相关论文: Estimation in threshold autoregressive models with…

For time series data observed at non-random and possibly non-equidistant time points, we estimate the trend function nonparametrically. Under the assumption of a bounded total variation of the function and low-order moment conditions on the…

High-dimensional vector autoregressive (VAR) models have numerous applications in fields such as econometrics, biology, climatology, among others. While prior research has mainly focused on linear VAR models, these approaches can be…

Data derived from remote sensing or numerical simulations often have a regular gridded structure and are large in volume, making it challenging to find accurate spatial models that can fill in missing grid cells or simulate the process…

The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the driven noise is also given by a first-order…

Mixture autoregressive (MAR) models provide a flexible way to model time series with predictive distributions which depend on the recent history of the process and are able to accommodate asymmetry and multimodality. Bayesian inference for…

This paper develops a novel two-step estimating procedure for heavy-tailed AR models with non-zero median GARCH-type noises, allowing for time-varying volatility. We first establish the self-weighted quantile regression estimator (SQE)…

The paper considers the problem to estimate non-causal graphical models whose edges encode smoothing relations among the variables. We propose a new covariance extension problem and show that the solution minimizing the transportation…

This paper introduces a fully Bayesian analysis of mixture autoregressive models with Student t components. With the capacity of capturing the behaviour in the tails of the distribution, the Student t MAR model provides a more flexible…

High-dimensional auto-regressive models provide a natural way to model influence between $M$ actors given multi-variate time series data for $T$ time intervals. While there has been considerable work on network estimation, there is limited…

Threshold autoregressive moving-average (TARMA) models are popular in time series analysis due to their ability to parsimoniously describe several complex dynamical features. However, neither theory nor estimation methods are currently…

The paper introduces novel methodologies for the identification of coefficients of switched autoregressive and switched autoregressive exogenous linear models. We consider cases which system's outputs are contaminated by possibly large…

This paper develops a method for estimating parameters of a vector autoregression (VAR) observed in white noise. The estimation method assumes the noise variance matrix is known and does not require any iterative process. This study…

A random coefficient autoregressive process is deeply investigated in which the coefficients are correlated. First we look at the existence of a strictly stationary causal solution, we give the second-order stationarity conditions and the…

This paper introduces an alternative approach to sampling from autoregressive models. Autoregressive models are typically sampled sequentially, according to the transition dynamics defined by the model. Instead, we propose a sampling…

We introduce a new method of Bayesian wavelet shrinkage for reconstructing a signal when we observe a noisy version. Rather than making the common assumption that the wavelet coefficients of the signal are independent, we allow for the…

Autoregressive (AR) models have become a popular tool for unsupervised learning, achieving state-of-the-art log likelihood estimates. We investigate the use of AR models as density estimators in two settings -- as a learning signal for…

This paper studies some temporal dependence properties and addresses the issue of parametric estimation for a class of state-dependent autoregressive models for nonlinear time series in which we assume a stochastic autoregressive…

Autoregressive cokriging models have been widely used to emulate multiple computer models with different levels of fidelity. The dependence structures are modeled via Gaussian processes at each level of fidelity, where covariance structures…

We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail. When the model is normal, we show that the…

Standard simultaneous autoregressive (SAR) models typically assume normally distributed errors, an assumption often violated in real-world datasets that frequently exhibit non-normal, skewed, or heavy-tailed characteristics. New SAR models…