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

Current end-to-end autonomous driving systems are fundamentally limited by a mismatch between temporal causal reasoning and global trajectory consistency. Autoregressive (AR) models capture interaction-aware temporal dependencies via causal…

Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach…

Many modern time series arise on networks, where each component is attached to a node and interactions follow observed edges. Classical time-varying parameter VARs (TVP-VARs) treat all series symmetrically and ignore this structure, while…

Multivariate time-series modeling and forecasting is an important problem with numerous applications. Traditional approaches such as VAR (vector auto-regressive) models and more recent approaches such as RNNs (recurrent neural networks) are…

Visual generation is dominated by three paradigms: AutoRegressive (AR), diffusion, and Visual AutoRegressive (VAR) models. Unlike AR and diffusion, VARs operate on heterogeneous input structures across their generation steps, which creates…

In contemporary neuroscience, a key area of interest is dynamic effective connectivity, which is crucial for understanding the dynamic interactions and causal relationships between different brain regions. Dynamic effective connectivity can…

Vector autoregressions (VARs) are popular model for analyzing multivariate economic time series. However, VARs can be over-parameterized if the numbers of variables and lags are moderately large. Tensor VAR, a recent solution to…

Local projection (LP) and structural vector autoregression (SVAR) are commonly employed to estimate dynamic causal effects of macroeconomic policies at multiple horizons. With enough lags as controls, LP estimators have little bias but…

A long memory and non-linear realized volatility model class is proposed for direct Value at Risk (VaR) forecasting. This model, referred to as RNN-HAR, extends the heterogeneous autoregressive (HAR) model, a framework known for efficiently…

Maximum likelihood estimation of large Markov-switching vector autoregressions (MS-VARs) can be challenging or infeasible due to parameter proliferation. To accommodate situations where dimensionality may be of comparable order to or…

Graph-based techniques emerged as a choice to deal with the dimensionality issues in modeling multivariate time series. However, there is yet no complete understanding of how the underlying structure could be exploited to ease this task.…

Controllable image synthesis, which enables fine-grained control over generated outputs, has emerged as a key focus in visual generative modeling. However, controllable generation remains challenging for Visual Autoregressive (VAR) models…

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…

Incorporating nonlinearity is paramount to predicting the future states of a dynamical system, its response to shocks, and its underlying causal network. However, most existing methods for causality detection and impulse response, such as…

Existing regression models tend to fall short in both accuracy and uncertainty estimation when the label distribution is imbalanced. In this paper, we propose a probabilistic deep learning model, dubbed variational imbalanced regression…

Recent progress in reasoning capabilities of Multimodal Large Language Models(MLLMs) has highlighted their potential for performing complex video understanding tasks. However, in the domain of Video Anomaly Detection and Understanding…

We consider reduced-rank modeling of the white noise covariance matrix in a large dimensional vector autoregressive (VAR) model. We first propose the reduced-rank covariance estimator under the setting where independent observations are…

In system identification, estimating parameters of a model using limited observations results in poor identifiability. To cope with this issue, we propose a new method to simultaneously select and estimate sensitive parameters as key model…

In this paper we propose a multivariate quantile regression framework to forecast Value at Risk (VaR) and Expected Shortfall (ES) of multiple financial assets simultaneously, extending Taylor (2019). We generalize the Multivariate…

We consider statistical inference for impulse responses in sparse, structural high-dimensional vector autoregressive (SVAR) systems. We introduce consistent estimators of impulse responses in the high-dimensional setting and suggest valid…