Research map / Probabilistic and scientific modeling / Variational and generative sampling
Learning Vector Autoregressive Models With Latent Processes
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Measured effects reported in the paper
| What was changed | Where | Measured | Effect |
|---|---|---|---|
| Estimate observed-process dynamics using past observations beyond the current time step | VAR model with latent processes · Synthetic DRG(0.4,0.4) | support estimation error | Helped |
| Increase the observed-to-latent noise power ratio (OLNR) | VAR linear-measurement estimation · Synthetic DRG(0.05,0.05) | average estimation error | Helped |
| Use the proposed linear-measurement estimation and recovery procedure | VAR model with one latent macroeconomic process, GPDI · US macroeconomic data, 1-Jun-2009 to 31-Dec-2016 | network recovery | Helped |
| Use the proposed linear-measurement estimation and recovery procedure | VAR model with butter prices latent · Dairy prices, January 1986 to December 2016 | network recovery | Helped |
| Use the proposed linear-measurement estimation and recovery procedure | VAR model with X3 latent · West German macroeconomic data, 1960-1982 | network recovery | Helped |
| Increase the number of latent variables | DTR recovery assumption on random graphs · Synthetic DRG(p,1/n), n=100 | probability of satisfying the assumption | Hurt |
| Increase edge probability p when p is relatively large | DTR recovery assumption on random graphs · Synthetic DRG(p,1/n), n=100 | probability of satisfying the assumption | Hurt |
| Use the NM algorithm under the stated path-uniqueness conditions | Minimum-latent-network recovery · Synthetic DRG(1/2n,1/2n) | instances recovering all possible minimal networks | Helped |
| Select observed variables in the high-power regime | Observed-subnetwork support estimation · US macroeconomic data, 31-Mar-1947 to 31-Mar-2009 | support estimation error | Helped |
| Use the proposed linear-measurement approach when genericity assumptions of prior work do not hold | VAR model with butter prices latent · Dairy prices, January 1986 to December 2016 | network recovery | Helped |
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