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Periodic autoregressive (PAR) time series with finite variance is considered as one of the most common models of second-order cyclostationary processes. However, in the real applications, the signals with periodic characteristics may be…
Spatial autoregressive model, introduced by Clif and Ord in 1970s has been widely applied in many areas of science and econometrics such as regional economics, public finance, political sciences, agricultural economics, environmental…
We consider the problem of signal estimation in generalized linear models defined via rotationally invariant design matrices. Since these matrices can have an arbitrary spectral distribution, this model is well suited for capturing complex…
Multi-output regression models must exploit dependencies between outputs to maximise predictive performance. The application of Gaussian processes (GPs) to this setting typically yields models that are computationally demanding and have…
Standard simultaneous autoregressive (SAR) models typically assume normally distributed errors, an assumption often violated in real-world datasets that frequently exhibit non-normal, skewed, or heavy-tailed characteristics. New SAR models…
This paper investigates the estimation of the double autoregressive (DAR) model in the presence of skewed and heavy-tailed innovations. We propose a novel Normal Mixture Quasi-Maximum Likelihood Estimation (NM-QMLE) method to address the…
Parameter estimation for model-based clustering using a finite mixture of normal inverse Gaussian (NIG) distributions is achieved through variational Bayes approximations. Univariate NIG mixtures and multivariate NIG mixtures are…
The innovations algorithm is a classical recursive forecasting algorithm used in time series analysis. We develop the innovations algorithm for a class of nonnegative regularly varying time series models constructed via transformed-linear…
Expectation-Maximization (EM) algorithm is a widely used iterative algorithm for computing (local) maximum likelihood estimate (MLE). It can be used in an extensive range of problems, including the clustering of data based on the Gaussian…
The EM algorithm is a generic tool that offers maximum likelihood solutions when datasets are incomplete with data values missing at random or completely at random. At least for its simplest form, the algorithm can be rewritten in terms of…
Sequential methods for synthetic realisation of random processes have a number of advantages compared with spectral methods. In this article, the determination of optimal autoregressive (AR) models for reproducing a predefined target…
Reinforcement learning algorithms rely on exploration to discover new behaviors, which is typically achieved by following a stochastic policy. In continuous control tasks, policies with a Gaussian distribution have been widely adopted.…
Autoregressive (AR) models have become a popular tool for unsupervised learning, achieving state-of-the-art log likelihood estimates. We investigate the use of AR models as density estimators in two settings -- as a learning signal for…
A non linear regression approach which consists of a specific regression model incorporating a latent process, allowing various polynomial regression models to be activated preferentially and smoothly, is introduced in this paper. The model…
Latent class model (LCM), which is a finite mixture of different categorical distributions, is one of the most widely used models in statistics and machine learning fields. Because of its non-continuous nature and the flexibility in shape,…
Normal mean-variance mixture distributions are widely applied to simplify a model's implementation and improve their computational efficiency under the Maximum Likelihood (ML) approach. Especially for distributions with normal mean-variance…
Autoregressive models (ARMs) currently hold state-of-the-art performance in likelihood-based modeling of image and audio data. Generally, neural network based ARMs are designed to allow fast inference, but sampling from these models is…
Time series prediction with missing values is an important problem of time series analysis since complete data is usually hard to obtain in many real-world applications. To model the generation of time series, autoregressive (AR) model is a…
Autoregressive (AR) modeling is invaluable in signal processing, in particular in speech and audio fields. Attempts in the literature can be found that regularize or constrain either the time-domain signal values or the AR coefficients,…
Autoregressive models (ARMs) have become the workhorse for sequence generation tasks, since many problems can be modeled as next-token prediction. While there appears to be a natural ordering for text (i.e., left-to-right), for many data…