arXiv subjects

Vladas Pipiras

Publications and source records attributed to Vladas Pipiras.

At least 19 recordsLinked to original sources

arXiv2026

Analytic Standard Errors for Latent Gaussian Discrete-Valued Multivariate Time Series

Unlike their continuous-valued counterparts, there are no universally preferred methodologies for modeling discrete-valued time series. This is especially problematic in fields such as psychology and education, where repeated-measures data often take the form of count, dichotomous, and ordered categorical variables. To address the need for flexible methodology for analyzing discrete-valued time series data, a copula-style multivariate model defined through deterministic functions of a latent stationary Gaussian vector series has been proposed. This model has several promising features, including the ability to accommodate a wide variety of marginal distributions within the same model while also allowing for the most flexible autocorrelation structure possible. We extend this framework by deriving analytic standard errors to facilitate inference on the latent Gaussian dynamics. In so doing, we establish the joint asymptotic normality of estimators of the parameters governing the latent Gaussian series and the marginal distributions. The performance of these analytic standard errors is examined in a simulation study and an empirical application.

stat.ME↗

arXiv2026

Consistency of Lloyd's Algorithm Under Perturbations

In the context of unsupervised learning, Lloyd's algorithm is one of the most widely used clustering algorithms. It has inspired a plethora of work investigating the correctness of the algorithm under various settings with ground truth clusters. In particular, in 2016, Lu and Zhou have shown that the mis-clustering rate of Lloyd's algorithm on $n$ independent samples from a sub-Gaussian mixture is exponentially bounded after $O(\log(n))$ iterations, assuming proper initialization of the algorithm. However, in many applications, the true samples are unobserved and need to be learned from the data via pre-processing pipelines such as spectral methods on appropriate data matrices. We show that the mis-clustering rate of Lloyd's algorithm on perturbed samples from a sub-Gaussian mixture is also exponentially bounded after $O(\log(n))$ iterations under the assumptions of proper initialization and that the perturbation is small relative to the sub-Gaussian noise. In canonical settings with ground truth clusters, we derive bounds for algorithms such as $k$-means$++$ to find good initializations and thus leading to the correctness of clustering via the main result. We show the implications of the results for pipelines measuring the statistical significance of derived clusters from data such as SigClust. We use these general results to derive implications in providing theoretical guarantees on the misclustering rate for Lloyd's algorithm in a host of applications, including high-dimensional time series, multi-dimensional scaling, and community detection for sparse networks via spectral clustering.

cs.LG↗

arXiv2026

Testing common structure in high-dimensional factor models: change-point and two-sample procedures

This work proposes a novel procedure to test for common structures across two high-dimensional factor models. The introduced test allows to uncover whether two factor models are driven by the same loading matrix up to some linear transformation. The test can be used to discover inter-individual relationships between two datasets. In addition, it can be applied to test for structural changes over time in the loading matrix of an individual factor model. The test aims to reduce the set of possible alternatives in a classical change-point setting. The theoretical results establish the asymptotic behavior of the introduced test statistic. The theory is supported by a simulation study showing promising results in empirical test size and power. Two real data applications are considered: the first investigates changes in the loadings of the celebrated US macroeconomic dataset of Stock and Watson, and the second examines similarities of the loadings of macroeconomic indicators for the US and South Korea.

stat.ME↗

arXiv2026

Parametric multi-fidelity Monte Carlo estimation with applications to extremes

In a multi-fidelity setting, data are available from two sources, high- and low-fidelity. Low-fidelity data has larger size and can be leveraged to make more efficient inference about quantities of interest, e.g. the mean, for high-fidelity variables. In this work, such multi-fidelity setting is studied when the goal is to fit more efficiently a parametric model to high-fidelity data. Three multi-fidelity parameter estimation methods are considered, joint maximum likelihood, (multi-fidelity) moment estimation and (multi-fidelity) marginal maximum likelihood, and are illustrated on several parametric models, with the focus on parametric families used in extreme value analysis. An application is also provided concerning quantification of occurrences of extreme ship motions generated by two computer codes of varying fidelity.

stat.ME↗

arXiv2026

Confidence Driven Classification of Application Types in the Presence of Background Network Traffic

Accurately classifying the application types of network traffic using deep learning models has recently gained popularity. However, we find that these classifiers do not perform well on real-world traffic data due to the presence of non-application-specific generic background traffic originating from advertisements, analytics, shared APIs, and trackers. Unfortunately, state-of-the-art application classifiers overlook such traffic in curated datasets and only classify relevant application traffic. To address this issue, when we label and train using an additional class for background traffic, it leads to additional confusion between application and background traffic, as the latter is heterogeneous and encompasses all traffic that is not relevant to the application sessions. To avoid falsely classifying background traffic as one of the relevant application types, a reliable confidence measure is warranted, such that we can refrain from classifying uncertain samples. Therefore, we design a Gaussian Mixture Model-based classification framework that improves the indication of the deep learning classifier's confidence to allow more reliable classification.

cs.NI↗

arXiv2025

Attribute network models, stochastic approximation, and network sampling and ranking algorithms

We analyze dynamic random network models where younger vertices connect to older ones with probabilities proportional to their degrees as well as a propensity kernel governed by their attribute types. Using stochastic approximation techniques we show that, in the large network limit, such networks converge in the local weak sense to limiting infinite random trees with an explicit description in terms of randomly stopped multi-type branching processes. This allows for the derivation of asymptotics for a wide class of network functionals implying, for example, that while degree distribution tail exponents depend on the attribute type (already derived by Jordan (2013)), PageRank centrality scores have the same tail exponent across attributes. The limit results also give explicit formulae for the performance of various network sampling mechanisms. One surprising consequence is the efficacy of PageRank and walk based network sampling schemes for directed networks in the setting of rare minorities.

math.PR↗

arXiv2025

Joint modeling and inference of multiple-subject high-dimensional sparse vector autoregressive models

The multiple-subject vector autoregression (multi-VAR) model captures heterogeneous network Granger causality across subjects by decomposing individual sparse VAR transition matrices into commonly shared and subject-unique paths. The model has been applied to characterize hidden shared and unique paths among subjects and has demonstrated performance compared to methods commonly used in psychology and neuroscience. Despite this innovation, the model suffers from using a weighted median for identifying the common effects, leading to statistical inefficiency as the convergence rates of the common and unique paths are determined by the least sparse subject and the smallest sample size across all subjects. We propose a new identifiability condition for the multi-VAR model based on a communication-efficient data integration framework. We show that this approach achieves convergence rates tailored to each subject's sparsity level and sample size. Furthermore, we develop hypothesis tests to assess the nullity and homogeneity of individual paths, using Wald-type test statistics constructed from individual debiased estimators. A test for the significance of the common paths can also be derived through the framework. Simulation studies under various heterogeneity scenarios and a real data application demonstrate the performance of the proposed method compared to existing benchmark across standard evaluation metrics.

stat.ME↗

arXiv2025

Latent Gaussian dynamic factor modeling and forecasting for multivariate count time series

This work considers estimation and forecasting in a multivariate, possibly high-dimensional count time series model constructed from a transformation of a latent Gaussian dynamic factor series. The estimation of the latent model parameters is based on second-order properties of the count and underlying Gaussian time series, yielding estimators of the underlying covariance matrices for which standard principal component analysis applies. Theoretical consistency results are established for the proposed estimation, building on certain concentration results for the models of the type considered. They also involve the memory of the latent Gaussian process, quantified through a spectral gap, shown to be suitably bounded as the model dimension increases, which is of independent interest. In addition, novel cross-validation schemes are suggested for model selection. The forecasting is carried out through a particle-based sequential Monte Carlo, leveraging Kalman filtering techniques. A simulation study and an application are also considered.

stat.ME↗

arXiv2024

Sampling low-fidelity outputs for estimation of high-fidelity density and its tails

In a multifidelity setting, data are available under the same conditions from two (or more) sources, e.g. computer codes, one being lower-fidelity but computationally cheaper, and the other higher-fidelity and more expensive. This work studies for which low-fidelity outputs, one should obtain high-fidelity outputs, if the goal is to estimate the probability density function of the latter, especially when it comes to the distribution tails and extremes. It is suggested to approach this problem from the perspective of the importance sampling of low-fidelity outputs according to some proposal distribution, combined with special considerations for the distribution tails based on extreme value theory. The notion of an optimal proposal distribution is introduced and investigated, in both theory and simulations. The approach is motivated and illustrated with an application to estimate the probability density function of record extremes of ship motions, obtained through two computer codes of different fidelities.

stat.ME↗

arXiv2024

Penalized Subgrouping of Heterogeneous Time Series

Interest in the study and analysis of dynamic processes in the social, behavioral, and health sciences has burgeoned in recent years due to the increased availability of intensive longitudinal data. However, how best to model and account for the persistent heterogeneity characterizing such processes remains an open question. The multi-VAR framework, a recent methodological development built on the vector autoregressive model, accommodates heterogeneous dynamics in multiple-subject time series through structured penalization. In the original multi-VAR proposal, individual-level transition matrices are decomposed into common and unique dynamics, allowing for generalizable and person-specific features. The current project extends this framework to allow additionally for the identification and penalized estimation of subgroup-specific dynamics; that is, patterns of dynamics that are shared across subsets of individuals. The performance of the proposed subgrouping extension is evaluated in the context of both a simulation study and empirical application, and results are compared to alternative methods for subgrouping multiple-subject, multivariate time series.

stat.ME↗

arXiv2024

Group integrative dynamic factor models with application to multiple subject brain connectivity

This work introduces a novel framework for dynamic factor model-based group-level analysis of multiple subjects time series data, called GRoup Integrative DYnamic factor (GRIDY) models. The framework identifies and characterizes inter-subject similarities and differences between two pre-determined groups by considering a combination of group spatial information and individual temporal dynamics. Furthermore, it enables the identification of intra-subject similarities and differences over time by employing different model configurations for each subject. Methodologically, the framework combines a novel principal angle-based rank selection algorithm and a non-iterative integrative analysis framework. Inspired by simultaneous component analysis, this approach also reconstructs identifiable latent factor series with flexible covariance structures. The performance of the GRIDY models is evaluated through simulations conducted under various scenarios. An application is also presented to compare resting-state functional MRI data collected from multiple subjects in autism spectrum disorder and control groups.

stat.ME↗

arXiv2024

Cyclical Long Memory: Decoupling, Modulation, and Modeling

A new model for general cyclical long memory is introduced, by means of random modulation of certain bivariate long memory time series. This construction essentially decouples the two key features of cyclical long memory: quasi-periodicity and long-term persistence. It further allows for a general cyclical phase in cyclical long memory time series. Several choices for suitable bivariate long memory series are discussed, including a parametric fractionally integrated vector ARMA model. The parametric models introduced in this work have explicit autocovariance functions that can be used readily in simulation, estimation, and other tasks.

math.ST↗

arXiv2024

Augmented Degree Correction for Bipartite Networks with Applications to Recommender Systems

In recommender systems, users rate items, and are subsequently served other product recommendations based on these ratings. Even though users usually rate a tiny percentage of the available items, the system tries to estimate unobserved preferences by finding similarities across users and across items. In this work, we treat the observed ratings data as partially observed, dense, weighted, bipartite networks. For a class of systems without outside information, we adapt an approach developed for dense, weighted networks to account for unobserved edges and the bipartite nature of the problem. This approach allows for community structure, and for local estimation of flexible patterns of ratings across different pairs of communities. We compare the performance of our proposed approach to existing methods on a simulated data set, as well as on a data set of joke ratings, examining model performance in both cases at differing levels of sparsity.

cs.SI↗

arXiv2023

Structured Estimation of Heterogeneous Time Series

How best to model structurally heterogeneous processes is a foundational question in the social, health and behavioral sciences. Recently, Fisher et al., (2022) introduced the multi-VAR approach for simultaneously estimating multiple-subject multivariate time series characterized by common and individualizing features using penalized estimation. This approach differs from many popular modeling approaches for multiple-subject time series in that qualitative and quantitative differences in a large number of individual dynamics are well-accommodated. The current work extends the multi-VAR framework to include new adaptive weighting schemes that greatly improve estimation performance. In a small set of simulation studies we compare adaptive multi-VAR with these new penalty weights to common alternative estimators in terms of path recovery and bias. Furthermore, we provide toy examples and code demonstrating the utility of multi-VAR under different heterogeneity regimes using the multivar package for R (Fisher, 2022).

stat.ME↗

arXiv2023

High-dimensional latent Gaussian count time series: Concentration results for autocovariances and applications

This work considers stationary vector count time series models defined via deterministic functions of a latent stationary vector Gaussian series. The construction is very general and ensures a pre-specified marginal distribution for the counts in each dimension, depending on unknown parameters that can be marginally estimated. The vector Gaussian series injects flexibility into the model's temporal and cross-dimensional dependencies, perhaps through a parametric model akin to a vector autoregression. We show that the latent Gaussian model can be estimated by relating the covariances of the counts and the latent Gaussian series. In a possibly high-dimensional setting, concentration bounds are established for the differences between the estimated and true latent Gaussian autocovariances, in terms of those for the observed count series and the estimated marginal parameters. The results are applied to the case where the latent Gaussian series is a vector autoregression, and its parameters are estimated sparsely through a LASSO-type procedure.

math.ST↗

arXiv2023

Correlation networks, dynamic factor models and community detection

A dynamic factor model with a mixture distribution of the loadings is introduced and studied for multivariate, possibly high-dimensional time series. The correlation matrix of the model exhibits a block structure, reminiscent of correlation patterns for many real multivariate time series. A standard $k$-means algorithm on the loadings estimated through principal components is used to cluster component time series into communities with accompanying bounds on the misclustering rate. This is one standard method of community detection applied to correlation matrices viewed as weighted networks. This work puts a mixture model, a dynamic factor model and network community detection in one interconnected framework. Performance of the proposed methodology is illustrated on simulated and real data.

stat.ME↗

arXiv2023

Dynamic factor and VARMA models: equivalent representations, dimension reduction and nonlinear matrix equations

A dynamic factor model with factor series following a VAR$(p)$ model is shown to have a VARMA$(p,p)$ model representation. Reduced-rank structures are identified for the VAR and VMA components of the resulting VARMA model. It is also shown how the VMA component parameters can be computed numerically from the original model parameters via the innovations algorithm, and connections of this approach to non-linear matrix equations are made. Some VAR models related to the resulting VARMA model are also discussed.

stat.ME↗

arXiv2022

Local Whittle estimation of high-dimensional long-run variance and precision matrices

This work develops non-asymptotic theory for estimation of the long-run variance matrix and its inverse, the so-called precision matrix, for high-dimensional time series under general assumptions on the dependence structure including long-range dependence. The estimation involves shrinkage techniques which are thresholding and penalizing versions of the classical multivariate local Whittle estimator. The results ensure consistent estimation in a double asymptotic regime where the number of component time series is allowed to grow with the sample size as long as the true model parameters are sparse. The key technical result is a concentration inequality of the local Whittle estimator for the long-run variance matrix around the true model parameters. In particular, it handles simultaneously the estimation of the memory parameters which enter the underlying model. Novel algorithms for the considered procedures are proposed, and a simulation study and a data application are also provided.

math.ST↗