相关论文: Joint Learning of Panel VAR models with Low Rank a…

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…

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…

Sparse signal recovery based on nonconvex and nonsmooth optimization problems has significant applications and demonstrates superior performance in signal processing and machine learning. This work deals with a scale-invariant…

Existing models for high-dimensional time series are overwhelmingly developed within the finite-order vector autoregressive (VAR) framework. However, the more flexible vector autoregressive moving averages (VARMA) have been much less…

Sparse covariance matrices play crucial roles by encoding the interdependencies between variables in numerous fields such as genetics and neuroscience. Despite substantial studies on sparse covariance matrices, existing methods face several…

We study low-rank matrix regression in settings where matrix-valued predictors and scalar responses are observed across multiple individuals. Rather than assuming a fully homogeneous coefficient matrices across individuals, we accommodate…

We propose dimension reduction methods for sparse, high-dimensional multivariate response regression models. Both the number of responses and that of the predictors may exceed the sample size. Sometimes viewed as complementary, predictor…

Sparse penalized quantile regression provides an effective framework for variable selection and robust estimation in high-dimensional data analysis. When ex planatory variables are organized into groups, achieving sparsity both within and…

Learning vector autoregressive models from multivariate time series is conventionally approached through least squares or maximum likelihood estimation. These methods typically assume a fully connected model which provides no direct insight…

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…

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…

Low-rank tensors are an established framework for high-dimensional least-squares problems. We propose to extend this framework by including the concept of block-sparsity. In the context of polynomial regression each sparsity pattern…

Vector autoregressive (VAR) models are widely used for causal discovery and forecasting in multivariate time series analysis. In the high-dimensional setting, which is increasingly common in fields such as neuroscience and econometrics,…

In recent years, considerable attention has been devoted to the regularization models due to the presence of high-dimensional data in scientific research. Sparse support vector machine (SVM) are useful tools in high-dimensional data…

We consider the problem of sparse variable selection in nonparametric additive models, with the prior knowledge of the structure among the covariates to encourage those variables within a group to be selected jointly. Previous works either…

Vector autoregressive (VAR) models are popularly adopted for modelling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR modelling, the number of parameters grow quadratically with…

The vector autoregressive (VAR) model has been widely used for modeling temporal dependence in a multivariate time series. For large (and even moderate) dimensions, the number of AR coefficients can be prohibitively large, resulting in…

In this paper, we propose a novel variable selection approach in the framework of sparse high-dimensional GLARMA models. It consists in combining the estimation of the autoregressive moving average (ARMA) coefficients of these models with…

The problem of broad practical interest in spatiotemporal data analysis, i.e., discovering interpretable dynamic patterns from spatiotemporal data, is studied in this paper. Towards this end, we develop a time-varying reduced-rank vector…

The additive partially linear model (APLM) combines the flexibility of nonparametric regression with the parsimony of regression models, and has been widely used as a popular tool in multivariate nonparametric regression to alleviate the…