相关论文: On Vector ARMA Models Consistent with a Finite Mat…

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.…

We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit where the number of random variables N and…

Graph matching aims at finding the vertex correspondence between two unlabeled graphs that maximizes the total edge weight correlation. This amounts to solving a computationally intractable quadratic assignment problem. In this paper we…

The standard approach for studying the periodic ARMA model with coefficients that vary over the seasons is to express it in a vector form. In this paper we introduce an alternative method which views the periodic formulation as a time…

Finite difference schemes are here solved by means of a linear matrix equation. The theoretical study of the related algebraic system is exposed, and enables us to minimize the error due to a finite difference approximation, while building…

The paper considers the problem to estimate a graphical model corresponding to an autoregressive moving-average (ARMA) Gaussian stochastic process. We propose a new maximum entropy covariance and cepstral extension problem and we show that…

For the large family of ARMA models with variable coefficients (TV-ARMA), either deterministic or stochastic, we provide an explicit and computationally tractable representation based on the general solution of the associated linear…

Graph topology identification (GTI) is a central challenge in networked systems, where the underlying structure is often hidden, yet nodal data are available. Conventional solutions to address these challenges rely on probabilistic models…

Topological degree theory is a useful tool for studying systems of differential equations. In this work, a biological model is considered. Specifically, we prove the existence of positive T-periodic solutions of a system of delay…

This paper deals with the time-varying high dimensional covariance matrix estimation. We propose two covariance matrix estimators corresponding with a time-varying approximate factor model and a time-varying approximate characteristic-based…

We consider estimation of the covariance matrix of a multivariate random vector under the constraint that certain covariances are zero. We first present an algorithm, which we call Iterative Conditional Fitting, for computing the maximum…

This is a survey of some recent results on the rational circulant covariance extension problem: Given a partial sequence $(c_0,c_1,\dots,c_n)$ of covariance lags $c_k=\mathbb{E}\{y(t+k)\overline{y(t)}\}$ emanating from a stationary periodic…

Relying on recent advances in statistical estimation of covariance distances based on random matrix theory, this article proposes an improved covariance and precision matrix estimation for a wide family of metrics. The method is shown to…

This paper deals with the dynamic factor analysis problem for an ARMA process. To robustly estimate the number of factors, we construct a confidence region centered in a finite sample estimate of the underlying model which contains the true…

The graphical realization of a given degree sequence and given partition adjacency matrix simultaneously is a relevant problem in data driven modeling of networks. Here we formulate common generalizations of this problem and the Exact…

A dynamic factor model with factor series following a VAR$(p)$ model is shown to have a VARMA$(p,p)$ model representation. Reduced-rank structures are identified for the VAR and VMA components of the resulting VARMA model. It is also shown…

Finite difference schemes are here solved by means of a linear matrix equation. The theoretical study of the related algebraic system is exposed, and enables us to minimize the error due to a finite difference approximation.

In this paper, we present a sharp analysis for a class of alternating projected gradient descent algorithms which are used to solve the covariate adjusted precision matrix estimation problem in the high-dimensional setting. We demonstrate…

We present a generalized notion of degree for rotating solutions of planar systems. We prove a formula for the relation of such degree with the classical use of Brouwer's degree and obtain a twist theorem for the existence of periodic…

A high-performing, general-purpose visual understanding model should map visual inputs to a taxonomic tree of labels, identify novel categories beyond the training set for which few or no publicly available images exist. Large Multimodal…