Related papers: Vector AutoRegressive Moving Average Models: A Rev…

Auto-regressive moving-average (ARMA) models are ubiquitous forecasting tools. Parsimony in such models is highly valued for their interpretability and computational tractability, and as such the identification of model orders remains a…

A dynamic factor model with factor series following a VAR$(p)$ model is shown to have a VARMA$(p,p)$ model representation. Reduced-rank structures are identified for the VAR and VMA components of the resulting VARMA model. It is also shown…

In practice, several time series exhibit long-range dependence or persistence in their observations, leading to the development of a number of estimation and prediction methodologies to account for the slowly decaying autocorrelations. The…

A factor-augmented vector autoregressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations amongst a set of observed variables $X$ and latent factors $F$, and a calibration equation that relates another set of…

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…

Vision-Language-Action (VLA) models have emerged as a promising paradigm for end-to-end autonomous driving, yet their reliance on implicit parametric knowledge limits generalization in long-tail scenarios. While Retrieval-Augmented…

Visual Analytics (VA) tools and techniques have been instrumental in supporting users to build better classification models, interpret models' overall logic, and audit results. In a different direction, VA has recently been applied to…

We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First,…

We prove that a time series satisfying a (linear) multivariate autoregressive moving average (VARMA) model satisfies the same model assumption in the reversed time direction, too, if all innovations are normally distributed. This…

Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…

In the study of complex physical and physiological systems represented by multivariate time series, an issue of great interest is the description of the system dynamics over a range of different temporal scales. While information-theoretic…

The rapid advancement of vision-language models (VLMs) has established a new paradigm in video anomaly detection (VAD): leveraging VLMs to simultaneously detect anomalies and provide comprehendible explanations for the decisions. Existing…

In this paper, we propose a novel variable selection approach in the framework of sparse high-dimensional GLARMA models. It consists in combining the estimation of the autoregressive moving average (ARMA) coefficients of these models with…

Matrix valued time series (MaTS) and global vector autoregressive (GVAR) models both impose restrictions on the general VAR for multidimensional data sets, in order to bring down the number of parameters. Both models are motivated from a…

The paper proposes a time-varying parameter global vector autoregressive (TVP-GVAR) framework for predicting and analysing developed region economic variables. We want to provide an easily accessible approach for the economy application…

Visual AutoRegressive modeling (VAR) based on next-scale prediction has revitalized autoregressive visual generation. Although its full-context dependency, i.e., modeling all previous scales for next-scale prediction, facilitates more…

In this work we introduce the class of beta autoregressive fractionally integrated moving average models for continuous random variables taking values in the continuous unit interval $(0,1)$. The proposed model accommodates a set of…

We study the problem of learning the support of transition matrix between random processes in a Vector Autoregressive (VAR) model from samples when a subset of the processes are latent. It is well known that ignoring the effect of the…

The emergence of Vision Language Action (VLA) models marks a paradigm shift from traditional policy-based control to generalized robotics, reframing Vision Language Models (VLMs) from passive sequence generators into active agents for…

Visual Autoregressive (VAR) modeling departs from the next-token prediction paradigm of traditional Autoregressive (AR) models through next-scale prediction, enabling high-quality image generation. However, the VAR paradigm suffers from…