Related papers: Cointegration with Occasionally Binding Constraint…
We study overdamped stochastic dynamics confined by hard reflecting boundaries and show that the combination of boundary geometry and an anisotropic diffusion tensor generically generates directed motion. At the level of individual…
Model predictive control solves a constrained optimization problem online in order to compute an implicit closed-loop control policy. Recursive feasibility -- guaranteeing that the optimal control problem will have a solution at every time…
While the Vector Autoregression (VAR) model has received extensive attention for modelling complex time series, quantile VAR analysis remains relatively underexplored for high-dimensional time series data. To address this disparity, we…
This paper presents a new boundary-value problem formulation for quantifying uncertainty induced by the presence of small Brownian noise near transversally stable periodic orbits (limit cycles) and quasiperiodic invariant tori of the…
Here we dispel the lingering myth that Partial Directed Coherence is a Vector Autoregressive (VAR) Modelling dependent concept. In fact, our examples show that it is spectral factorization that lies at its heart, for which VAR modelling is…
Previous research has shown that fully-connected networks with small initialization and gradient-based training methods exhibit a phenomenon known as condensation during training. This phenomenon refers to the input weights of hidden…
This paper introduces the temporally-consistent bilinearly recurrent autoencoder (tcBLRAN), a Koopman operator based neural network architecture for modeling a control-affine nonlinear control system. The proposed method extends traditional…
This work aims to learn the directed acyclic graph (DAG) that captures the instantaneous dependencies underlying a multivariate time series. The observed data follow a linear structural vector autoregressive model (SVARM) with both…
In a real-life setting, little is known regarding the effectiveness of statins for primary prevention among older adults, and analysis of observational data can add crucial information on the benefits of actual patterns of use. Latent class…
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a…
We develop a generalization of unobserved components models that allows for a wide range of long-run dynamics by modelling the permanent component as a fractionally integrated process. The model does not require stationarity and can be cast…
Identifying the topology underlying a set of time series is useful for tasks such as prediction, denoising, and data completion. Vector autoregressive (VAR) model-based topologies capture dependencies among time series and are often…
The linear regression model is widely used in empirical work in Economics, Statistics, and many other disciplines. Researchers often include many covariates in their linear model specification in an attempt to control for confounders. We…
Over the last decade, big data have poured into econometrics, demanding new statistical methods for analysing high-dimensional data and complex non-linear relationships. A common approach for addressing dimensionality issues relies on the…
In this work, we explore the interplay of confinement, string breaking and entanglement asymmetry on a 1D quantum Ising chain. We consider the evolution of an initial domain wall and show that, surprisingly, while the introduction of…
While inference-time scaling has significantly enhanced generative quality in large language and diffusion models, its application to vector-quantized (VQ) visual autoregressive modeling (VAR) remains unexplored. We introduce VAR-Scaling,…
The use of Kalman filtering, as well as its nonlinear extensions, for the estimation of system variables and parameters has played a pivotal role in many fields of scientific inquiry where observations of the system are restricted to a…
We present a model of a basic recurrent neural network (or bRNN) that includes a separate linear term with a slightly "stable" fixed matrix to guarantee bounded solutions and fast dynamic response. We formulate a state space viewpoint and…
We propose NonStGM, a general nonparametric graphical modeling framework for studying dynamic associations among the components of a nonstationary multivariate time series. It builds on the framework of Gaussian Graphical Models (GGM) and…
While considerable advances have been made in estimating high-dimensional structured models from independent data using Lasso-type models, limited progress has been made for settings when the samples are dependent. We consider estimating…