相关论文: Independent Innovation Analysis for Nonlinear Vect…

Nonlinear ICA is a fundamental problem for unsupervised representation learning, emphasizing the capacity to recover the underlying latent variables generating the data (i.e., identifiability). Recently, the very first identifiability…

Predictive linear and nonlinear models based on kernel machines or deep neural networks have been used to discover dependencies among time series. This paper proposes an efficient nonlinear modeling approach for multiple time series, with a…

An innovations sequence of a time series is a sequence of independent and identically distributed random variables with which the original time series has a causal representation. The innovation at a time is statistically independent of the…

Nonlinear independent component analysis (ICA) aims to recover the underlying independent latent sources from their observable nonlinear mixtures. How to make the nonlinear ICA model identifiable up to certain trivial indeterminacies is a…

Independent or i.i.d. innovations is an essential assumption in the literature for analyzing a vector time series. However, this assumption is either too restrictive for a real-life time series to satisfy or is hard to verify through a…

Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new…

INteger Auto-Regressive (INAR) processes are usually defined by specifying the innovations and the operator, which often leads to difficulties in deriving marginal properties of the process. In many practical situations, a major modeling…

As a special infinite-order vector autoregressive (VAR) model, the vector autoregressive moving average (VARMA) model can capture much richer temporal patterns than the widely used finite-order VAR model. However, its practicality has long…

High-dimensional vector autoregressive (VAR) models have numerous applications in fields such as econometrics, biology, climatology, among others. While prior research has mainly focused on linear VAR models, these approaches can be…

The goal of this paper is to extend independent subspace analysis (ISA) to the case of (i) nonparametric, not strictly stationary source dynamics and (ii) unknown source component dimensions. We make use of functional autoregressive (fAR)…

Structural vector autoregressive (SVAR) models are widely used to analyze the simultaneous relationships between multiple time-dependent data. Various statistical inference methods have been studied to overcome the identification problems…

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…

Identifying relationships among stochastic processes is a core objective in many fields, such as economics. While the standard toolkit for multivariate time series analysis has many advantages, it can be difficult to capture nonlinear…

Independent component analysis provides a principled framework for unsupervised representation learning, with solid theory on the identifiability of the latent code that generated the data, given only observations of mixtures thereof.…

We introduce Iterated Integrated Attributions (IIA) - a generic method for explaining the predictions of vision models. IIA employs iterative integration across the input image, the internal representations generated by the model, and their…

High-dimensional panels of time series often arise in finance and macroeconomics, where co-movements within groups of panel components occur. Extracting these groupings from the data provides a coarse-grained description of the complex…

Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…

High-dimensional financial time series often exhibit complex dependence relations driven by both common market structures and latent connections among assets. To capture these characteristics, this paper proposes Factor-Driven Network…

For general panel data, by introducing network structure, network vector autoregressive (NVAR) model captured the linear inter dependencies among multiple time series. In this paper, we propose network vector autoregressive model for dyadic…

Time series forecasting holds significant importance across various industries, including finance, transportation, energy, healthcare, and climate. Despite the widespread use of linear networks due to their low computational cost and…