相关论文: Network Vector Autoregressive Model for Dyadic Res…

Volatility clustering and spillovers are key features of real-world financial time series when there are a lot of cross-sectional financial assets. While network analysis helps connect stocks that are 'similar' or 'correlated', which is…

The objective of transfer learning is to enhance estimation and inference in a target data by leveraging knowledge gained from additional sources. Recent studies have explored transfer learning for independent observations in complex,…

We propose a Bayesian vector autoregressive (VAR) model for mixed-frequency data. Our model is based on the mean-adjusted parametrization of the VAR and allows for an explicit prior on the 'steady states' (unconditional means) of the…

Using ensemble methods for regression has been a large success in obtaining high-accuracy prediction. Examples are Bagging, Random forest, Boosting, BART (Bayesian additive regression tree), and their variants. In this paper, we propose a…

Autoregressive and recurrent networks have achieved remarkable progress across various fields, from weather forecasting to molecular generation and Large Language Models. Despite their strong predictive capabilities, these models lack a…

We introduce a model of adaptive temporal networks whose evolution is regulated by an interplay between node activity and dynamic exchange of information through links. We study the model by using a master equation approach. Starting from a…

Variational autoencoder is a powerful deep generative model with variational inference. The practice of modeling latent variables in the VAE's original formulation as normal distributions with a diagonal covariance matrix limits the…

We present a time dependent variational method to learn the mechanisms of equilibrium reactive processes and efficiently evaluate their rates within a transition path ensemble. This approach builds off variational path sampling methodology…

High-dimensional vector autoregressive (VAR) models are important tools for the analysis of multivariate time series. This paper focuses on high-dimensional time series and on the different regularized estimation procedures proposed for…

Dynamic networks are commonly used in applications where relational data is observed over time. Statistical models for such data should capture not only the temporal dependencies between networks observed in time, but also the structural…

Autoregressive (AR) models remain widely used in time series analysis due to their interpretability, but convencional parameter estimation methods can be computationally expensive and prone to convergence issues. This paper proposes a…

We propose a multiscale approach to time series autoregression, in which linear regressors for the process in question include features of its own path that live on multiple timescales. We take these multiscale features to be the recent…

We propose a recurrent neural network for a "model-free" simulation of a dynamical system with unknown parameters without prior knowledge. The deep learning model aims to jointly learn the nonlinear time marching operator and the effects of…

Analysis of multivariate time series is a common problem in areas like finance and economics. The classical tool for this purpose are vector autoregressive models. These however are limited to the modeling of linear and symmetric…

This paper presents a novel dynamic network autoregressive conditional heteroscedasticity (ARCH) model based on spatiotemporal ARCH models to forecast volatility in the US stock market. To improve the forecasting accuracy, the model…

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…

The Nonlinear autoregressive exogenous (NARX) model, which predicts the current value of a time series based upon its previous values as well as the current and past values of multiple driving (exogenous) series, has been studied for…

This study proposes a novel portfolio optimization framework that integrates statistical social network analysis with time series forecasting and risk management. Using daily stock data from the S&P 500 (2020-2024), we construct dependency…

A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step…

Dyadic data, where outcomes reflecting pairwise interaction among sampled units are of primary interest, arise frequently in social science research. Regression analyses with such data feature prominently in many research literatures (e.g.,…