Autoregressive state transitions, where predictions are conditioned on past predictions, are the predominant choice for both deterministic and stochastic sequential models. However, autoregressive feedback exposes the evolution of the hidden state trajectory to potential biases from well-known train-test discrepancies.…
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48 results for “stochastic autoregressive”
A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step procedure is adopted. The first step is the conditional inference on the autoregressi…
A new autoregressive model learns the order of graph generation tasks.
problem Generating graphs in a meaningful order when the canonical order is not obvious.
method Introduces a variant of autoregressive models that dynamically decides the autoregressive order based on data.
result Achieves state-of-the-art results on molecular graph generation benchmarks.
Bayesian method estimates Kronecker graphical models from autoregressive processes.
problem Estimating Kronecker graphical models from autoregressive Gaussian processes.
method Bayesian approach to estimate Kronecker graphical models.
result Effectiveness demonstrated through numerical experiments and real-world data application.
Linear autoregressive models serve as basic representations of discrete time stochastic processes. Different attempts have been made to provide non-linear versions of the basic autoregressive process, including different versions based on kernel methods. Motivated by the powerful framework of Hilbert space embeddings o…
Missing value imputation is a fundamental problem in spatiotemporal modeling, from motion tracking to the dynamics of physical systems. Deep autoregressive models suffer from error propagation which becomes catastrophic for imputing long-range sequences. In this paper, we take a non-autoregressive approach and propose …
High-speed model accurately simulates neuromorphic devices.
problem Accurately modeling stochastic synapses in large-scale neuromorphic systems.
method Generative vector autoregressive model based on resistive memory cell data.
result Fast, high-throughput model reproduces synaptic parameters and correlations.
This work introduces a new model for complex stochastic processes.
problem Difficulties in representing non-stationary distributions with conventional models.
method Recurrent Autoregressive Flows using normalizing flows with recurrent neural connections.
result Demonstrates the effectiveness of the proposed model through experiments.
Distributionally Robust Optimization with Correlated Data from Vector Autoregressive Processesmath.OC
We present a distributionally robust formulation of a stochastic optimization problem for non-i.i.d vector autoregressive data. We use the Wasserstein distance to define robustness in the space of distributions and we show, using duality theory, that the problem is equivalent to a finite convex-concave saddle point pro…
New method for identifying graph shift operators using vertex-time autoregressive models.
problem Identifying graph shift operators from graph signals.
method Online optimization using vertex-time autoregressive model and stochastic gradient projection.
result Successful recovery of graph shift operators from graph signals.
The paper introduces reservoir computing models for complex systems.
problem Modeling complex engineering systems using nonlinear autoregression.
method Introduces reservoir computing with output feedback as stationary and ergodic infinite-order nonlinear autoregressive models.
result Demonstrates versatility of classical and quantum reservoir computers in modeling synthetic and real data.
Model monthly VIX and stock returns using log-Heston model.
problem Modeling monthly VIX and stock index returns accurately.
method Log-Heston model applied to logarithm of VIX as an autoregression, normalizing stock returns by VIX.
result Model captures independent, identically distributed Gaussian stock returns after normalization.
Efficient methods for answering complex probabilistic queries in sequential data.
problem Complex probabilistic queries in sequential data.
method Broad class of novel approximation techniques for marginalization in sequential models.
result Efficient techniques for answering long-range probabilistic queries.
A new autoregressive SPO method improves decision-making for dependent data.
problem Improving decision-making for dependent data in stochastic optimization.
method An autoregressive Smart Predict-then-Optimize (SPO) method for time series data.
result Generalization bounds and uniform calibration results for the SPO loss in autoregressive models.
DiAMoNDBack models protein backmapping from coarse-grained Cα traces.
problem Restoring all-atom details from coarse-grained protein representations.
method Autoregressive denoising diffusion model for residue-by-residue backmapping.
result Achieves state-of-the-art reconstruction performance in diverse applications.
Normalizing flows are a powerful class of generative models for continuous random variables, showing both strong model flexibility and the potential for non-autoregressive generation. These benefits are also desired when modeling discrete random variables such as text, but directly applying normalizing flows to discret…
Novel F2NARX model improves surrogate modeling for stochastic dynamical systems.
problem Challenges in constructing accurate and efficient surrogate models for stochastic dynamical systems.
method Function-on-Function Nonlinear AutoRegressive model with eXogenous inputs (F2NARX) combining PCA and Gaussian process regression.
result F2NARX outperforms state-of-the-art NARX models in efficiency and accuracy.
The VIX is used to model corporate bond volatility and returns.
problem Modeling volatility and returns for corporate bonds using observable data.
method Applied stochastic volatility models using the VIX index to corporate bond rates and spreads.
result Residuals of corporate bond returns divided by VIX are closer to Gaussian white noise.
A new framework predicts links in time-dependent networks using Bernoulli autoregression.
problem Predicting links in time-dependent networks with additional auxiliary information.
method A Bernoulli autoregressive model with regularization for link discovery.
result The model can discover new links not present in the data.
SAMoSSA combines mSSA and AR for accurate time series analysis.
problem Accurately estimating both deterministic and stationary components in time series data.
method Two-stage algorithm: first mSSA for non-stationary components, then AR for stationary residual.
result SAMoSSA provides forecasting consistency and outperforms existing methods.
Reinforcement learning algorithms rely on exploration to discover new behaviors, which is typically achieved by following a stochastic policy. In continuous control tasks, policies with a Gaussian distribution have been widely adopted. Gaussian exploration however does not result in smooth trajectories that generally c…
We introduce a deep, generative autoencoder capable of learning hierarchies of distributed representations from data. Successive deep stochastic hidden layers are equipped with autoregressive connections, which enable the model to be sampled from quickly and exactly via ancestral sampling. We derive an efficient approx…
This note develops a stochastic model of asset volatility. The volatility obeys a continuous-time autoregressive equation. Conditions under which the process is asymptotically stationary and possesses long memory are characterised. Connections with the class of ARCH() processes are sketched.
Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processesq-fin.MF
Fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) arises in modeling of financial time series. FIGARCH is essentially governed by a system of nonlinear stochastic difference equations = $(1-\sum\limits_{j=1}^q β_j L^j)σ_{t}^2 = ω+(1-\sum\limits_{j=1}^q β_j L^j -…
BAVART model combines VAR and BART for non-linear forecasting.
problem Overly restrictive linearity assumption in VAR models.
method Combining VAR with Bayesian additive regression trees (BART).
result BAVART model yields highly competitive forecasts.
Autoregressive feedback is considered a necessity for successful unconditional text generation using stochastic sequence models. However, such feedback is known to introduce systematic biases into the training process and it obscures a principle of generation: committing to global information and forgetting local nuanc…
Local Granger Causalityq-bio.QM
Calculates local Granger causality for Gaussian and nonlinear systems.
problem Understanding causal influence in complex systems.
method Vector autoregression and information-theoretic approach.
result Local Granger causality offers a robust and fast method for time-directed information transfer.
Paper extracts features from time series to improve forecasting accuracy.
problem Forecasting time series generated by Itô-type processes with unknown coefficients.
method Statistical adjustment of mixture-type models to extract features from time series data.
result Additional statistical features enhance time series prediction accuracy.
Study optimal and instance-dependent guarantees for solving linear equations with Markovian data.
problem Approximately solving linear fixed point equations with Markovian data.
method Non-asymptotic bounds and instance-dependent characterizations for stochastic approximation.
result Instance-optimality of the averaged SA estimator and matching upper and lower bounds.
Estimating hidden processes from non-linear noisy observations is particularly difficult when the parameters of these processes are not known. This paper adopts a machine learning approach to devise variational Bayesian inference for such scenarios. In particular, a random process generated by the autoregressive moving…
New PEMs improve network inference from time-series data.
problem Causal inference from time-series data with trade-off between accuracy and feasibility.
method Infer networks via process motifs for lagged correlation in linear stochastic processes.
result Proposed PEMs achieve high accuracy and efficiency in network inference.
FOCUS method forecasts counterfactuals in panel data with time series dynamics.
problem Forecasting unobserved potential outcomes in causal inference with missing entries and latent factors.
method FOCUS extends matrix completion methods by leveraging time series dynamics of latent factors.
result FOCUS method outperforms existing benchmarks in predicting future counterfactuals.
This work is the first part of a project dealing with an in-depth study of effective techniques used in econometrics in order to make accurate forecasts in the concrete framework of one of the major economies of the most productive Italian area, namely the province of Verona. In particular, we develop an approach mainl…
Autoregressive models are among the best performing neural density estimators. We describe an approach for increasing the flexibility of an autoregressive model, based on modelling the random numbers that the model uses internally when generating data. By constructing a stack of autoregressive models, each modelling th…
This work proposes an efficient autoregressive model for text generation.
problem The challenge of generating high-quality text with autoregressive models.
method Introduces a cascaded decoding approach using Markov transformers to achieve sub-linear parallel time generation.
result Shows competitive accuracy/speed tradeoff compared to existing methods on five machine translation datasets.
Bayesian estimation of GARCH model by hybrid Monte Carlophysics.comp-ph
The hybrid Monte Carlo (HMC) algorithm is used for Bayesian analysis of the generalized autoregressive conditional heteroscedasticity (GARCH) model. The HMC algorithm is one of Markov chain Monte Carlo (MCMC) algorithms and it updates all parameters at once. We demonstrate that how the HMC reproduces the GARCH paramete…
WassersteinGrad improves weather forecasting explanations by addressing geometric misalignment issues.
problem Improving explainability of autoregressive neural predictions on dynamic physical fields.
method WassersteinGrad, a geometric consensus method for averaged perturbed attribution maps.
result WassersteinGrad provides more accurate explanations for weather forecasting models.
Autoregressive sequence models achieve state-of-the-art performance in domains like machine translation. However, due to the autoregressive factorization nature, these models suffer from heavy latency during inference. Recently, non-autoregressive sequence models were proposed to reduce the inference time. However, the…
Online Bayesian system identification in multivariate autoregressive models via message passingeess.SP
Bayesian method for multivariate autoregressive models with exogenous inputs.
problem Estimating uncertainties in autoregressive models with exogenous inputs.
method Recursive Bayesian estimation via message passing in a factor graph.
result Produces full posterior distributions for autoregressive coefficients and noise precision.
This work is devoted to the study of modeling geophysical and financial time series. A class of volatility models with time-varying parameters is presented to forecast the volatility of time series in a stationary environment. The modeling of stationary time series with consistent properties facilitates prediction with…
Alternative sampling method for autoregressive models using Langevin dynamics.
problem Efficiently sampling from autoregressive models.
method Initialize sequences with white noise and follow Langevin dynamics on global log-likelihood.
result Parallelizes and generalizes sampling process for autoregressive models.
New model predicts video sequences with latent dynamics.
problem Predicting video sequences with inherent uncertainty.
method Introduces a novel stochastic temporal model with latent dynamics.
result Latent model outperforms prior state-of-the-art methods.
Bayesian framework selects features and lags for time series forecasting.
problem Variable selection and lagged error term identification in time series models.
method Hierarchical Bayesian models with spike-and-slab priors, two-stage MCMC algorithm.
result Posterior selection consistency under mild conditions, improved predictive performance.
On options-driven realized volatility forecasting: Information gains via rough volatility modelq-fin.RM
Enhanced volatility forecasting using options data and rough volatility model.
problem Improving realized volatility forecasting accuracy.
method Infer spot volatility from options data using rough stochastic volatility model, accelerate estimation with deep learning, benchmark against traditional models.
result Augmented HAR-RV-RHeston model outperforms traditional models in daily and long-term forecasting.
Paper proposes AXE loss for non-autoregressive machine translation, improving performance.
problem Challenges in training non-autoregressive models due to lack of autoregressive factors and cross entropy loss penalties.
method Proposes aligned cross entropy (AXE) loss function using a differentiable dynamic program for better word order alignment.
result AXE-based training improves performance on major WMT benchmarks and sets a new state of the art for non-autoregressive models.
SMART training improves mask-predict translations.
problem Closing the performance gap between semi-autoregressive and autoregressive models.
method SMART training method for conditional masked language models.
result SMART-trained models produce higher-quality translations.
Linear attention in Transformers can be interpreted as dynamic VAR models.
problem Misalignment between Transformers and autoregressive forecasting objectives.
method Interpreting linear attention as VAR, rearranging MLP, attention, and flow.
result SAMoVAR improves performance, interpretability, and efficiency.
Research forecasts electricity spot prices using stochastic volatility models.
problem Forecasting day-ahead electricity prices in a spot market.
method Exploring and enriching a baseline stochastic volatility model with exogenous regressors.
result A better fitting model confirmed by out-of-sample forecasts.