相关论文: Missing observation analysis for matrix-variate ti…

A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation…

This paper develops a methodology for approximating the posterior first two moments of the posterior distribution in Bayesian inference. Partially specified probability models, which are defined only by specifying means and variances, are…

Data for several applications in diverse fields can be represented as multiple matrices that are linked across rows or columns. This is particularly common in molecular biomedical research, in which multiple molecular "omics" technologies…

We present DeepMVI, a deep learning method for missing value imputation in multidimensional time-series datasets. Missing values are commonplace in decision support platforms that aggregate data over long time stretches from disparate…

The great success of deep learning (DL) has inspired researchers to develop more accurate and efficient symbol detectors for multi-input multi-output (MIMO) systems. Existing DL-based MIMO detectors, however, suffer several drawbacks. To…

Multilevel models (MLMs) are a central building block of the Bayesian workflow. They enable joint, interpretable modeling of data across hierarchical levels and provide a fully probabilistic quantification of uncertainty. Despite their…

Matrix-variate distributions can intuitively model the dependence structure of matrix-valued observations that arise in applications with multivariate time series, spatio-temporal or repeated measures. This paper develops an…

Deep Learning (DL) methods have dramatically increased in popularity in recent years, with significant growth in their application to supervised learning problems in the biomedical sciences. However, the greater prevalence and complexity of…

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…

Koopman theory asserts that a nonlinear dynamical system can be mapped to a linear system, where the Koopman operator advances observations of the state forward in time. However, the observable functions that map states to observations are…

High-dimensional time series data exist in numerous areas such as finance, genomics, healthcare, and neuroscience. An unavoidable aspect of all such datasets is missing data, and dealing with this issue has been an important focus in…

We propose an l1-regularized likelihood method for estimating the inverse covariance matrix in the high-dimensional multivariate normal model in presence of missing data. Our method is based on the assumption that the data are missing at…

Dynamic Bayesian networks (DBNs) are increasingly used in healthcare due to their ability to model complex temporal relationships in patient data while maintaining interpretability, an essential feature for clinical decision-making.…

Hierarchical learning models, such as mixture models and Bayesian networks, are widely employed for unsupervised learning tasks, such as clustering analysis. They consist of observable and hidden variables, which represent the given data…

We propose a two-stage estimation method of variance components in time series models known as FDSLRMs, whose observations can be described by a linear mixed model (LMM). We based estimating variances, fundamental quantities in a time…

In multivariate time series, the estimation of the covariance matrix of the observation innovations plays an important role in forecasting as it enables the computation of the standardized forecast error vectors as well as it enables the…

We present a new class of Bayesian dynamic models for bivariate price-realized volatility time series in financial forecasting. A novel dynamic gamma process model adopted for realized volatility is integrated with traditional Bayesian…

Latent variable models provide a powerful framework for incorporating and inferring unobserved factors in observational data. In causal inference, they help account for hidden factors influencing treatment or outcome, thereby addressing…

Systems are commonly monitored for health and security through collection and streaming of multivariate time series. Advances in time series forecasting due to adoption of multilayer recurrent neural network architectures make it possible…

We present an approach that uses a deep learning model, in particular, a MultiLayer Perceptron (MLP), for estimating the missing values of a variable in multivariate time series data. We focus on filling a long continuous gap (e.g.,…