Related papers: Vector AutoRegressive Moving Average Models: A Rev…
We propose in this work a new family of kernels for variable-length time series. Our work builds upon the vector autoregressive (VAR) model for multivariate stochastic processes: given a multivariate time series x, we consider the…
The vector autoregression (VAR) has long proven to be an effective method for modeling the joint dynamics of macroeconomic time series as well as forecasting. A major shortcoming of the VAR that has hindered its applicability is its heavy…
Structural equation models (SEMs) and vector autoregressive models (VARMs) are two broad families of approaches that have been shown useful in effective brain connectivity studies. While VARMs postulate that a given region of interest in…
In the past four decades, research on count time series has made significant progress, but research on $\mathbb{Z}$-valued time series is relatively rare. Existing $\mathbb{Z}$-valued models are mainly of autoregressive structure, where the…
Self-tracking is one of many behaviors involved in the long-term self-management of chronic illnesses. As consumer-grade wearable sensors have made the collection of health-related behaviors commonplace, the quality, volume, and…
We develop a class of tests for semiparametric vector autoregressive (VAR) models with unspecified innovation densities, based on the recent measure-transportation-based concepts of multivariate {\it center-outward ranks} and {\it signs}.…
In this paper, we use convolutional neural networks to address the problem of model identification for autoregressive moving average time series models. We compare the performance of several neural network architectures, trained on…
Identifying network Granger causality in large vector autoregressive (VAR) models enhances explanatory power by capturing complex dependencies among variables. This study proposes a methodology that explores latent community structures to…
Recently, matrix-valued time series data have attracted significant attention in the literature with the recognition of threshold nonlinearity representing a significant advance. However, given the fact that a matrix is a two-array…
Human-robot collaboration (HRC) has emerged as a hot research area at the intersection of control, robotics, and psychology in recent years. It is of critical importance to obtain an expressive but meanwhile tractable model for human beings…
This paper aims to decompose a large dimensional vector autoregessive (VAR) model into two components, the first one being generated by a small-scale VAR and the second one being a white noise sequence. Hence, a reduced number of common…
We derive an explicit formula for likelihood function for Gaussian VARMA model conditioned on initial observables where the moving-average (MA) coefficients are scalar. For fixed MA coefficients the likelihood function is optimized in the…
Real-world time series data exhibit non-stationary behavior, regime shifts, and temporally varying noise (heteroscedastic) that degrade the robustness of standard regression models. We introduce the Variability-Aware Recursive Neural…
Autoregressive moving average (ARMA) models are widely used for analyzing time series data. However, standard likelihood-based inference methodology for ARMA models has avoidable limitations. We show that currently accepted standards for…
We study the problem of automatically discovering Granger causal relations from observational multivariate time-series data.Vector autoregressive (VAR) models have been time-tested for this problem, including Bayesian variants and more…
In the study of complex physical and biological systems represented by multivariate stochastic processes, an issue of great relevance is the description of the system dynamics spanning multiple temporal scales. While methods to assess the…
Many modern unsupervised or semi-supervised machine learning algorithms rely on Bayesian probabilistic models. These models are usually intractable and thus require approximate inference. Variational inference (VI) lets us approximate a…
Models characterized by autoregressive structure and random coefficients are powerful tools for the analysis of high-frequency, high-dimensional and volatile time series. The available literature on such models is broad, but also sectorial,…
This paper presents GAMMA, a general motion prediction model that enables large-scale real-time simulation and planning for autonomous driving. GAMMA models heterogeneous, interactive traffic agents. They operate under diverse road…
Understanding the dynamics of functional brain connectivity patterns using noninvasive neuroimaging techniques is an important focus in human neuroscience. Vector autoregressive (VAR) processes and Granger causality analysis (GCA) have been…