相关论文: Modeling Multivariate Positive-Valued Time Series …

In this paper, we propose a novel and efficient two-stage variable selection approach for sparse GLARMA models, which are pervasive for modeling discrete-valued time series. Our approach consists in iteratively combining the estimation of…

Nonparametric varying coefficient (NVC) models are useful for modeling time-varying effects on responses that are measured repeatedly for the same subjects. When the number of covariates is moderate or large, it is desirable to perform…

This work extends the Integrated Nested Laplace Approximation (INLA) method to latent models outside the scope of latent Gaussian models, where independent components of the latent field can have a near-Gaussian distribution. The proposed…

Latent Class Models (LCMs) are used to cluster multivariate categorical data (e.g. group participants based on survey responses). Traditional LCMs assume a property called conditional independence. This assumption can be restrictive,…

In modeling multivariate time series, it is important to allow time-varying smoothness in the mean and covariance process. In particular, there may be certain time intervals exhibiting rapid changes and others in which changes are slow. If…

In recent years, the modeling and analysis of interval-valued time series have garnered significant attention in the fields of econometrics and statistics. However, the existing literature primarily focuses on regression tasks while…

This work introduces a novel, simple, and flexible method to quantify irreversibility in generic high-dimensional time series based on the well-known mapping to a binary classification problem. Our approach utilizes gradient boosting for…

Researchers increasingly wish to estimate time-varying parameter (TVP) regressions which involve a large number of explanatory variables. Including prior information to mitigate over-parameterization concerns has led to many using Bayesian…

This paper deals with inference and prediction for multiple correlated time series, where one has also the choice of using a candidate pool of contemporaneous predictors for each target series. Starting with a structural model for the…

This paper introduces the R package INLAjoint, designed as a toolbox for fitting a diverse range of regression models addressing both longitudinal and survival outcomes. INLAjoint relies on the computational efficiency of the integrated…

Latent Gaussian models are an extremely popular, flexible class of models. Bayesian inference for these models is, however, tricky and time consuming. Recently, Rue, Martino and Chopin introduced the Integrated Nested Laplace Approximation…

In this paper, we write the time-varying parameter (TVP) regression model involving K explanatory variables and T observations as a constant coefficient regression model with KT explanatory variables. In contrast with much of the existing…

Nonstationary time series data exist in various scientific disciplines, including environmental science, biology, signal processing, econometrics, among others. Many Bayesian models have been developed to handle nonstationary time series.…

Aligning large language models (LLMs) to diverse human preferences is fundamentally challenging since criteria can often conflict with each other. Inference-time alignment methods have recently gained popularity as they allow LLMs to be…

This paper offers a new approach to modeling and forecasting of nonstationary time series with applications to volatility modeling for financial data. The approach is based on the assumption of local homogeneity: for every time point, there…

Response times collected in computerised assessments provide information about the underlying response process and may exhibit within-person variation over the course of a test. We propose a latent variable model for log response times that…

Modeling the time-varying covariance structures of high-dimensional variables is critical across diverse scientific and industrial applications; however, existing approaches exhibit notable limitations in either modeling flexibility or…

We demonstrate how the uncertainty of parameter point estimates can be assessed in a maximum likelihood framework in order to prevent overfitting and erroneous detection of time-inhomogeneity. The class of models we consider are regular…

The paper offers a unified approach to the study of three locally adaptive estimation methods in the context of univariate time series from both theoretical and empirical points of view. A general procedure for the computation of critical…

In this work, we propose a novel probabilistic sequence model that excels at capturing high variability in time series data, both across sequences and within an individual sequence. Our method uses temporal latent variables to capture…