Related papers: Bayesian inference on the order of stationary vect…
Stationarity is a very common assumption in time series analysis. A vector autoregressive process is stationary if and only if the roots of its characteristic equation lie outside the unit circle, constraining the autoregressive coefficient…
We study the problem of automatically discovering Granger causal relations from observational multivariate time-series data.Vector autoregressive (VAR) models have been time-tested for this problem, including Bayesian variants and more…
The vector autoregressive (VAR) model is a powerful tool in modeling complex time series and has been exploited in many fields. However, fitting high dimensional VAR model poses some unique challenges: On one hand, the dimensionality,…
Vector autoregressions (VARs) are popular model for analyzing multivariate economic time series. However, VARs can be over-parameterized if the numbers of variables and lags are moderately large. Tensor VAR, a recent solution to…
Vector autoregressive (VAR) models are popularly adopted for modelling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR modelling, the number of parameters grow quadratically with…
We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First,…
Advances in sensing technology have made it possible to collect large volumes of high-dimensional time-series data. In fields like genetics and neuroscience, key questions concern whether directed relationships between variables can be…
This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in…
The vector autoregressive (VAR) model has been widely used for modeling temporal dependence in a multivariate time series. For large (and even moderate) dimensions, the number of AR coefficients can be prohibitively large, resulting in…
High-dimensional vector autoregressive (VAR) models are important tools for the analysis of multivariate time series. This paper focuses on high-dimensional time series and on the different regularized estimation procedures proposed for…
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…
A causal vector autoregressive (CVAR) model is introduced for weakly stationary multivariate processes, combining a recursive directed graphical model for the contemporaneous components and a vector autoregressive model longitudinally.…
Predictive linear and nonlinear models based on kernel machines or deep neural networks have been used to discover dependencies among time series. This paper proposes an efficient nonlinear modeling approach for multiple time series, with a…
As evidenced by various recent and significant papers within the frequentist literature, along with numerous applications in macroeconomics, genomics, and neuroscience, there continues to be substantial interest to understand the…
As a special infinite-order vector autoregressive (VAR) model, the vector autoregressive moving average (VARMA) model can capture much richer temporal patterns than the widely used finite-order VAR model. However, its practicality has long…
We consider a class of vector autoregressive models with banded coefficient matrices. The setting represents a type of sparse structure for high-dimensional time series, though the implied autocovariance matrices are not banded. The…
Our goal is to estimate causal interactions in multivariate time series. Using vector autoregressive (VAR) models, these can be defined based on non-vanishing coefficients belonging to respective time-lagged instances. As in most cases a…
Vector autoregressive (VAR) models are widely used in multivariate time series analysis for describing the short-time dynamics of the data. The reduced-rank VAR models are of particular interest when dealing with high-dimensional and highly…
The Vector AutoRegressive Moving Average (VARMA) model is fundamental to the theory of multivariate time series; however, identifiability issues have led practitioners to abandon it in favor of the simpler but more restrictive Vector…
Time series of individual subjects have become a common data type in psychological research. These data allow one to estimate models of within-subject dynamics, and thereby avoid the notorious problem of making within-subjects inferences…