Related papers: Dynamic Vine Copulas: Detecting and Quantifying Ti…
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…
The development of the manufacturing systems has made it increasingly necessary to monitor the data generated by multiple interconnected subsystems with rapid incoming of samples. Based on incremental Singular Value Decomposition (ISVD), we…
We introduce the Dynamic Conditional SKEPTIC (DCS), a semiparametric approach for efficiently and robustly estimating time-varying correlations in multivariate models. We exploit nonparametric rank-based statistics, namely Spearman's rho…
Temporal dynamics, characterised by time-varying degree heterogeneity and homophily effects, are often exhibited in many real-world networks. As observed in an MIT Social Evolution study, the in-degree and out-degree of the nodes show…
Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…
We introduce a new goodness-of-fit test for regular vine (R-vine) copula models. R-vine copulas are a very flexible class of multivariate copulas based on a pair-copula construction (PCC). The test arises from the information matrix…
This paper introduces a nonparametric copula-based index for detecting the strength and monotonicity structure of linear and nonlinear statistical dependence between pairs of random variables or stochastic signals. Our index, termed Copula…
This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of the time series. We assume that the covariate influences…
The key to VI is the selection of a tractable density to approximate the Bayesian posterior. For large and complex models a common choice is to assume independence between multivariate blocks in a partition of the parameter space. While…
The study of dependence between random variables is the core of theoretical and applied statistics. Static and dynamic copula models are useful for describing the dependence structure, which is fully encrypted in the copula probability…
Identifying how dependence relationships vary across different conditions plays a significant role in many scientific investigations. For example, it is important for the comparison of biological systems to see if relationships between…
The long-time behavior of the velocity autocorrelation function (VACF) is investigated by the molecular dynamics simulation of a two-dimensional system which has both a many-body interaction and a random potential. With strengthening the…
Causal discovery aims to infer causal relationships among variables from observational data, typically represented by a directed acyclic graph (DAG). Most existing methods assume independent and identically distributed observations, an…
In this paper, we focus on estimating the causal effect of an intervention over time on a dynamical system. To that end, we formally define causal interventions and their effects over time on discrete-time stochastic processes (DSPs). Then,…
Phase-amplitude coupling (PAC), a form of cross-frequency interaction, has been implicated in various cognitive functions and, by extension, in neural communication and information integration. Accurately detecting and characterising PAC is…
Many modern data analyses benefit from explicitly modeling dependence structure in data -- such as measurements across time or space, ordered words in a sentence, or genes in a genome. A gold standard evaluation technique is structured…
The main idea of canonical correlation analysis (CCA) is to map different views onto a common latent space with maximum correlation. We propose a deep interpretable variational canonical correlation analysis (DICCA) for multi-view learning.…
We propose to compose dynamic tree structures that place the objects in an image into a visual context, helping visual reasoning tasks such as scene graph generation and visual Q&A. Our visual context tree model, dubbed VCTree, has two key…
We present deep variational canonical correlation analysis (VCCA), a deep multi-view learning model that extends the latent variable model interpretation of linear CCA to nonlinear observation models parameterized by deep neural networks.…
We introduce Causal Program Dependence Analysis (CPDA), a dynamic dependence analysis that applies causal inference to model the strength of program dependence relations in a continuous space. CPDA observes the association between program…