arXiv subjects

Hernando Ombao

Publications and source records attributed to Hernando Ombao.

At least 19 recordsLinked to original sources

arXiv2026

Adaptive Multi-Scale Forecasting and Gate-Localized Conformal Prediction for Multivariate Nonstationary Time Series

We propose ABF-T-GLCP, a model-agnostic framework for forecasting and uncertainty quantification in nonstationary multivariate time series. The central idea is to learn an adaptive predictive state representation for point forecasting and reuse it for conformal calibration. The forecasting module combines horizon-specific temporal experts through a learned gate and refines predictions using sparse predictive transfer across related series. The uncertainty module, Gate-Localized Conformal Prediction (GLCP), uses the learned gate state, together with temporal recency, to select locally relevant calibration residuals, thereby coupling uncertainty calibration to the predictive regimes used by the forecasting model. This shared representation allows point forecasts and prediction intervals to adapt consistently under evolving temporal dynamics while retaining the model-agnostic nature of conformal prediction and yielding approximate local coverage under mild stability conditions. Experiments on a large-scale high-frequency commodity forecasting benchmark show consistent gains in point forecasting accuracy and substantially narrower prediction intervals with empirical coverage close to the nominal level. Additional results indicate that the framework extends beyond the motivating financial application.

stat.ML↗

arXiv2026

Partial Wavelet Canonical Coherence for Nonstationary Signals with High Dimensional Confounders

We develop Partial Wavelet Canonical Coherence for measuring the direct canonical association between two multivariate nonstationary time series after adjustment for possibly high-dimensional confounders. To the best of our knowledge, this is the first method that establishes a frequency-domain formulation of the partial canonical correlation analysis for time series. Through a wavelet approach, the proposed method yields a scale-specific, time-varying measure of association capable to work with potential data nonstationarities. We formulate the target quantity under the multivariate locally stationary wavelet framework, develop principled estimation through local wavelet spectral matrices, and incorporate principal-component reduction for stable adjustment in high-dimensions. Simulations show that the method removes spurious marginal association induced by confounding and accurately recovers direct association, including in higher-dimensional settings. Analysis of U.S. exchange-traded funds reveals substantial time-varying and scale-dependent direct canonical association after adjustment for external market effects.

stat.ME↗

arXiv2026

Topological Effective Connectivity Modeling in Brain Networks

Characterizing directed information flow in brain networks is difficult because neural circuits are full of recurrent feedback loops. Many existing tools for directed dependence assume a directed acyclic graph (DAG) structure to resolve directional ambiguity, and therefore cannot represent these loops. We present a nonparametric, information-theoretic framework that addresses this by coupling the discrete Hodge decomposition with lead-lag mutual information, splitting the resulting edge flow into three orthogonal components: a gradient term capturing hierarchical, feed-forward relationships; a curl term isolating triangle-level feedback loops; and a harmonic term capturing cyclic flow around topological holes. This separation makes it possible to disentangle feed-forward drive from recurrent circulation, which conventional measures conflate. We further develop a permutation-based hypothesis-testing layer that identifies nodes and triangular motifs whose information-flow signatures change significantly between conditions. We validate the framework on simulations with known ground-truth structure and apply it to local field potential recordings from a rodent model of focal ischemic stroke. In three of four animals, we find a post-stroke shift toward hierarchical, source-driven propagation at the expense of recurrent feedback, while the fourth shows no significant change.

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arXiv2026

Vector Space of Cycles

Most statistical and machine learning methods for directed interactions focus on pairwise effects among variables. Even existing cyclic models represent feedback primarily through node-level dependencies, making large-scale recurrent organization difficult to estimate and compare. This limitation is particularly acute in biological and neural systems, where interactions are highly recurrent and involve many overlapping cycles. We introduce a variational framework for statistical inference on cyclic interactions. Directed interactions are represented as edge flows on a simplicial complex and evolved under an energy-minimizing dynamical system. The resulting dynamics separate transient interaction components from persistent harmonic flows, yielding a low-dimensional cycle space that captures stable recurrent organization. Rather than enumerating individual cycles, the proposed framework represents cyclic interactions as elements of a Hilbert space, enabling projection, averaging, comparison, and population-level statistical inference. We establish theoretical properties of the harmonic projection, including characterization of the cycle space, variance reduction, and population inference. Simulations demonstrate substantially improved recovery of cyclic structure in dense recurrent systems compared with existing directed-interaction methods. Applied to resting-state fMRI from 400 human subjects, the framework reveals reproducible large-scale cyclic organization that is not detectable through edgewise averaging. These results provide a scalable statistical framework for studying recurrent interactions in high-dimensional dynamical systems.

stat.ML↗

arXiv2026

Functional MRI Time Series Generation via Wavelet-Based Image Transform and Spectral Flow Matching for Brain Disorder Identification

Functional Magnetic Resonance Imaging (fMRI) provides non-invasive access to dynamic brain activity by measuring blood oxygen level-dependent (BOLD) signals over time. However, the resource-intensive nature of fMRI acquisition limits the availability of high-fidelity samples required for data-driven brain analysis models. While modern generative models can synthesize fMRI data, they often remain challenging in replicating their inherent non-stationarity, intricate spatiotemporal dynamics, and physiological variations of raw BOLD signals. To address these challenges, we propose Dual-Spectral Flow Matching (DSFM), a novel fMRI generative framework that cascades dual frequency representation of BOLD signals with spectral flow matching. Specifically, our framework first converts BOLD signals into a wavelet decomposition map via a discrete wavelet transform (DWT) to capture globalized transient and multi-scale variations, and projects into the discrete cosine transform (DCT) space across brain regions and time to exploit localized energy compaction of low-frequency dominant BOLD coefficients. Subsequently, a spectral flow matching model is trained to generate class-conditioned cosine-frequency representation. The generated samples are reconstructed through inverse DCT and inverse DWT operations to recover physiologically plausible time-domain BOLD signals. This dual-transform approach imposes structured frequency priors and preserves key physiological brain dynamics. Ultimately, we demonstrate the efficacy of our approach through improved downstream fMRI-based brain network classification. The code is available at https://github.com/htew0001/DSFM.git .

cs.LG↗

arXiv2026

Causality as a Minimum Energy Principle

Classical causal models, such as Granger causality and structural equation modeling, are largely restricted to acyclic interactions and struggle to represent cyclic and higher-order dynamics in complex networks. We introduce a causal framework grounded in a variational principle, interpreting causality as directional energy flow from high- to low-energy states along network connections. Using Hodge theory, network flows are decomposed into dissipative components and a persistent harmonic component that captures stable cyclic interactions. Applied to resting-state fMRI connectivity, our variational framework reveals robust cyclic causal patterns that are not detected by conventional causal models, highlighting the value of variational principles for causality.

q-bio.NC↗

arXiv2026

Forecasting Multivariate Time Series under Predictive Heterogeneity: A Validation-Driven Clustering Framework

We study adaptive pooling under predictive heterogeneity in high-dimensional multivariate time series forecasting, where global models improve statistical efficiency but may fail to capture heterogeneous predictive structure, while naive specialization can induce negative transfer. We formulate adaptive pooling as a statistical decision problem and propose a validation-driven framework that determines when and how specialization should be applied. Rather than grouping series based on representation similarity, we define partitions through out-of-sample predictive performance, thereby aligning data organization with predictive risk, defined as expected out-of-sample loss and approximated via validation error. Cluster assignments are iteratively updated using validation losses for both point (Huber) and probabilistic (pinball) forecasting, improving robustness to heavy-tailed errors and local anomalies. To ensure reliability, we introduce a leakage-free fallback mechanism that reverts to a global model whenever specialization fails to improve validation performance, providing a safeguard against performance degradation under a strict training-validation-test protocol. Experiments on large-scale traffic datasets demonstrate consistent improvements over strong baselines while avoiding degradation when heterogeneity is weak. Overall, the proposed framework provides a principled and practically reliable approach to adaptive pooling in high-dimensional forecasting problems.

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arXiv2025

Canonical Tail Dependence for Soft Extremal Clustering of Multichannel Brain Signals

We develop a novel characterization of extremal dependence between two cortical regions of the brain when its signals display extremely large amplitudes. We show that connectivity in the tails of the distribution reveals unique features of extreme events (e.g., seizures) that can help to identify their occurrence. Numerous studies have established that connectivity-based features are effective for discriminating brain states. Here, we demonstrate the advantage of the proposed approach: that tail connectivity provides additional discriminatory power, enabling more accurate identification of extreme-related events and improved seizure risk management. Common approaches in tail dependence modeling use pairwise summary measures or parametric models. However, these approaches do not identify channels that drive the maximal tail dependence between two groups of signals -- an information that is useful when analyzing electroencephalography of epileptic patients where specific channels are responsible for seizure occurrences. A familiar approach in traditional signal processing is canonical correlation, which we extend to the tails to develop a visualization of extremal channel-contributions. Through the tail pairwise dependence matrix (TPDM), we develop a computationally-efficient estimator for our canonical tail dependence measure. Our method is then used for accurate frequency-based soft clustering of neonates, distinguishing those with seizures from those without.

stat.ML↗

arXiv2025

Wavelet Canonical Coherence for Nonstationary Signals

Understanding the evolving dependence between two clusters of multivariate signals is fundamental in neuroscience and other domains where sub-networks in a system interact dynamically over time. Despite the growing interest in multivariate time series analysis, existing methods for between-clusters dependence typically rely on the assumption of stationarity and lack the temporal resolution to capture transient, frequency-specific interactions. To overcome this limitation, we propose scale-specific wavelet canonical coherence (WaveCanCoh), a novel framework that extends canonical coherence analysis to the nonstationary setting by leveraging the multivariate locally stationary wavelet model. The proposed WaveCanCoh enables the estimation of time-varying canonical coherence between clusters, providing interpretable insight into scale-specific time-varying interactions between clusters. Through extensive simulation studies, we demonstrate that WaveCanCoh accurately recovers true coherence structures under both locally stationary and general nonstationary conditions. Application to local field potential (LFP) activity data recorded from the hippocampus reveals distinct dynamic coherence patterns between correct and incorrect memory-guided decisions, illustrating the capacity of the method to detect behaviorally relevant neural coordination. These results highlight WaveCanCoh as a flexible and principled tool for modeling complex cross-group dependencies in nonstationary multivariate systems. The code for WaveCanCoh is available at: https://github.com/mhaibo/WaveCanCoh.git.

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arXiv2025

Predictive Performance Test based on the Exhaustive Nested Cross-Validation for High-dimensional data

It is crucial to assess the predictive performance of a model to establish its practicality and relevance in real-world scenarios, particularly for high-dimensional data analysis. Among data splitting or resampling methods, cross-validation (CV) is extensively used for several tasks such as estimating the prediction error, tuning the regularization parameter, and selecting the most suitable predictive model among competing alternatives. The $K$-fold cross-validation is a popular CV method but its limitation is that the risk estimates are highly dependent on the partitioning of the data (for training and testing). Here, the issues regarding the reproducibility of the $K$-fold CV estimator are demonstrated in hypothesis testing wherein different partitions lead to notably disparate conclusions. This study presents a novel predictive performance test and valid confidence intervals based on exhaustive nested cross-validation for determining the difference in prediction error between two model-fitting algorithms. A naive implementation of the exhaustive nested cross-validation is computationally costly. Here, we address concerns regarding computational complexity by devising a computationally tractable closed-form expression for the proposed cross-validation estimator. Our study also investigates strategies aimed at enhancing statistical power within high-dimensional scenarios while controlling the Type I error rate. \tr{Through comprehensive numerical experiments, we demonstrate that Ridge-based methods using bias to measure uncertainty of CV estimates and adaptive hyperparameter selection provide the most reliable approach for high-dimensional predictive performance testing.} To illustrate the practical utility of our method, we apply it to an RNA sequencing study and demonstrate its effectiveness in the context of biological data analysis.

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arXiv2025

Nonlinear Coherence for Vector Time Series: Defining Region-to-Region Functional Brain Connectivity

Alterations in functional brain connectivity characterize neurodegenerative disorders such as Alzheimer's disease (AD) and frontotemporal dementia (FTD). As a non-invasive and cost-effective technique, electroencephalography (EEG) is gaining increasing attention for its potential to identify reliable biomarkers for early detection and differential diagnosis of AD and FTD. Considering the behavioral similarities of signals from adjacent EEG channels, we propose a new spectral dependence measure, the nonlinear vector coherence (NVC), to capture beyond-linear interactions between oscillations of two multivariate time series observed from distinct brain regions. This addresses the limitations of conventional channel-to-channel approaches and defines a more natural region-to-region connectivity framework in the frequency domain. As a result, the NVC measure offers a new approach to investigate dependence between brain regions, which then enables to identify altered functional connectivity dynamics associated with AD and FTD. We further introduce a rank-based inference procedure that enables fast and distribution-free estimation of the proposed measure, as well as a fully nonparametric test for spectral independence. The empirical performance of our proposed inference methodology is demonstrated through extensive numerical experiments. An application to resting-state EEG data reveals that our novel NVC measure uncovers distinct and diagnostically meaningful connectivity patterns which effectively discriminate healthy individuals from those with AD and FTD.

stat.AP↗

arXiv2025

Robust Spectral Fuzzy Clustering of Multivariate Time Series with Applications to Electroencephalogram

Clustering multivariate time series (MTS) is challenging due to non-stationary cross-dependencies, noise contamination, and gradual or overlapping state boundaries. We introduce a robust fuzzy clustering framework in the spectral domain that leverages Kendall's tau-based canonical coherence to extract frequency-specific monotonic relationships across variables. Our method takes advantage of dominant frequency-based cross-regional connectivity patterns to improve clustering accuracy while remaining resilient to outliers, making the approach broadly applicable to noisy, high-dimensional MTS. Each series is projected onto vectors generated from a spectral matrix specifically tailored to capture the underlying fuzzy partitions. Numerical experiments demonstrate the superiority of our framework over existing methods. As a flagship application, we analyze electroencephalogram recordings, where our approach uncovers frequency- and connectivity-specific markers of latent cognitive states such as alertness and drowsiness, revealing discriminative patterns and ambiguous transitions.

stat.AP↗

arXiv2025

Robust fuzzy clustering for high-dimensional multivariate time series with outlier detection

Fuzzy clustering provides a natural framework for modeling partial memberships, particularly important in multivariate time series (MTS) where state boundaries are often ambiguous. For example, in EEG monitoring of driver alertness, neural activity evolves along a continuum (from unconscious to fully alert, with many intermediate levels of drowsiness) so crisp labels are unrealistic and partial memberships are essential. However, most existing algorithms are developed for static, low-dimensional data and struggle with temporal dependence, unequal sequence lengths, high dimensionality, and contamination by noise or artifacts. To address these challenges, we introduce RFCPCA, a robust fuzzy subspace-clustering method explicitly tailored to MTS that, to the best of our knowledge, is the first of its kind to simultaneously: (i) learn membership-informed subspaces, (ii) accommodate unequal lengths and moderately high dimensions, (iii) achieve robustness through trimming, exponential reweighting, and a dedicated noise cluster, and (iv) automatically select all required hyperparameters. These components enable RFCPCA to capture latent temporal structure, provide calibrated membership uncertainty, and flag series-level outliers while remaining stable under contamination. On driver drowsiness EEG, RFCPCA improves clustering accuracy over related methods and yields a more reliable characterization of uncertainty and outlier structure in MTS.

stat.CO↗

arXiv2025

T2I-Diff: fMRI Signal Generation via Time-Frequency Image Transform and Classifier-Free Denoising Diffusion Models

Functional Magnetic Resonance Imaging (fMRI) is an advanced neuroimaging method that enables in-depth analysis of brain activity by measuring dynamic changes in the blood oxygenation level-dependent (BOLD) signals. However, the resource-intensive nature of fMRI data acquisition limits the availability of high-fidelity samples required for data-driven brain analysis models. While modern generative models can synthesize fMRI data, they often underperform because they overlook the complex non-stationarity and nonlinear BOLD dynamics. To address these challenges, we introduce T2I-Diff, an fMRI generation framework that leverages time-frequency representation of BOLD signals and classifier-free denoising diffusion. Specifically, our framework first converts BOLD signals into windowed spectrograms via a time-dependent Fourier transform, capturing both the underlying temporal dynamics and spectral evolution. Subsequently, a classifier-free diffusion model is trained to generate class-conditioned frequency spectrograms, which are then reverted to BOLD signals via inverse Fourier transforms. Finally, we validate the efficacy of our approach by demonstrating improved accuracy and generalization in downstream fMRI-based brain network classification.

cs.LG↗

arXiv2025

Nonlinear Causality in Time Series Networks: With Application to Motor Imagery vs Execution

Causal interactions in time series networks can be dynamic and nonlinear, making it difficult to identify them using conventional linear causality estimations. We propose a novel approach, called Threshold Autoregressive Modeling for Causality (TAR4C), a causality detection approach built on threshold autoregressive (TAR) models, where a potential driver (cause variable) acts both as a predictor and as a trigger (switching threshold) that governs which autoregressive process the target (effect variable) follows. Threshold nonlinearity is conceptualized here to determine causality. The flow of the target is forced to transition between regimes with distinct dynamics when the driver exceeds a data-driven threshold in the past. We propose a two-stage inference procedure: Stage 1 tests for threshold connectivity (TC); Stage 2, conditional on a detected threshold effect, estimates threshold Granger causality (TGC). TAR4C is applied to a multichannel EEG dataset collected from a motor imagery and execution experiment. Delay-dependent directional interactions are observed among channels across different sites of the EEG map. The real-world application demonstrates the usefulness of the proposed approach for determining nonlinear causal connectivity in complex time-series networks, such as brain circuitry. The proposed model-based methodology extends to other complex networks of time series.

stat.AP↗

arXiv2025

EEG-MSAF: An Interpretable Microstate Framework uncovers Default-Mode Decoherence in Early Neurodegeneration

Dementia (DEM) is a growing global health challenge, underscoring the need for early and accurate diagnosis. Electroencephalography (EEG) provides a non-invasive window into brain activity, but conventional methods struggle to capture its transient complexity. We present the \textbf{EEG Microstate Analysis Framework (EEG-MSAF)}, an end-to-end pipeline that leverages EEG microstates discrete, quasi-stable topographies to identify DEM-related biomarkers and distinguish DEM, mild cognitive impairment (MCI), and normal cognition (NC). EEG-MSAF comprises three stages: (1) automated microstate feature extraction, (2) classification with machine learning (ML), and (3) feature ranking using Shapley Additive Explanations (SHAP) to highlight key biomarkers. We evaluate on two EEG datasets: the public Chung-Ang University EEG (CAUEEG) dataset and a clinical cohort from Thessaloniki Hospital. Our framework demonstrates strong performance and generalizability. On CAUEEG, EEG-MSAF-SVM achieves \textbf{89\% $\pm$ 0.01 accuracy}, surpassing the deep learning baseline CEEDNET by \textbf{19.3\%}. On the Thessaloniki dataset, it reaches \textbf{95\% $\pm$ 0.01 accuracy}, comparable to EEGConvNeXt. SHAP analysis identifies mean correlation and occurrence as the most informative metrics: disruption of microstate C (salience/attention network) dominates DEM prediction, while microstate F, a novel default-mode pattern, emerges as a key early biomarker for both MCI and DEM. By combining accuracy, generalizability, and interpretability, EEG-MSAF advances EEG-based dementia diagnosis and sheds light on brain dynamics across the cognitive spectrum.

eess.SP↗

arXiv2025

Hodge-Decomposition of Functional Brain Networks

We propose to analyze dynamically changing brain networks by decomposing them into three orthogonal components through the Hodge decomposition. We propose to quantify the magnitude and relative strength of each component. We performed extensive simulation studies with known ground truth. The Hodge decomposition is then applied to the dynamically changing human brain networks obtained from a resting-state functional magnetic resonance imaging study. Our results indicate that the components of the Hodge decomposition contain biologically interpretable topological features that provide statistically significant findings not easily captured by traditional methods.

q-bio.NC↗

arXiv2025

Club Exco: clustering brain extreme communities from multi-channel EEG data

Current methods for clustering brain networks over time often rely on cross-dependence measures computed from the entire range of EEG signals, which can obscure information specific to extreme neural activity. To overcome this, we introduce Club Exco, a novel clustering method grounded in extreme value theory, designed to detect brain communities with co-occurring high-amplitude EEG events. By focusing on tail behavior, Club Exco isolates extreme-value synchrony across channels, offering new insights into seizure dynamics. We apply Club Exco to neonatal EEG recordings from 30 patients (13 seizure-free and 17 with clinically confirmed seizures). Our method identifies robust ``brain extreme communities'' and constructs Extreme Connectivity Persistence matrices that summarize how often channels exhibit synchronous extremes across time. Seizure patients exhibit more persistent and variable clustering among non-adjacent regions, suggesting seizure propagation, while non-seizure patients show more consistent clustering in anatomically adjacent regions. Compared to coherence-based methods (e.g., Hierarchical Cluster Coherence procedure), Club Exco captures distinct, seizure-associated connectivity patterns, especially in high-amplitude segments. These results highlight Club Exco's potential to characterize extreme neural events and inform clinical understanding of seizure localization and spread.

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