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Many applications collect a large number of time series, for example, the financial data of companies quoted in a stock exchange, the health care data of all patients that visit the emergency room of a hospital, or the temperature sequences…
Phasor measurement units (PMUs) are being widely installed on power systems, providing a unique opportunity to enhance wide-area situational awareness. One essential application is the use of PMU data for real-time event identification.…
The operation of power systems is affected by diverse technical, economic and social factors. Social behaviour determines load patterns, electricity markets regulate the generation and weather-dependent renewables introduce power…
We propose graph-based predictable feature analysis (GPFA), a new method for unsupervised learning of predictable features from high-dimensional time series, where high predictability is understood very generically as low variance in the…
We introduce Ising-H\"usler-Reiss processes, a new class of multivariate L\'evy processes that allows for sparse modeling of the path-wise conditional independence structure between marginal stable processes with different stability…
We develop online graph learning algorithms from streaming network data. Our goal is to track the (possibly) time-varying network topology, and effect memory and computational savings by processing the data on-the-fly as they are acquired.…
Motivated by the problem of inferring the graph structure of functional connectivity networks from multi-level functional magnetic resonance imaging data, we develop a valid inference framework for high-dimensional graphical models that…
We study computational and sample complexity of parameter and structure learning in graphical models. Our main result shows that the class of factor graphs with bounded factor size and bounded connectivity can be learned in polynomial time…
Long-term traffic prediction has always been a challenging task due to its dynamic temporal dependencies and complex spatial dependencies. In this paper, we propose a model that combines hybrid Transformer and spatio-temporal…
Given a set of snapshots from a temporal network we develop, analyze, and experimentally validate a so-called network interpolation scheme. Our method allows us to build a plausible, albeit random, sequence of graphs that transition between…
Multivariate time series forecasting focuses on predicting future values based on historical context. State-of-the-art sequence-to-sequence models rely on neural attention between timesteps, which allows for temporal learning but fails to…
Probability models on graphs are becoming increasingly important in many applications, but statistical tools for fitting such models are not yet well developed. Here we propose a general method of moments approach that can be used to fit a…
This paper proposes a novel graphical model, termed the spatial dependence graph model, which captures the global dependence structure of different events that occur randomly in space. In the spatial dependence graph model, the edge set is…
The effectiveness of Spatio-temporal Graph Neural Networks (STGNNs) in time-series applications is often limited by their dependence on fixed, hand-crafted input graph structures. Motivated by insights from the Topological Data Analysis…
We propose generalizations of a number of standard network models, including the classic random graph, the configuration model, and the stochastic block model, to the case of time-varying networks. We assume that the presence and absence of…
Effective information analysis generally boils down to properly identifying the structure or geometry of the data, which is often represented by a graph. In some applications, this structure may be partly determined by design constraints or…
We suppose that a L\'evy process is observed at discrete time points. Starting from an asymptotically minimax family of estimators for the continuous part of the L\'evy Khinchine characteristics, i.e., the covariance, we derive a…
Estimation of the conditional independence graph (CIG) of high-dimensional multivariate Gaussian time series from multi-attribute data is considered. Existing methods for graph estimation for such data are based on single-attribute models…
The purpose of this paper is to infer a global (collective) model of time-varying responses of a set of nodes as a dynamic graph, where the individual time series are respectively observed at each of the nodes. The motivation of this work…
We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with…