相关论文: Sliced Average Variance Estimation for Multivariat…

The reduced-rank vector autoregressive (VAR) model can be interpreted as a supervised factor model, where two factor modelings are simultaneously applied to response and predictor spaces. This article introduces a new model, called vector…

Subsequence clustering of multivariate time series is a useful tool for discovering repeated patterns in temporal data. Once these patterns have been discovered, seemingly complicated datasets can be interpreted as a temporal sequence of…

Vector autoregressive (VAR) models are popularly adopted for modelling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR modelling, the number of parameters grow quadratically with…

In data science, vector autoregression (VAR) models are popular in modeling multivariate time series in the environmental sciences and other applications. However, these models are computationally complex with the number of parameters…

The ``curse of dimensionality'' has remained a challenge for high-dimensional data analysis in statistics. The sliced inverse regression (SIR) and canonical correlation (CANCOR) methods aim to reduce the dimensionality of data by replacing…

The unprecedented availability of spatial and temporal high-resolution satellite image time series (SITS) for crop type mapping is believed to necessitate deep learning architectures to accommodate challenges arising from both dimensions.…

In recent years, there has been a remarkable development of simulation-based inference (SBI) algorithms, and they have now been applied across a wide range of astrophysical and cosmological analyses. There are a number of key advantages to…

This paper introduces structured machine learning regressions for high-dimensional time series data potentially sampled at different frequencies. The sparse-group LASSO estimator can take advantage of such time series data structures and…

This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…

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…

The vector autoregressive (VAR) model is a powerful tool in modeling complex time series and has been exploited in many fields. However, fitting high dimensional VAR model poses some unique challenges: On one hand, the dimensionality,…

Existing methods of vector autoregressive model for multivariate time series analysis make use of low-rank matrix approximation or Tucker decomposition to reduce the dimension of the over-parameterization issue. In this paper, we propose a…

We consider Bayesian tensor vector autoregressions (TVARs) in which the VAR coefficients are arranged as a three-dimensional array or tensor, and this coefficient tensor is parameterized using a low-rank CP decomposition. We develop a…

Simulation-based inference (SBI) solves statistical inverse problems by repeatedly running a stochastic simulator and inferring posterior distributions from model-simulations. To improve simulation efficiency, several inference methods take…

Visualizing multiple time series presents fundamental tradeoffs between scalability and visual clarity. Time series capture the behavior of many large-scale real-world processes, from stock market trends to urban activities. Users often…

Mutual information (MI) is a fundamental measure of statistical dependence, with a myriad of applications to information theory, statistics, and machine learning. While it possesses many desirable structural properties, the estimation of…

Estimating a high-dimensional sparse covariance matrix from a limited number of samples is a fundamental problem in contemporary data analysis. Most proposals to date, however, are not robust to outliers or heavy tails. Towards bridging…

We consider the estimation of integrated covariance (ICV) matrices of high dimensional diffusion processes based on high frequency observations. We start by studying the most commonly used estimator, the realized covariance (RCV) matrix. We…

Time-series classification is an important domain of machine learning and a plethora of methods have been developed for the task. In comparison to existing approaches, this study presents a novel method which decomposes a time-series…

Estimating a sparse covariance matrix is a fundamental problem in high-dimensional statistics. However, thresholding methods developed for independent data are generally not directly applicable to high-dimensional time series, where…