相关论文: Autoregressive approaches to import-export time se…

The classical vector autoregressive model is a fundamental tool for multivariate time series analysis. However, it involves too many parameters when the number of time series and lag order are even moderately large. This paper proposes to…

Motivated by predicting intraday trading volume curves, we consider two spatio-temporal autoregressive models for matrix time series, in which each column may represent daily trading volume curve of one asset, and each row captures…

Score-based models have recently been introduced as a richer framework to model distributions in high dimensions and are generally more suitable for generative tasks. In score-based models, a generative task is formulated using a parametric…

Independent or i.i.d. innovations is an essential assumption in the literature for analyzing a vector time series. However, this assumption is either too restrictive for a real-life time series to satisfy or is hard to verify through a…

We study the problem of automatically discovering Granger causal relations from observational multivariate time-series data.Vector autoregressive (VAR) models have been time-tested for this problem, including Bayesian variants and more…

Contemporary time series data often feature objects connected by a social network that naturally induces temporal dependence involving connected neighbours. The network vector autoregressive model is useful for describing the influence of…

In statistics, researchers use Regression models for data analysis and prediction in many productive sectors (industry, business, academy, etc.). Regression models are mathematical functions representing an approximation of dependent…

Granger causality, a popular method for determining causal influence between stochastic processes, is most commonly estimated via linear autoregressive modeling. However, this approach has a serious drawback: if the process being modeled…

Autoregressive models are a class of generative model that probabilistically predict the next output of a sequence based on previous inputs. The autoregressive sequence is by definition one-dimensional (1D), which is natural for language…

This paper develops a novel method to estimate firm-specific market-entry thresholds in international economics, allowing fixed costs to vary across firms alongside productivity. Our framework models market entry as an interaction between…

During the last decades particular effort has been directed towards understanding and predicting the relevant state of the business cycle with the objective of decomposing permanent shocks from those having only a transitory impact on real…

Causality graphs are routinely estimated in social sciences, natural sciences, and engineering due to their capacity to efficiently represent the spatiotemporal structure of multivariate data sets in a format amenable for human…

High-dimensional vector autoregression with measurement error is frequently encountered in a large variety of scientific and business applications. In this article, we study statistical inference of the transition matrix under this model.…

In this article there is no intention to repeat basic concepts about risk management, but we will try to define why often is usefull the time series analysis during the assessment of risks, and how is possible to compute a significative…

Complex systems, such as brains, markets, and societies, exhibit internal dynamics influenced by external factors. Disentangling delayed external effects from internal dynamics within these systems is often challenging. We propose using a…

Empirical researchers increasingly use upstream machine-learning (ML) methods to construct proxies for latent target variables from complex, unstructured data. A naive plug-in use of such proxies in downstream econometric models, however,…

This paper describes a method to estimate a production frontier that satisfies the axioms of monotonicity and concavity in a non-parametric Bayesian setting. An inefficiency term that allows for significant departure from prior…

Convex regression is a promising area for bridging statistical estimation and deterministic convex optimization. New piecewise linear convex regression methods are fast and scalable, but can have instability when used to approximate…

This paper considers a first-order autoregressive panel data model with individual-specific effects and heterogeneous autoregressive coefficients defined on the interval (-1,1], thus allowing for some of the individual processes to have…

While artificial neural networks excel in unsupervised learning of non-sparse structure, classical statistical regression techniques offer better interpretability, in particular when sparseness is enforced by $\ell_1$ regularization,…