相关论文: Time-varying Factor Augmented Vector Autoregressio…

We consider the problem of learning models for forecasting multiple time-series systems together with discovering the leading indicators that serve as good predictors for the system. We model the systems by linear vector autoregressive…

Many economic environments involve units linked by a network. I develop an econometric framework that derives the dynamics of cross-sectional variables from the lagged innovation transmission along bilateral links and that can accommodate…

This paper introduces structured machine learning regressions for high-dimensional time series data potentially sampled at different frequencies. The sparse-group LASSO estimator can take advantage of such time series data structures and…

We introduce DiverseVAR, a framework that enhances the diversity of text-conditioned visual autoregressive models (VAR) at test time without requiring retraining, fine-tuning, or substantial computational overhead. While VAR models have…

A semi-parametric, non-linear regression model in the presence of latent variables is introduced. These latent variables can correspond to unmodeled phenomena or unmeasured agents in a complex networked system. This new formulation allows…

The central problem we address in this work is estimation of the parameter support set S, the set of indices corresponding to nonzero parameters, in the context of a sparse parametric likelihood model for discrete multivariate time series.…

In contemporary neuroscience, a key area of interest is dynamic effective connectivity, which is crucial for understanding the dynamic interactions and causal relationships between different brain regions. Dynamic effective connectivity can…

The growing demand for robots to operate effectively in diverse environments necessitates the need for robust real-time anomaly detection techniques during robotic operations. However, deep learning-based models in robotics face significant…

While it is widely recognised that linear (structural) VARs may fail to capture important aspects of economic time series, the use of nonlinear SVARs has to date been almost entirely confined to the modelling of stationary time series,…

We introduce Group Spike-and-slab Variational Bayes (GSVB), a scalable method for group sparse regression. A fast co-ordinate ascent variational inference (CAVI) algorithm is developed for several common model families including Gaussian,…

Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions. However, the informational content of low-frequency variables and the results from conditional…

Many modern big data applications feature large scale in both numbers of responses and predictors. Better statistical efficiency and scientific insights can be enabled by understanding the large-scale response-predictor association network…

Generative models of observations under interventions have been a vibrant topic of interest across machine learning and the sciences in recent years. For example, in drug discovery, there is a need to model the effects of diverse…

Jointly modeling and forecasting economic and financial variables across a large set of countries has long been a significant challenge. Two primary approaches have been utilized to address this issue: the vector autoregressive model with…

Graph-based surrogate models provide fast alternatives to high-fidelity CFD solvers, but their opaque latent spaces and limited controllability restrict use in safety-critical settings. A key failure mode in oscillatory flows is phase…

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 develop a Bayesian framework for variable selection in linear regression with autocorrelated errors, accommodating lagged covariates and autoregressive structures. This setting occurs in time series applications where responses depend on…

The standard vector autoregressive (VAR) models suffer from overparameterization which is a serious issue for high-dimensional time series data as it restricts the number of variables and lags that can be incorporated into the model.…

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…

In financial risk management, Value at Risk (VaR) is widely used to estimate potential portfolio losses. VaR's limitation is its inability to account for the magnitude of losses beyond a certain threshold. Expected Shortfall (ES) addresses…