Related papers: Density-valued VAR Models with Latent Factors
Causality graphs are routinely estimated in social sciences, natural sciences, and engineering due to their capacity to efficiently represent the spatiotemporal structure of multivariate data sets in a format amenable for human…
We develop a dynamic factor stochastic volatility-in-mean (SVM) specification for vector autoregressions (VARs) that embeds an SVM component within a dynamic factor stochastic volatility structure. A small number of latent volatility…
Several studies explore inferences based on stochastic volatility (SV) models, taking into account the stylized facts of return data. The common problem is that the latent parameters of many volatility models are high-dimensional and…
Vector autoregressive (VAR) models are widely used in multivariate time series analysis for describing the short-time dynamics of the data. The reduced-rank VAR models are of particular interest when dealing with high-dimensional and highly…
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…
Causal representation learning seeks to uncover causal relationships among high-level latent variables from low-level, entangled, and noisy observations. Existing approaches often either rely on deep neural networks, which lack…
We discuss the issue of estimating large-scale vector autoregressive (VAR) models with stochastic volatility in real-time situations where data are sampled at different frequencies. In the case of a large VAR with stochastic volatility, the…
The multiple-subject vector autoregression (multi-VAR) model captures heterogeneous network Granger causality across subjects by decomposing individual sparse VAR transition matrices into commonly shared and subject-unique paths. The model…
In this paper we model the spreading of the SARS-CoV-2 in Mexico by introducing a new stochastic approximation constructed from first principles, structured on the basis of a Latent-Infectious- (Recovered or Deceased) (LI(RD)) compartmental…
Many policies hinge on a continuous variable exceeding a threshold, prompting strategic behavior by agents to stay on the favorable side. This creates density discontinuities at cutoffs, evident in contexts like taxable income, corporate…
Spatially-explicit estimates of population density, together with appropriate estimates of uncertainty, are required in many management contexts. Density Surface Models (DSMs) are a two-stage approach for estimating spatially-varying…
While considerable advances have been made in estimating high-dimensional structured models from independent data using Lasso-type models, limited progress has been made for settings when the samples are dependent. We consider estimating…
We consider the problem of learning the structure of a causal directed acyclic graph (DAG) model in the presence of latent variables. We define latent factor causal models (LFCMs) as a restriction on causal DAG models with latent variables,…
The focus is on the statistical analysis of matrix-valued time series, where data is collected over a network of sensors, typically at spatial locations, over time. Each sensor records a vector of features at each time point, creating a…
This paper introduces a novel approach, the bivariate generalized autoregressive (BGAR) model, for modeling and forecasting bivariate time series data. The BGAR model generalizes the bivariate vector autoregressive (VAR) models by allowing…
Causal inference in multivariate time series is challenging due to the fact that the sampling rate may not be as fast as the timescale of the causal interactions. In this context, we can view our observed series as a subsampled version of…
We propose a family of novel hierarchical Bayesian deep auto-encoder models capable of identifying disentangled factors of variability in data. While many recent attempts at factor disentanglement have focused on sophisticated learning…
When dealing with time series data, causal inference methods often employ structural vector autoregressive (SVAR) processes to model time-evolving random systems. In this work, we rephrase recursive SVAR processes with possible latent…
Linear Vector AutoRegressive (VAR) models where the innovations could be unconditionally heteroscedastic and serially dependent are considered. The volatility structure is deterministic and quite general, including breaks or trending…
Time series of individual subjects have become a common data type in psychological research. These data allow one to estimate models of within-subject dynamics, and thereby avoid the notorious problem of making within-subjects inferences…