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In recent days different types of surveillance data are becoming available for public health reasons. In most cases several variables are monitored and events of different types are reported. As the amount of surveillance data increases,…
Implicit neural representation (INR) characterizes the attributes of a signal as a function of corresponding coordinates which emerges as a sharp weapon for solving inverse problems. However, the expressive power of INR is limited by the…
High-frequency financial data can be collected as a sequence of curves over time; for example, as intra-day price, currently one of the topics of greatest interest in finance. The Functional Data Analysis framework provides a suitable tool…
We study a sparse negative binomial regression (NBR) for count data by showing the non-asymptotic advantages of using the elastic-net estimator. Two types of oracle inequalities are derived for the NBR's elastic-net estimates by using the…
Motivated by applications arising from sensor networks and machine learning, we consider the problem of minimizing a finite sum of nondifferentiable convex functions where each component function is associated with an agent and a…
The paper deals with the nonparametric estimation problem at a given fixed point for an autoregressive model with unknown distributed noise. Kernel estimate modifications are proposed. Asymptotic minimax and efficiency properties for…
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 minimal requirement for simulating multi-scale systems is to reproduce the statistical behavior of the slow variables. In particular, a good numerical method should accurately aproximate the probability density function of the…
The paper analyses cointegration in vector autoregressive processes (VARs) for the cases when both the number of coordinates, $N$, and the number of time periods, $T$, are large and of the same order. We propose a way to examine a VAR of…
Integer-valued time series exist widely in economics, finance, biology, computer science, medicine, insurance, and many other fields. In recent years, many types of models have been proposed to model integer-valued time series data, in…
We consider the problem of defining and fitting models of autoregressive time series of probability distributions on a compact interval of $\mathbb{R}$. An order-$1$ autoregressive model in this context is to be understood as a Markov…
Vector autoregressive (VAR) processes are ubiquitously used in economics, finance, and biology. Order selection is an essential step in fitting VAR models. While many order selection methods exist, all come with weaknesses. Order selection…
Propensity score methods are increasingly being used to reduce estimation bias of treatment effects for observational studies. Previous research has shown that propensity score methods consistently estimate the marginal hazard ratio for…
In this paper, we consider the problem of estimating the marginal density in some nonlinear autoregressive time series models for which the conditional mean and variance have a parametric specification. Under some regularity conditions, we…
A widely applied approach to causal inference from a non-experimental time series $X$, often referred to as "(linear) Granger causal analysis", is to regress present on past and interpret the regression matrix $\hat{B}$ causally. However,…
This article introduces the GNAR package, which fits, predicts, and simulates from a powerful new class of generalised network autoregressive processes. Such processes consist of a multivariate time series along with a real, or inferred,…
Non-autoregressive (NAR) models simultaneously generate multiple outputs in a sequence, which significantly reduces the inference speed at the cost of accuracy drop compared to autoregressive baselines. Showing great potential for real-time…
Inverse Probability Weighting (IPW) is widely used in empirical work in economics and other disciplines. As Gaussian approximations perform poorly in the presence of "small denominators," trimming is routinely employed as a regularization…
High-dimensional time series data appear in many scientific areas in the current data-rich environment. Analysis of such data poses new challenges to data analysts because of not only the complicated dynamic dependence between the series,…
To improve nonparametric estimates of lifetime distributions, we propose using the increasing odds rate (IOR) model as an alternative to other popular, but more restrictive, ``adverse ageing'' models, such as the increasing hazard rate one.…