相关论文: Multivariate trend-cycle extraction with the Hodri…

In Markov Chain Monte Carlo (MCMC) simulations, the thermal equilibria quantities are estimated by ensemble average over a sample set containing a large number of correlated samples. These samples are selected in accordance with the…

Accurate and reliable energy time series prediction is of great significance for power generation planning and allocation. At present, deep learning time series prediction has become the mainstream method. However, the multi-scale time…

Accurate and reliable probabilistic forecasts of hydrological quantities like runoff or water level are beneficial to various areas of society. Probabilistic state-of-the-art hydrological ensemble prediction models are usually driven with…

In this paper, we present a novel feature extraction procedure to predict interval-valued time series by combing transfer learning and imaging approaches. Initially, we represent interval-valued time series using a bivariate point-valued…

Synthetic control methods can produce misleading counterfactual predictions when outcome series contain unit-specific stochastic trends, a common feature of nonstationary macroeconomic data. Existing remedies, such as pre-filtering or…

Many real-world systems modeled using partial differential equations (PDEs) involve unknown parameters that must be estimated from limited, noisy system observations. While typically assumed to be constants, some of these unobserved…

The hybrid Monte Carlo (HMC) algorithm is arguably the most efficient sampling method for general probability distributions of continuous variables. Together with exact Fourier acceleration (EFA) the HMC becomes equivalent to direct…

Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…

We combine high-dimensional factor models with fractional integration methods and derive models where nonstationary, potentially cointegrated data of different persistence is modelled as a function of common fractionally integrated factors.…

Classical Time Series Classification algorithms are dominated by feature engineering strategies. One of the most prominent of these transforms is ROCKET, which achieves strong performance through random kernel features. We introduce…

One of the important and widely used classes of models for non-Gaussian time series is the generalized autoregressive model average models (GARMA), which specifies an ARMA structure for the conditional mean process of the underlying time…

Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem. With the sampling…

Text-video retrieval aims to find the most relevant cross-modal samples for a given query. Recent methods focus on modeling the whole spatial-temporal relations. However, since video clips contain more diverse content than captions, the…

This article introduces a nonparametric approach to spectral analysis of a high-dimensional multivariate nonstationary time series. The procedure is based on a novel frequency-domain factor model that provides a flexible yet parsimonious…

An emerging way of tackling the dimensionality issues arising in the modeling of a multivariate process is to assume that the inherent data structure can be captured by a graph. Nevertheless, though state-of-the-art graph-based methods have…

This paper considers the approximation of the continuous time filtering equation for the case of a multiple timescale (slow-intermediate, and fast scales) that may have correlation between the slow-intermediate process and the observation…

Time series analysis finds wide applications in fields such as weather forecasting, anomaly detection, and behavior recognition. Previous methods attempted to model temporal variations directly using 1D time series. However, this has been…

We revisit a model for time-varying linear regression that assumes the unknown parameters evolve according to a linear dynamical system. Counterintuitively, we show that when the underlying dynamics are stable the parameters of this model…

Meta-forecasting is a newly emerging field which combines meta-learning and time series forecasting. The goal of meta-forecasting is to train over a collection of source time series and generalize to new time series one-at-a-time. Previous…

The literature on multivariate time series is, largely, limited to either models based on the multivariate Gaussian distribution or models specifically developed for a given application. In this paper we develop a general approach which is…