Related papers: Bayesian Vector AutoRegression with Factorised Gra…

Many problems in robotics involve both continuous and discrete components, and modeling them together for estimation tasks has been a long standing and difficult problem. Hybrid Factor Graphs give us a mathematical framework to model these…

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…

In a modern observational study based on healthcare databases, the number of observations and of predictors typically range in the order of $10^5$ ~ $10^6$ and of $10^4$ ~ $10^5$. Despite the large sample size, data rarely provide…

We propose a regularized factor-augmented vector autoregressive (FAVAR) model that allows for sparsity in the factor loadings. In this framework, factors may only load on a subset of variables which simplifies the factor identification and…

Granger causality is a commonly used method for uncovering information flow and dependencies in a time series. Here we introduce JGC (Jacobian Granger Causality), a neural network-based approach to Granger causality using the Jacobian as a…

Generative classifiers, which leverage conditional generative models for classification, have recently demonstrated desirable properties such as robustness to distribution shifts. However, recent progress in this area has been largely…

Causal discovery from multivariate time series is challenging when causal effects may occur both across time and within the same sampling interval. This issue is especially important in applications such as neuroscience, where the sampling…

This paper introduces a novel approach, the bivariate generalized autoregressive (BGAR) model, for modeling and forecasting bivariate time series data. The BGAR model generalizes the bivariate vector autoregressive (VAR) models by allowing…

Through recognizing causal subgraphs, causal graph learning (CGL) has risen to be a promising approach for improving the generalizability of graph neural networks under out-of-distribution (OOD) scenarios. However, the empirical successes…

Graphical causal models are an important tool for knowledge discovery because they can represent both the causal relations between variables and the multivariate probability distributions over the data. Once learned, causal graphs can be…

Granger causality has been widely used in various application domains to capture lead-lag relationships amongst the components of complex dynamical systems, and the focus in extant literature has been on a single dynamical system. In…

Causal structure learning from observational data remains a non-trivial task due to various factors such as finite sampling, unobserved confounding factors, and measurement errors. Constraint-based and score-based methods tend to suffer…

Vector autogressions (VARs) are widely applied when it comes to modeling and forecasting macroeconomic variables. In high dimensions, however, they are prone to overfitting. Bayesian methods, more concretely shrinkage priors, have shown to…

We propose a Bayesian regression method that accounts for multi-way interactions of arbitrary orders among the predictor variables. Our model makes use of a factorization mechanism for representing the regression coefficients of…

Causal structure learning has been a challenging task in the past decades and several mainstream approaches such as constraint- and score-based methods have been studied with theoretical guarantees. Recently, a new approach has transformed…

Causal inference aids researchers in discovering cause-and-effect relationships, leading to scientific insights. Accurate causal estimation requires identifying confounding variables to avoid false discoveries. Pearl's causal model uses…

Graphical models describe associations between variables through the notion of conditional independence. Gaussian graphical models are a widely used class of such models where the relationships are formalized by non-null entries of the…

We address the problem of two-variable causal inference without intervention. This task is to infer an existing causal relation between two random variables, i.e. $X \rightarrow Y$ or $Y \rightarrow X$ , from purely observational data. As…

Inverse problems, i.e., estimating parameters of physical models from experimental data, are ubiquitous in science and engineering. The Bayesian formulation is the gold standard because it alleviates ill-posedness issues and quantifies…

Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new…