Bayesian analysis of financial time series using R-INLA.
problem Analyzing interdependencies between stock volatility measures.
method Flexible level correlated model (LCM) with INLA approximation.
result Fast approximate Bayesian modeling of positive-valued time series.
MEM models improve volatility forecasting in financial markets.
problem Improving volatility forecasting in financial markets.
method Multiplicative Error Model (MEM) framework for positive-valued time series.
result MEMs parsimoniously produce good forecasts of asset returns.
Rocket algorithm classifies time-series data efficiently using random projections and natural sparsity.
problem Time-series classification challenges in diverse fields.
method Random convolutional kernels, non-linear transformation, compressed sensing framework.
result Rocket algorithm preserves discriminative patterns in time-series data and expresses inherent sparsity.
A novel method for learning DAGs from positive-valued data.
problem Causal discovery from observational data of positive-valued variables.
method Hybrid Moment-Ratio Scoring (H-MRS) algorithm combining moment-based scoring and log-scale regression.
result H-MRS integrates log-scale Ridge regression for moment-ratio estimation with a greedy ordering procedure based on raw-scale moment ratios, followed by Elastic Net-based parent selection.
Study of Ricci flow on trees, focusing on edge weights and curvatures.
problem Understanding the evolution of metrics on trees under Ricci flow.
method Continuous-time Ricci flow based on Lin-Lu-Yau Ollivier Ricci curvature.
result Ricci flow converges to zero curvature on edge weights of positive normalized values in caterpillar trees.
We prove that, in the l-ball of the Cayley graph of the braid group with n⩾3 strands, the proportion of rigid pseudo-Anosov braids is bounded below independently of l by a positive value.
A stochastic model helps maintain insufficiently funded pension funds.
problem Maintaining pension funds that are underfunded and require external financing.
method A time-homogeneous diffusion process with a barrier is used to model the unrestricted reserves value, and a renewal-reward process models the financing effort.
result Expected values and cost evaluations of maintenance are derived, and the approach is applied to a generalized Brownian motion process.
We investigate the variety of a portfolio of stocks in normal and extreme days of market activity. We show that the variety carries information about the market activity which is not present in the single-index model and we observe that the variety time evolution is not time reversal around the crash days. We obtain th…
The study characterizes sets for which one-layer neural networks are positive.
problem Characterizing sets of points for which one-layer neural networks are positive.
method Investigation of subsets of the real plane for one-layer ReLU neural networks.
result Full characterization of such sets for cones, and necessary condition for any subset of \(\mathbb{R}^d\).
We prove that the flat product metric on Dn×S1 is scattering rigid where Dn is the unit ball in Rn and n≥2. The scattering data (loosely speaking) of a Riemannian manifold with boundary is map S:U+∂M→U−∂M from unit vectors V at the boundary that point inward to unit vecto…
Let X be a building of uniform thickness q+1. L^2-Betti numbers of X are reinterpreted as von-Neumann dimensions of weighted L^2-cohomology of the underlying Coxeter group. The dimension is measured with the help of the Hecke algebra. The weight depends on the thickness q. The weighted cohomology makes sense for all re…
In the present work some generalizations of the Hawking singularity theorems in the context of f(R) theories are presented. The assumptions are of these generalized theorems is that the matter fields satisfy the conditions (Tij−2gijT)kikj≥0 for any generic unit time like field, that…
New model explains price dynamics of Bitcoin with psychological factors.
problem Understanding price variations in cryptocurrency markets with psychological factors.
method Extended agent-based model with heterogeneous psychological parameters.
result Model shows diverse dynamics based on psychological correlation.
We study the solvability of the equation for the smooth function F, H=-k F g, on a geodesically complete pseudo-Riemannian manifold (M,g), H being the covariant Hessian of F. A similar equation was considered by Obata and Gallot in the Riemannian case for positive values of the constant k; the result was that the manif…
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance σ2, the price impact H and the predictability K for both models with linear and square root impact functions. The sum of the traders' wealth displays a positive v…
The explosion of time series data in recent years has brought a flourish of new time series analysis methods, for forecasting, clustering, classification and other tasks. The evaluation of these new methods requires either collecting or simulating a diverse set of time series benchmarking data to enable reliable compar…
Previous studies indicate that nonlinear properties of Gaussian time series with long-range correlations, ui, can be detected and quantified by studying the correlations in the magnitude series ∣ui∣, i.e., the ``volatility''. However, the origin for this empirical observation still remains unclear, and the exact …
Research into time series classification has tended to focus on the case of series of uniform length. However, it is common for real-world time series data to have unequal lengths. Differing time series lengths may arise from a number of fundamentally different mechanisms. In this work, we identify and evaluate two cla…
Modeling regime shifts in co-evolving time series with interactions and time-dependency.
problem Discovering and modeling regime shifts in multiple time series with relationships and time-dependent behaviors.
method Modeling interactions and time-dependency in co-evolving time series using a mapping grid and dynamic network representation for regime identification and time-dependent Cox regression for regime transition probabilities.
result A principled approach for modeling interactions and time-dependency in co-evolving time series.
MDF represents time series motifs as images for improved classification.
problem Classifying time series data with high-order patterns.
method Motif Difference Field (MDF) using Fully Convolutional Networks (FCN).
result MDF outperforms other methods on UCR time series datasets.
We provide the proof that the space of time series data is a Kolmogorov space with T0-separation axiom using the loop space of time series data. In our approach we define a cyclic coordinate of intrinsic time scale of time series data after empirical mode decomposition. A spinor field of time series data comes fro…
Capturing the dynamical properties of time series concisely as interpretable feature vectors can enable efficient clustering and classification for time-series applications across science and industry. Selecting an appropriate feature-based representation of time series for a given application can be achieved through s…
Overview of high-dimensional time series regression methods.
problem Estimation and inference with high-dimensional time series data.
method Limit theory for high-dimensional dependent data, asymptotic theory for time series regression, statistical learning methods.
result Main limit theory results and asymptotic theory for high-dimensional time series regression.
New method uses Transformers for flu forecasting.
problem Forecasting influenza-like illness trends.
method Transformer-based machine learning models with self-attention.
result Forecasting results are competitive with state-of-the-art methods.
Improved prediction of hierarchical time series using structured regularization.
problem Making coherent forecasts for hierarchical time series.
method Structured regularization method for bottom-level time series predictions.
result Superior prediction accuracy and computational efficiency compared to previous methods.
Introduces a new benchmark for time series extrinsic regression.
problem Predicting a single continuous value from univariate or multivariate time series, not necessarily related to the predictor.
method Developed a new benchmarking archive for time series extrinsic regression.
result Initial benchmarking of existing models on the new TSER datasets.
Few-shot learning improves time-series forecasting with limited data.
problem Limited data in target tasks degrade forecasting performance.
method A few-shot learning method using recurrent neural networks with attention.
result The model forecasts future values effectively with minimal data.
Meta-learning for Koopman spectral analysis with short time-series data.
problem Lack of long time-series for training embedding functions in Koopman spectral analysis.
method Meta-learning approach using bidirectional LSTM and neural network to estimate embedding functions from short time-series.
result The proposed method achieves better performance in eigenvalue estimation and future prediction compared to existing methods.
Transformers improve time series modeling by capturing long-range dependencies.
problem Capturing long-range dependencies in time series data.
method Summarized and reviewed adaptations of Transformers for time series analysis.
result Transformers enhance time series forecasting, anomaly detection, and classification.
Archive of 20 time series datasets for forecasting evaluation.
problem Lack of comprehensive time series forecasting datasets.
method Compilation and characterisation of 20 datasets from various domains.
result Characterisation and performance evaluation of datasets.
Multidimensional time series are sequences of real valued vectors. They occur in different areas, for example handwritten characters, GPS tracking, and gestures of modern virtual reality motion controllers. Within these areas, a common task is to search for similar time series. Dynamic Time Warping (DTW) is a common di…
theft package simplifies feature extraction for time series analysis in R.
problem Lack of a unified access point and methodological pipelines for feature-based time series analysis.
method theft package provides a unified framework for computing features from six open-source time series feature sets.
result theft enables comprehensive quantification and interpretation of time series structure.
Method summarizes and predicts time series data for COVID-19 cases and deaths.
problem Summarizing and predicting time series data for multiple related time series.
method Hierarchical algorithm generating shapelets for centroids, nearest neighbor search for labeling, dynamic time warping for non-uniform lengths.
result Predictive model for individual time series based on aggregated statistics.
Research into the classification of time series has made enormous progress in the last decade. The UCR time series archive has played a significant role in challenging and guiding the development of new learners for time series classification. The largest dataset in the UCR archive holds 10 thousand time series only; w…
New insights show Medicaid impacts on ED use vary widely, with some groups seeing significant increases.
problem Understanding the varied impacts of Medicaid on emergency department use.
method Causal machine learning methods to identify heterogeneous impacts.
result Meaningful heterogeneity in the effect of Medicaid on ED use, with a small group driving the overall effect.
Paper establishes no-regret property for practical EGO optimization.
problem No theoretical bounds on cumulative regret for practical EGO.
method Introduced practical EGO with a positive nugget, analyzed its regret bounds.
result Practical EGO is a no-regret algorithm with sublinear regret bounds.
Feature-based time series representations have attracted substantial attention in a wide range of time series analysis methods. Recently, the use of time series features for forecast model averaging has been an emerging research focus in the forecasting community. Nonetheless, most of the existing approaches depend on …
AR model forecasts partially observed dynamical time series by estimating evolution function and imputing missing variables.
problem Forecasting dynamical time series with missing variables.
method Autoregressive with slack time series (ARS) model.
result ARS model forecasts future time series with time-invariant and linear assumptions.
New deep probabilistic model handles missing data in time series forecasting.
problem Handling missing data in time series forecasting.
method Combination of deep learning and probabilistic methods.
result Advantage in forecasting and novelty detection with missing data.
Paper introduces novel distances for clustering ordinal time series.
problem Clustering ordinal time series with discrete response.
method Introduces two novel distances and fuzzy clustering algorithms.
result Fuzzy clustering algorithms accurately group series from similar stochastic processes.
Study improves GFM accuracy with time series augmentation.
problem Limited time series data hinders GFM performance.
method Data augmentation techniques (GRATIS, MBB, DBA) and transfer learning.
result Significant improvement in GFM accuracy over baseline.
A new framework for generating predictive features in noisy multivariate time series.
problem Predicting noisy multivariate time series with limited user effort.
method Develops a feature programming framework based on spin-gas dynamical Ising models.
result Validated the method on synthetic and real-world datasets.
CATS enhances MTSF by generating ATS from OTS to improve forecasting accuracy.
problem Recent deep learning models often outperform multivariate ones in MTSF.
method CATS constructs ATS from OTS using a 2D temporal-contextual attention mechanism.
result CATS achieves state-of-the-art performance with reduced complexity.
A new time-series clustering method using slope-based similarity and PSO.
problem Clustering time-series data efficiently and accurately.
method Developed a novel slope-based similarity measure combined with Particle Swarm Optimization (PSO) for clustering.
result The proposed similarity measure outperforms existing measures in clustering time-series data.
Bayesian QFSTS model tackles feature selection in quantile time series analysis.
problem Quantile feature selection in correlated multivariate time series data.
method Bayesian dimension reduction methodology using QFSTS model with multivariate asymmetric Laplace distribution, spike-and-slab prior, Metropolis-Hastings algorithm, and Bayesian model averaging.
result QFSTS model outperforms in feature selection, parameter estimation, and forecasting.
HopCPT improves conformal prediction for time series with temporal dependencies.
problem Uncertainty quantification in time series data.
method HopCPT, a novel conformal prediction approach for time series that leverages temporal dependencies.
result HopCPT outperforms state-of-the-art methods on multiple real-world time series datasets.
MPPN network improves long-term time series forecasting accuracy.
problem Inaccurate long-term time series forecasting due to noise and lack of interpretability.
method MPPN network constructs context-aware multi-resolution semantic units and employs multi-periodic pattern mining and channel adaptive module.
result MPPN significantly outperforms state-of-the-art methods on nine real-world benchmarks.
Paper tackles tensor decomposition for unaligned observations using RKHS and novel loss functions.
problem Tackles tensor decomposition for unaligned observations.
method Uses functions in RKHS to represent mode with unaligned observations, introduces versatile loss function, proposes optimization algorithm and stochastic gradient method.
result Demonstrates improved tensor decomposition efficiency and effectiveness with synthetic and real data.