相关论文: The fundamental properties of time varying AR mode…

Using a proper model to characterize a time series is crucial in making accurate predictions. In this work we use time-varying autoregressive process (TVAR) to describe non-stationary time series and model it as a mixture of multiple stable…

Time series prediction with missing values is an important problem of time series analysis since complete data is usually hard to obtain in many real-world applications. To model the generation of time series, autoregressive (AR) model is a…

Understanding the time-varying structure of complex temporal systems is one of the main challenges of modern time series analysis. In this paper, we show that every uniformly-positive-definite-in-covariance and sufficiently short-range…

This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in…

The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility…

Predictive linear and nonlinear models based on kernel machines or deep neural networks have been used to discover dependencies among time series. This paper proposes an efficient nonlinear modeling approach for multiple time series, with a…

In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption that the errors are uncorrelated but not necessarily…

Time Series forecasting (univariate and multivariate) is a problem of high complexity due the different patterns that have to be detected in the input, ranging from high to low frequencies ones. In this paper we propose a new model for…

We consider a time-varying first-order autoregressive model with irregular innovations, where we assume that the coefficient function is H\"{o}lder continuous. To estimate this function, we use a quasi-maximum likelihood based approach. A…

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…

We study the problem of robust time series analysis under the standard auto-regressive (AR) time series model in the presence of arbitrary outliers. We devise an efficient hard thresholding based algorithm which can obtain a consistent…

Modern technological advances have enabled an unprecedented amount of structured data with complex temporal dependence, urging the need for new methods to efficiently model and forecast high-dimensional tensor-valued time series. This paper…

Time series models aim for accurate predictions of the future given the past, where the forecasts are used for important downstream tasks like business decision making. In practice, deep learning based time series models come in many forms,…

We introduce Temporal Variational Implicit Neural Representations (TV-INRs), a probabilistic framework for modeling irregular multivariate time series that enables efficient individualized imputation and forecasting. By integrating implicit…

In this paper the problems of the retrospective analysis of models with time-varying structure are considered. These models include contamination models with randomly switching parameters and multivariate classification models with an…

In this contribution we introduce weakly locally stationary time series through the local approximation of the non-stationary covariance structure by a stationary one. This allows us to define autoregression coefficients in a non-stationary…

The class of autoregressive (AR) processes is extensively used to model temporal dependence in observed time series. Such models are easily available and routinely fitted using freely available statistical software like R. A potential…

Time-varying parameter vector autoregression provides a flexible framework to capture structural changes within time series. However, when applied to high-dimensional data, this model encounters challenges of over-parametrization and…

High-dimensional vector autoregressive (VAR) models are important tools for the analysis of multivariate time series. This paper focuses on high-dimensional time series and on the different regularized estimation procedures proposed for…

In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We…