相关论文: Corrected portmanteau tests for VAR models with ti…

Gaussian Process Latent Variable Models (GPLVMs) have become increasingly popular for unsupervised tasks such as dimensionality reduction and missing data recovery due to their flexibility and non-linear nature. An importance-weighted…

Modeling the relationship between vehicle speed and density on the road is a fundamental problem in traffic flow theory. Recent research found that using the least-squares (LS) method to calibrate single-regime speed-density models is…

The Portmanteau test provides the vanilla method for detecting serial correlations in classical univariate time series analysis. The method is extended to the case of observations from a locally stationary functional time series. Asymptotic…

Vector autoregression (VAR) models are widely used to analyze the interrelationship between multiple variables over time. Estimation and inference for the transition matrices of VAR models are crucial for practitioners to make decisions in…

Vector autoregression (VAR) is a fundamental tool for modeling multivariate time series. However, as the number of component series is increased, the VAR model becomes overparameterized. Several authors have addressed this issue by…

This paper introduces and analyzes a framework that accommodates general heterogeneity in regression modeling. It demonstrates that regression models with fixed or time-varying parameters can be estimated using the OLS and time-varying OLS…

A factor-augmented vector autoregressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations amongst a set of observed variables $X$ and latent factors $F$, and a calibration equation that relates another set of…

We propose a specification test for conditional location--scale models based on extremal dependence properties of the standardized residuals. We do so comparing the left-over serial extremal dependence -- as measured by the pre-asymptotic…

In the sparse linear regression setting, we consider testing the significance of the predictor variable that enters the current lasso model, in the sequence of models visited along the lasso solution path. We propose a simple test statistic…

The vector autoregressive (VAR) model has been used to describe the dependence within and across multiple time series. This is a model for stationary time series which can be extended to allow the presence of a deterministic trend in each…

Recent work on activation and latent steering has demonstrated that modifying internal representations can effectively guide large language models (LLMs) toward improved reasoning and efficiency without additional training. However, most…

The paper studies nonstationary high-dimensional vector autoregressions of order $k$, VAR($k$). Additional deterministic terms such as trend or seasonality are allowed. The number of time periods, $T$, and the number of coordinates, $N$,…

The planning problem constitutes a fundamental aspect of the autonomous driving framework. Recent strides in representation learning have empowered vehicles to comprehend their surrounding environments, thereby facilitating the integration…

Many theoretical results for the lasso require the samples to be iid. Recent work has provided guarantees for the lasso assuming that the time series is generated by a sparse Vector Auto-Regressive (VAR) model with Gaussian innovations.…

Recent economic events, including the global financial crisis and COVID-19 pandemic, have exposed limitations in linear Factor Augmented Vector Autoregressive (FAVAR) models for forecasting and structural analysis. Nonlinear dimension…

This paper considers an augmented double autoregressive (DAR) model, which allows null volatility coefficients to circumvent the over-parameterization problem in the DAR model. Since the volatility coefficients might be on the boundary, the…

In recent years, samples of time-varying object data such as time-varying networks that are not in a vector space have been increasingly collected. These data can be viewed as elements of a general metric space that lacks local or global…

We present Visual AutoRegressive modeling (VAR), a new generation paradigm that redefines the autoregressive learning on images as coarse-to-fine "next-scale prediction" or "next-resolution prediction", diverging from the standard…

In this article, we propose the fractional lower order covariance method (FLOC) for estimating the parameters of vector autoregressive process (VAR) of order $p$, $p\geq 1$ with symmetric stable noise. Further, we show the efficiency,…

This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run component for unconditional variance by the kernel estimator, and…