相关论文: Detecting periodicity in experimental data using l…

Power systems are developing very fast nowadays, both in size and in complexity; this situation is a challenge for Early Event Detection (EED). This paper proposes a data- driven unsupervised learning method to handle this challenge.…

Identifying the topology underlying a set of time series is useful for tasks such as prediction, denoising, and data completion. Vector autoregressive (VAR) model-based topologies capture dependencies among time series and are often…

We propose a pseudo-structural framework for analyzing contemporaneous co-movements in reduced-rank matrix autoregressive (RRMAR) models. Unlike conventional vector-autoregressive (VAR) models that would discard the matrix structure, our…

The paper examines the problem of representing the dynamics of low order autoregressive (AR) models with time varying (TV) coefficients. The existing literature computes the forecasts of the series from a recursion relation. Instead, we…

This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in…

Modelling physical data with linear discrete time series, namely Fractionally Integrated Autoregressive Moving Average (ARFIMA), is a technique which achieved attention in recent years. However, these models are used mainly as a statistical…

Forward and inverse models are used throughout different engineering fields to predict and understand the behaviour of systems and to find parameters from a set of observations. These models use root-finding and minimisation techniques…

Periodic autoregressive (PAR) time series with finite variance is considered as one of the most common models of second-order cyclostationary processes. However, in the real applications, the signals with periodic characteristics may be…

We consider a class of systems with time-varying parameters, which are written as linear regressions with bounded disturbances. The task is to estimate such parameters under the condition that the regressor is finitely exciting (FE).…

Accurate prediction and identification of variables associated with outcomes or disease states are critical for advancing diagnosis, prognosis, and precision medicine in biomedical research. Regularized regression techniques, such as lasso,…

This paper studies system identification of high-dimensional ARMA models with binary-valued observations. The existing paper can only deal with the case where the regression term is only one-dimensional. In this paper, the ARMA model with…

We develop an anomaly-detection method when systematic anomalies, possibly statistically very similar to genuine inputs, are affecting control systems at the input and/or output stages. The method allows anomaly-free inputs (i.e., those…

In recent years, specific evaluation metrics for time series anomaly detection algorithms have been developed to handle the limitations of the classical precision and recall. However, such metrics are heuristically built as an aggregate of…

The class of autoregressive (AR) processes is extensively used to model temporal dependence in observed time series. Such models are easily available and routinely fitted using freely available statistical software like R. A potential…

The autoregressive moving average (ARMA) model is a classical, and arguably one of the most studied approaches to model time series data. It has compelling theoretical properties and is widely used among practitioners. More recent deep…

Discrete-time input/output models, also called infinite impulse response (IIR) models or autoregressive moving average (ARMA) models, are useful for online identification as they can be efficiently updated using recursive least squares…

Phase retrieval, a nonlinear problem prevalent in imaging applications, has been extensively studied using random models, some of which with i.i.d. sensing matrix components. While these models offer robust reconstruction guarantees, they…

Latent variable models represent a useful tool for the analysis of complex data when the constructs of interest are not observable. A problem related to these models is that the integrals involved in the likelihood function cannot be solved…

We present a new method for causal discovery in linear structural vector autoregressive models. We adapt an idea designed for independent observations to the case of time series while retaining its favorable properties, i.e., explicit error…

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…