相关论文: Covariance matrix estimation and linear process bo…

Short fixed-length inputs are the main bottleneck of deep learning methods in long time-series forecasting tasks. Prolonging input length causes overfitting, rapidly deteriorating accuracy. Our research indicates that the overfitting is a…

Long-term time series forecasting plays an important role in various real-world scenarios. Recent deep learning methods for long-term series forecasting tend to capture the intricate patterns of time series by decomposition-based or…

The bootstrap provides a simple and powerful means of assessing the quality of estimators. However, in settings involving large datasets---which are increasingly prevalent---the computation of bootstrap-based quantities can be prohibitively…

We describe spatio-temporal random processes using linear mixed models. We show how many commonly used models can be viewed as special cases of this general framework and pay close attention to models with separable or product-sum…

Irregularly sampled time series forecasting, characterized by non-uniform intervals, is prevalent in practical applications. However, previous research have been focused on regular time series forecasting, typically relying on transformer…

The bootstrap is a popular and powerful method for assessing precision of estimators and inferential methods. However, for massive datasets which are increasingly prevalent, the bootstrap becomes prohibitively costly in computation and its…

In this work, we consider a multivariate regression model with one-sided errors. We assume for the regression function to lie in a general H\"{o}lder class and estimate it via a nonparametric local polynomial approach that consists of…

We consider the problem of learning a classifier from observed functional data. Here, each data-point takes the form of a single time-series and contains numerous features. Assuming that each such series comes with a binary label, the…

Generalized linear model or GLM constitutes a large class of models and essentially extends the ordinary linear regression by connecting the mean of the response variable with the covariate through appropriate link functions. On the other…

Multivariate $\operatorname {COGARCH}(1,1)$ processes are introduced as a continuous-time models for multidimensional heteroskedastic observations. Our model is driven by a single multivariate L\'{e}vy process and the latent time-varying…

Estimating the disturbance or clutter covariance is a centrally important problem in radar space time adaptive processing (STAP). The disturbance covariance matrix should be inferred from training sample observations in practice. Large…

Deep learning methods are powerful tools in classifying multivariate time series data. Despite their high performance, these methods are hard to interpret, which diminishes their applications in high-risk domains such as healthcare. In this…

With the advent of massive data sets much of the computational science and engineering community has moved toward data-intensive approaches in regression and classification. However, these present significant challenges due to increasing…

We propose an Embedding Network Autoregressive Model for multivariate networked longitudinal data. We assume the network is generated from a latent variable model, and these unobserved variables are included in a structural peer effect…

Autoregressive Recurrent Neural Networks are widely employed in time-series forecasting tasks, demonstrating effectiveness in univariate and certain multivariate scenarios. However, their inherent structure does not readily accommodate the…

The problem of quantifying uncertainty about the locations of multiple change points by means of confidence intervals is addressed. The asymptotic distribution of the change point estimators obtained as the local maximisers of moving sum…

We propose a new method to construct confidence intervals for quantities that are associated with a stationary time series, which avoids direct estimation of the asymptotic variances. Unlike the existing tuning-parameter-dependent…

This article studies the limiting behavior of a class of robust population covariance matrix estimators, originally due to Maronna in 1976, in the regime where both the number of available samples and the population size grow large. Using…

Multivariate spatio-temporal data arise more and more frequently in a wide range of applications; however, there are relatively few general statistical methods that can readily use that incorporate spatial, temporal and variable…

The success of large-scale models in recent years has increased the importance of statistical models with numerous parameters. Several studies have analyzed over-parameterized linear models with high-dimensional data, which may not be…