Related papers: Large Hybrid Time-Varying Parameter VARs

Vector autoregression (VAR) models are widely used to analyze the interrelationship between multiple variables over time. Estimation and inference for the transition matrices of VAR models are crucial for practitioners to make decisions in…

Multivariate time series forecasting focuses on predicting future values based on historical context. State-of-the-art sequence-to-sequence models rely on neural attention between timesteps, which allows for temporal learning but fails to…

We propose VarFA, a variational inference factor analysis framework that extends existing factor analysis models for educational data mining to efficiently output uncertainty estimation in the model's estimated factors. Such uncertainty…

We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two…

We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and…

We present a new method for forecasting systems of multiple interrelated time series. The method learns the forecast models together with discovering leading indicators from within the system that serve as good predictors improving the…

Variational Bayes (VB) has been used to facilitate the calculation of the posterior distribution in the context of Bayesian inference of the parameters of nonlinear models from data. Previously an analytical formulation of VB has been…

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over…

We introduce Temporal Variational Implicit Neural Representations (TV-INRs), a probabilistic framework for modeling irregular multivariate time series that enables efficient individualized imputation and forecasting. By integrating implicit…

High dimensional predictive regressions are useful in wide range of applications. However, the theory is mainly developed assuming that the model is stationary with time invariant parameters. This is at odds with the prevalent evidence for…

Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of a predictor on the outcome variable. However, in particular when the number of predictors is large, there is a known risk of overfitting and…

In this work we propose a new class of long-memory models with time-varying fractional parameter. In particular, the dynamics of the long-memory coefficient, $d$, is specified through a stochastic recurrence equation driven by the score of…

This paper deals with the robust stability analysis of linear systems, subject to time-varying parameters. The Parameter Dependent Lyapunov Function are considered, assuming that the temporal derivative of the parameters are bounded. Some…

We propose a novel variational Bayes approach to estimate high-dimensional vector autoregression (VAR) models with hierarchical shrinkage priors. Our approach does not rely on a conventional structural VAR representation of the parameter…

This article primarily aims to unify the various formalisms of multivariate coefficients of variation, leveraging advanced concepts of generalized means, whether weighted or not, applied to the eigenvalues of covariance matrices. We…

We propose a new variational approximation of the joint posterior distribution of the log-volatility in the context of large Bayesian VARs. In contrast to existing approaches that are based on local approximations, the new proposal provides…

Time-varying graph signals are alternative representation of multivariate (or multichannel) signals in which a single time-series is associated with each of the nodes or vertex of a graph. Aided by the graph-theoretic tools, time-varying…

This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a…

Vector autoregression (VAR) is a fundamental tool for modeling multivariate time series. However, as the number of component series is increased, the VAR model becomes overparameterized. Several authors have addressed this issue by…

Model misspecification in multivariate econometric models can strongly influence estimates of quantities of interest such as structural parameters, forecast distributions or responses to structural shocks, even more so if higher-order…