Related papers: Time Series Forecasting with Many Predictors
Bayesian Optimization (BO) is a surrogate-assisted global optimization technique that has been successfully applied in various fields, e.g., automated machine learning and design optimization. Built upon a so-called infill-criterion and…
The System Price (SP) of the Nordic electricity market serves as a key reference for financial hedge contracts such as Electricity Price Area Differentials (EPADs) and other risk management instruments. Therefore, the identification of…
We discuss Bayesian model uncertainty analysis and forecasting in sequential dynamic modeling of multivariate time series. The perspective is that of a decision-maker with a specific forecasting objective that guides thinking about relevant…
This paper develops a novel method to estimate a latent factor model for a large target panel with missing observations by optimally using the information from auxiliary panel data sets. We refer to our estimator as target-PCA. Transfer…
Automated variable selection is widely applied in statistical model development. Algorithms like forward, backward or stepwise selection are available in statistical software packages like R and SAS. Many researchers have criticized the use…
Sparse Principal Component Analysis (sPCA) is a popular matrix factorization approach based on Principal Component Analysis (PCA) that combines variance maximization and sparsity with the ultimate goal of improving data interpretation. When…
Time series forecasting is a critical task in various domains, where accurate predictions can drive informed decision-making. Traditional forecasting methods often rely on current observations of variables to predict future outcomes,…
We present a novel factor analysis method that can be applied to the discovery of common factors shared among trajectories in multivariate time series data. These factors satisfy a precedence-ordering property: certain factors are recruited…
We propose an online algorithm for tracking a multidimensional time-varying parameter of a time series, which is also allowed to be a predictable process with respect to the underlying time series. The algorithm is driven by a gain…
Principal Component Analysis (PCA) has been widely used for dimensionality reduction and feature extraction. Robust PCA (RPCA), under different robust distance metrics, such as l1-norm and l2, p-norm, can deal with noise or outliers to some…
In multivariate time series classification, although current sequence analysis models have excellent classification capabilities, they show significant shortcomings when dealing with long sequence multivariate data, such as prolonged…
Gaussian Process Regression (GPR) is a Bayesian method for inferring profiles based on input data. The technique is increasing in popularity in the fusion community due to its many advantages over traditional fitting techniques including…
Distributed algorithms and theories are called for in this era of big data. Under weaker local signal-to-noise ratios, we improve upon the celebrated one-round distributed principal component analysis (PCA) algorithm designed in the spirit…
We propose a novel class of dynamic shrinkage processes for Bayesian time series and regression analysis. Building upon a global-local framework of prior construction, in which continuous scale mixtures of Gaussian distributions are…
In this study, we examine a clustering problem in which the covariates of each individual element in a dataset are associated with an uncertainty specific to that element. More specifically, we consider a clustering approach in which a…
Despite the growing interest in designing truly interactive hyperparameter optimization (HPO) methods, to date, only a few allow to include human feedback. Existing interactive Bayesian optimization (BO) methods incorporate human beliefs by…
One of the challenging questions in time series forecasting is how to find the best algorithm. In recent years, a recommender system scheme has been developed for time series analysis using a meta-learning approach. This system selects the…
Principal component analysis (PCA) is a well-established tool in machine learning and data processing. The principal axes in PCA were shown to be equivalent to the maximum marginal likelihood estimator of the factor loading matrix in a…
We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a high-dimensional (approximate) factor model implemented by the principal…
Factor analysis and principal component analysis (PCA) are used in many application areas. The first step, choosing the number of components, remains a serious challenge. Our work proposes improved methods for this important problem. One of…