poisson differences and the dynamics has an autoregressive structure. We study the properties of the process and…
The autoregressive process of order $p$ (AR($p$)) is a central model in time series analysis. A Bayesian approach requires the user to define a prior distribution for the coefficients of the AR($p$) model. Although it is easy to write down…
This paper studies some temporal dependence properties and addresses the issue of parametric estimation for a class of state-dependent autoregressive models for nonlinear time series in which we assume a stochastic autoregressive…
High-dimensional vector autoregressive (VAR) models have numerous applications in fields such as econometrics, biology, climatology, among others. While prior research has mainly focused on linear VAR models, these approaches can be…
We present a structured additive regression approach to model conditional densities given scalar covariates, where only samples of the conditional distributions are observed. This links our approach to distributional regression models for…
We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time series models. We show the proposed estimators are consistent and follow normal distributions in…
The present paper is about estimation and prediction in high-dimensional additive models under a sparsity assumption ($p\gg n$ paradigm). A PAC-Bayesian strategy is investigated, delivering oracle inequalities in probability. The…
A new forecasting method based on the concept of the profile predictive the likelihood function is proposed for discrete-valued processes. In particular, generalized autoregressive and moving average (GARMA) models for Poisson distributed…
Modeling data with multivariate count responses is a challenging problem due to the discrete nature of the responses. Existing methods for univariate count responses cannot be easily extended to the multivariate case since the dependency…
Many relevant statistical and econometric models for the analysis of longitudinal data include a latent process to account for the unobserved heterogeneity between subjects in a dynamic fashion. Such a process may be continuous (typically…
Time series autoregression (AR) is a classical tool for modeling auto-correlations and periodic structures in real-world systems. We revisit this model from an interpretable machine learning perspective by introducing sparse autoregression…