相关论文: Stable Reduced-Rank VAR Identification

Recently, many regularized procedures have been proposed for variable selection in linear regression, but their performance depends on the tuning parameter selection. Here a criterion for the tuning parameter selection is proposed, which…

The radiative transfer equation models various physical processes ranging from plasma simulations to radiation therapy. In practice, these phenomena are often subject to uncertainties. Modeling and propagating these uncertainties requires…

Visual Autoregressive (VAR) models have recently garnered significant attention for their innovative next-scale prediction paradigm, offering notable advantages in both inference efficiency and image quality compared to traditional…

The R package BigVAR allows for the simultaneous estimation of high-dimensional time series by applying structured penalties to the conventional vector autoregression (VAR) and vector autoregression with exogenous variables (VARX)…

Evanescent random fields arise as a component of the 2-D Wold decomposition of homogenous random fields. Besides their theoretical importance, evanescent random fields have a number of practical applications, such as in modeling the…

For some variants of regression models, including partial, measurement error or error-in-variables, latent effects, semi-parametric and otherwise corrupted linear models, the classical parametric tests generally do not perform well. Various…

Optimization problems with rank constraints arise in many applications, including matrix regression, structured PCA, matrix completion and matrix decomposition problems. An attractive heuristic for solving such problems is to factorize the…

We study the problem of learning the support of transition matrix between random processes in a Vector Autoregressive (VAR) model from samples when a subset of the processes are latent. It is well known that ignoring the effect of the…

Deep latent variable models have achieved significant empirical successes in model-based reinforcement learning (RL) due to their expressiveness in modeling complex transition dynamics. On the other hand, it remains unclear theoretically…

Optimization problems with an auxiliary latent variable structure in addition to the main model parameters occur frequently in computer vision and machine learning. The additional latent variables make the underlying optimization task…

The quintessential model-based reinforcement-learning agent iteratively refines its estimates or prior beliefs about the true underlying model of the environment. Recent empirical successes in model-based reinforcement learning with…

Multivariate network time series are ubiquitous in modern systems, yet existing network autoregressive models typically treat nodes as scalar processes, ignoring cross-variable spillovers. To capture these complex interactions without the…

This paper studies the inference of the regression coefficient matrix under multivariate response linear regressions in the presence of hidden variables. A novel procedure for constructing confidence intervals of entries of the coefficient…

Matrix-variate time series data are increasingly popular in economics, statistics, and environmental studies, among other fields. This paper develops regularized estimation methods for analyzing high-dimensional matrix-variate time series…

Accurate transient stability assessment is a crucial prerequisite for proper power system operation and planning with various operational constraints. Transient stability assessment of modern power systems is becoming very challenging due…

Traditional econometric analyzes represent observations as vectors despite the inherent complexity of empirical data structures. When data are organized along dual classification dimensions, a matrix representation provides a more natural…

As the use of machine learning in high impact domains becomes widespread, the importance of evaluating safety has increased. An important aspect of this is evaluating how robust a model is to changes in setting or population, which…

Reduced-rank regression is a dimensionality reduction method with many applications. The asymptotic theory for reduced rank estimators of parameter matrices in multivariate linear models has been studied extensively. In contrast, few…

Assessing the statistical significance of parameter estimates is an important step in high-dimensional vector autoregression modeling. Using the least-squares boosting method, we compute the p-value for each selected parameter at every…

Causality graphs are routinely estimated in social sciences, natural sciences, and engineering due to their capacity to efficiently represent the spatiotemporal structure of multivariate data sets in a format amenable for human…