论文检索

非平稳时间序列的图模型AI 解读

We propose NonStGM, a general nonparametric graphical modeling framework, for studying dynamic associations among the components of a nonstationary multivariate time series. It builds on the framework of Gaussian graphical models (GGM) and stationary time series graphical models (StGM) and complements existing works on parametric graphical models based on change point vector autoregressions (VAR). Analogous to StGM, the proposed framework captures conditional noncorrelations…

适用于空间依赖数据的随机森林AI 解读

Spatial linear mixed-models, consisting of a linear covariate effect and a Gaussian process (GP) distributed spatial random effect, are widely used for analyses of geospatial data. We consider the setting where the covariate effect is nonlinear. Random forests (RF) are popular for estimating nonlinear functions but applications of RF for spatial data have often ignored the spatial correlation. We show that this impacts the performance of RF adversely. We propose RF-GLS, a…

大规模向量自回归移动平均模型的稀疏识别与估计AI 解读

The Vector AutoRegressive Moving Average (VARMA) model is fundamental to the theory of multivariate time series; however, identifiability issues have led practitioners to abandon it in favor of the simpler but more restrictive Vector AutoRegressive (VAR) model. We narrow this gap with a new optimization-based approach to VARMA identification built upon the principle of parsimony. Among all equivalent data-generating models, we use convex optimization to seek the…

稀疏高维时间序列模型中的正则化估计AI 解读

Many scientific and economic problems involve the analysis of high-dimensional time series datasets. However, theoretical studies in high-dimensional statistics to date rely primarily on the assumption of independent and identically distributed (i.i.d.) samples. In this work, we focus on stable Gaussian processes and investigate the theoretical properties of $\ell_{1}$-regularized estimates in two important statistical problems in the context of high-dimensional time series:…