Related papers: Time-Varying Matrix Factor Models
Factors models are routinely used to analyze high-dimensional data in both single-study and multi-study settings. Bayesian inference for such models relies on Markov Chain Monte Carlo (MCMC) methods which scale poorly as the number of…
We propose a new factor analysis framework and estimators of the factors and loadings that are robust to certain weak factors in a large $N$ and large $T$ setting. Our framework, by simultaneously considering all quantile levels of the…
Modern time series forecasting methods, such as Transformer and its variants, have shown strong ability in sequential data modeling. To achieve high performance, they usually rely on redundant or unexplainable structures to model complex…
A methodology is developed for the adjustment of the covariance matrices underlying a multivariate constant time series dynamic linear model. The covariance matrices are embedded in a distribution-free inner-product space of matrix objects…
An aggregated method of nonparametric estimators based on time-domain and state-domain estimators is proposed and studied. To attenuate the curse of dimensionality, we propose a factor modeling strategy. We first investigate the asymptotic…
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…
Producing probabilistic forecasts for large collections of similar and/or dependent time series is a practically relevant and challenging task. Classical time series models fail to capture complex patterns in the data, and multivariate…
This paper is concerned with the study of the stability of dynamical systems evolving on time scales. We first {formalize the notion of matrix measures on time scales, prove some of their key properties and make use of this notion to study…
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, Journal of Computational…
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…
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility…
This work proposes an algorithmic framework to learn time-varying graphs from online data. The generality offered by the framework renders it model-independent, i.e., it can be theoretically analyzed in its abstract formulation and then…
We consider the estimation of the transition matrix in the high-dimensional time-varying vector autoregression (TV-VAR) models. Our model builds on a general class of locally stationary VAR processes that evolve smoothly in time. We propose…
Income and risk coexist, yet investors are often so focused on chasing high returns that they overlook the potential risks that can lead to high losses. Therefore, risk forecasting and risk control is the cornerstone of investment. To…
In many applications of finance, biology and sociology, complex systems involve entities interacting with each other. These processes have the peculiarity of evolving over time and of comprising latent factors, which influence the system…
The Matrix Factorization models, sometimes called the latent factor models, are a family of methods in the recommender system research area to (1) generate the latent factors for the users and the items and (2) predict users' ratings on…
Traffic flow forecasting is a crucial task in transportation management and planning. The main challenges for traffic flow forecasting are that (1) as the length of prediction time increases, the accuracy of prediction will decrease; (2)…
The factor modeling for high-dimensional time series is powerful in discovering latent common components for dimension reduction and information extraction. Most available estimation methods can be divided into two categories: the…
This paper considers a structural-factor approach to modeling high-dimensional time series and space-time data by decomposing individual series into trend, seasonal, and irregular components. For ease in analyzing many time series, we…
High-dimensional time series data exist in numerous areas such as finance, genomics, healthcare, and neuroscience. An unavoidable aspect of all such datasets is missing data, and dealing with this issue has been an important focus in…