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In this paper we show that stationary and non-stationary multivariate continuous-time ARMA (MCARMA) processes have the representation as a sum of multivariate complex-valued Ornstein-Uhlenbeck processes under some mild assumptions. The…
Non-negative Matrix Factorization (NMF) is an intensively used technique for obtaining parts-based, lower dimensional and non-negative representation. Researchers in biology, medicine, pharmacy and other fields often prefer NMF over other…
In this paper the author presents the results of the preliminary investigation of fractional dynamical systems based on the results of numerical simulations of fractional maps. Fractional maps are equivalent to fractional differential…
We tackle the challenges of modeling high-dimensional data sets, particularly those with latent low-dimensional structures hidden within complex, non-linear, and noisy relationships. Our approach enables a seamless integration of concepts…
Representing 3D shape deformations by linear models in high-dimensional space has many applications in computer vision and medical imaging, such as shape-based interpolation or segmentation. Commonly, using Principal Components Analysis a…
We propose a probabilistic semantic filtering framework in which parameters of a dynamical system are inferred and associated with a closed set of semantic classes in a map. We extend existing methods to a multi-parameter setting using a…
The problem of decomposing a given covariance matrix as the sum of a positive semi-definite matrix of given rank and a positive semi-definite diagonal matrix, is considered. We present a projection-type algorithm to address this problem.…
This paper develops an inferential theory for high-dimensional matrix-variate factor models with missing observations. We propose an easy-to-use all-purpose method that involves two straightforward steps. First, we perform principal…
Many economic environments involve units linked by a network. I develop an econometric framework that derives the dynamics of cross-sectional variables from the lagged innovation transmission along bilateral links and that can accommodate…
This paper studies linear reconstruction of partially observed functional data which are recorded on a discrete grid. We propose a novel estimation approach based on approximate factor models with increasing rank taking into account…
We propose a new framework for modeling high-dimensional matrix-variate time series by a two-way transformation, where the transformed data consist of a matrix-variate factor process, which is dynamically dependent, and three other blocks…
We consider reduction of dimension for nonlinear dynamical systems. We demonstrate that in some cases, one can reduce a nonlinear system of equations into a single equation for one of the state variables, and this can be useful for…
The evaluation mechanism of pattern matching with dynamic patterns is modelled in the Pure Pattern Calculus by one single meta-rule. This contribution presents a refinement which narrows the gap between the abstract calculus and its…
Dynamic mode decomposition (DMD) has become a powerful data-driven method for analyzing the spatiotemporal dynamics of complex, high-dimensional systems. However, conventional DMD methods are limited to matrix-based formulations, which…
Dynamic Mode Decomposition (DMD) has emerged as a powerful tool for analyzing the dynamics of non-linear systems from experimental datasets. Recently, several attempts have extended DMD to the context of low-rank approximations. This…
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,…
In a very high-dimensional vector space, two randomly-chosen vectors are almost orthogonal with high probability. Starting from this observation, we develop a statistical factor model, the random factor model, in which factors are chosen at…
This paper deals with the dimension reduction for high-dimensional time series based on common factors. In particular we allow the dimension of time series $p$ to be as large as, or even larger than, the sample size $n$. The estimation for…
The dynamic mode decomposition (DMD) is a data-driven method used for identifying the dynamics of complex nonlinear systems. It extracts important characteristics of the underlying dynamics using measured time-domain data produced either by…
With the recent success of representation learning methods, which includes deep learning as a special case, there has been considerable interest in developing representation learning techniques that can incorporate known physical…