相关论文: Vector Autoregressive Models with Spatially Struct…

Modeling multivariate time series as temporal signals over a (possibly dynamic) graph is an effective representational framework that allows for developing models for time series analysis. In fact, discrete sequences of graphs can be…

We study the problem of modeling and inference for spatio-temporal count processes. Our approach uses parsimonious parameterisations of multivariate autoregressive count time series models, including possible regression on covariates. We…

The classical vector autoregressive model is a fundamental tool for multivariate time series analysis. However, it involves too many parameters when the number of time series and lag order are even moderately large. This paper proposes to…

We develop a new methodology for forecasting matrix-valued time series with historical matrix data and auxiliary vector time series data. We focus on a time series of matrices defined on a static 2-D spatial grid and an auxiliary time…

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…

Data derived from remote sensing or numerical simulations often have a regular gridded structure and are large in volume, making it challenging to find accurate spatial models that can fill in missing grid cells or simulate the process…

Vector autoregressive models characterize a variety of time series in which linear combinations of current and past observations can be used to accurately predict future observations. For instance, each element of an observation vector…

Compositional data, such as regional shares of economic sectors or property transactions, are central to understanding structural change in economic systems across space and time. This paper introduces a spatiotemporal multivariate…

Contemporary time series data often feature objects connected by a social network that naturally induces temporal dependence involving connected neighbours. The network vector autoregressive model is useful for describing the influence of…

With the rapid advances of data acquisition techniques, spatio-temporal data are becoming increasingly abundant in a diverse array of disciplines. Here we develop spatio-temporal regression methodology for analyzing large amounts of…

The space time autoregressive model has been widely applied in science, in areas such as economics, public finance, political science, agricultural economics, environmental studies and transportation analyses. The classical space time…

The vector autoregressive (VAR) model has been widely used for modeling temporal dependence in a multivariate time series. For large (and even moderate) dimensions, the number of AR coefficients can be prohibitively large, resulting in…

In finance, economics and many other fields, observations in a matrix form are often generated over time. For example, a set of key economic indicators are regularly reported in different countries every quarter. The observations at each…

This paper investigates a partially linear spatial autoregressive panel data model that incorporates fixed effects, constant and time-varying regression coefficients, and a time-varying spatial lag coefficient. A two-stage least squares…

Modern applications have made ubiquitous high-dimensional data, especially time-dependent data, with more and more complicated structures, and it also has become more frequent to encounter the scenario of hierarchical relationships among…

We present a windowed technique to learn parsimonious time-varying autoregressive models from multivariate timeseries. This unsupervised method uncovers interpretable spatiotemporal structure in data via non-smooth and non-convex…

High-dimensional vector autoregressive (VAR) models provide a flexible framework for characterizing dynamic dependence in multivariate spatio-temporal systems, but their unrestricted estimation becomes infeasible when multiple variables are…

Interval-valued data receives much attention due to its wide applications in the fields of finance, econometrics, meteorology and medicine. However, most regression models developed for interval-valued data assume observations are mutually…

Motivated by predicting intraday trading volume curves, we consider two spatio-temporal autoregressive models for matrix time series, in which each column may represent daily trading volume curve of one asset, and each row captures…

Contemporary time series analysis has seen more and more tensor type data, from many fields. For example, stocks can be grouped according to Size, Book-to-Market ratio, and Operating Profitability, leading to a 3-way tensor observation at…