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Online system identification algorithms are widely used for monitoring, diagnostics and control by continuously adapting to time-varying dynamics. Typically, these algorithms consider a model structure that lacks parsimony and offers…
In this work we introduce a semi-parametric Bayesian change-point model, defining its time dynamic as a latent Markov process based on the Dirichlet process. We treat the number of change point as a random variable and we estimate it during…
Linear time series modelling is dominated by the use of purely autoregressive models even though incorporating moving average components can greatly improve parsimony. We present a convex formulation for vector-ARMA system identification…
The autoregressive moving average (ARMA) model takes the significant position in time series analysis for a wide-sense stationary time series. The difference operator and seasonal difference operator, which are bases of ARIMA and SARIMA…
In this paper, we propose a new generic method for detecting the number and locations of structural breaks or change points in piecewise linear models under stationary Gaussian noise. Our method transforms the change point detection problem…
We study causal inference for time-to-event outcomes under right censoring in the presence of unmeasured confounding. Focusing on structural accelerated failure time models, we develop an identification and inference framework that exploits…
Modelling physical data with linear discrete time series, namely Fractionally Integrated Autoregressive Moving Average (ARFIMA), is a technique which achieved attention in recent years. However, these models are used mainly as a statistical…
In this paper, we develop a distributionally robust model predictive control framework for the control of wind farms with the goal of power tracking and mechanical stress reduction of the individual wind turbines. We introduce an ARMA model…
Adaptive networks today rely on overparameterized fixed topologies that cannot break through the statistical conflicts they encounter in the data they are exposed to, and are prone to "catastrophic forgetting" as the network attempts to…
Dynamic model averaging (DMA) combines the forecasts of a large number of dynamic linear models (DLMs) to predict the future value of a time series. The performance of DMA critically depends on the appropriate choice of two forgetting…
Fitting autoregressive moving average (ARMA) time series models requires model identification before parameter estimation. Model identification involves determining the order of the autoregressive and moving average components which is…
We present an energy-preserving mechanic formulation for dynamic quasi-brittle fracture in an Eulerian-Lagrangian formulation, where a second-order phase-field equation controls the damage evolution. The numerical formulation adapts in…
We develop an analytical synthesis that bridges data-driven Distributionally Robust Optimization (DRO) and Economic Decision Theory under Ambiguity (DTA). By reinterpreting standard regularization and DRO techniques as data-driven…
Real-world systems are often complex, dynamic, and nonlinear. Understanding the dynamics of a system from its observed time series is key to the prediction and control of the system's behavior. While most existing techniques tacitly assume…
This paper proposes a nonparametric Bayesian method for exploratory data analysis and feature construction in continuous time series. Our method focuses on understanding shared features in a set of time series that exhibit significant…
The standard approach for studying the periodic ARMA model with coefficients that vary over the seasons is to express it in a vector form. In this paper we introduce an alternative method which views the periodic formulation as a time…
Double (debiased) machine learning (DML) has seen widespread use in recent years for learning causal/structural parameters, in part due to its flexibility and adaptability to high-dimensional nuisance functions as well as its ability to…
We provide a new flexible framework for inference with the instrumental variable model. Rather than using linear specifications, functions characterizing the effects of instruments and other explanatory variables are estimated using machine…
Periodicity is a common feature of time series. For finite-dimensional data, periodic autoregressive moving average (ARMA) models have been extensively studied. In functional time series analysis, AR models have been extended to incorporate…
In this paper, we first introduce the concept of an adaptive MRA (AMRA) structure which is a variant of the classical MRA structure suited to the main goal of a fast flexible decomposition strategy adapted to the data at each decomposition…