相关论文: VARX-L: Structured Regularization for Large Vector…

Conditional forecasts, i.e. projections of a set of variables of interest on the future paths of some other variables, are used routinely by empirical macroeconomists in a number of applied settings. In spite of this, the existing…

Vector autoregression (VAR) models are widely used to analyze the interrelationship between multiple variables over time. Estimation and inference for the transition matrices of VAR models are crucial for practitioners to make decisions in…

We propose a Bayesian vector autoregressive (VAR) model for mixed-frequency data. Our model is based on the mean-adjusted parametrization of the VAR and allows for an explicit prior on the 'steady states' (unconditional means) of the…

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…

Lasso-type estimators are routinely used to estimate high-dimensional time series models. The theoretical guarantees established for these estimators typically require the penalty level to be chosen in a suitable fashion often depending on…

Visual AutoRegressive modeling (VAR) based on next-scale prediction has revitalized autoregressive visual generation. Although its full-context dependency, i.e., modeling all previous scales for next-scale prediction, facilitates more…

Conventional wisdom suggests that autoregressive models are used to process discrete data. When applied to continuous modalities such as visual data, Visual AutoRegressive modeling (VAR) typically resorts to quantization-based approaches to…

A semi-parametric, non-linear regression model in the presence of latent variables is introduced. These latent variables can correspond to unmodeled phenomena or unmeasured agents in a complex networked system. This new formulation allows…

Time series autoregression (AR) is a classical tool for modeling auto-correlations and periodic structures in real-world systems. We revisit this model from an interpretable machine learning perspective by introducing sparse autoregression…

We propose a multiscale approach to time series autoregression, in which linear regressors for the process in question include features of its own path that live on multiple timescales. We take these multiscale features to be the recent…

Visual Autoregressive (VAR) models have recently garnered significant attention for their innovative next-scale prediction paradigm, offering notable advantages in both inference efficiency and image quality compared to traditional…

This project introduces the GNAR-HARX model, which combines Generalised Network Autoregressive (GNAR) structure with Heterogeneous Autoregressive (HAR) dynamics and exogenous predictors such as implied volatility. The model is designed for…

Scaling visual generation models is essential for real-world content creation, yet requires substantial training and computational expenses. Alternatively, test-time scaling has garnered growing attention due to resource efficiency and…

The multiple-subject vector autoregression (multi-VAR) model captures heterogeneous network Granger causality across subjects by decomposing individual sparse VAR transition matrices into commonly shared and subject-unique paths. The model…

As evidenced by various recent and significant papers within the frequentist literature, along with numerous applications in macroeconomics, genomics, and neuroscience, there continues to be substantial interest to understand the…

Real-world time series data exhibit non-stationary behavior, regime shifts, and temporally varying noise (heteroscedastic) that degrade the robustness of standard regression models. We introduce the Variability-Aware Recursive Neural…

This paper introduces a new type of regression methodology named as Convex-Area-Wise Linear Regression(CALR), which separates given datasets by disjoint convex areas and fits different linear regression models for different areas. This…

The objective of transfer learning is to enhance estimation and inference in a target data by leveraging knowledge gained from additional sources. Recent studies have explored transfer learning for independent observations in complex,…

Vector Auto-Regressive (VAR) models capture lead-lag temporal dynamics of multivariate time series data. They have been widely used in macroeconomics, financial econometrics, neuroscience and functional genomics. In many applications, the…

Certain theoretical aspects of vector autoregression (VAR) as tools to model economic time series are revised, in particular their capacity to include both short term and long term information. The VAR model, in its error correction form,…