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• W2107954294 abstract "Vector Auto-regressive models (VAR) are useful tools for analyzing time series data. In quite a few modern time series modelling tasks, the collection of reliable time series turns out to be a major challenge, either due to the slow progression of the dynamic process of interest, or inaccessibility of repetitive measurements of the same dynamic process over time. In those situations, however, we observe that it is often easier to collect a large amount of non-sequence samples, or snapshots of the dynamic process of interest. In this work, we assume a small amount of time series data are available, and propose methods to incorporate non-sequence data into penalized least-square estimation of VAR models. We consider non-sequence data as samples drawn from the stationary distribution of the underlying VAR model, and devise a novel penalization scheme based on the Lyapunov equation concerning the covariance of the stationary distribution. Experiments on synthetic and video data demonstrate the effectiveness of the proposed methods." @default.
• W2107954294 created "2016-06-24" @default.
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• W2107954294 date "2011-12-12" @default.
• W2107954294 modified "2023-09-24" @default.
• W2107954294 title "Learning Auto-regressive Models from Sequence and Non-sequence Data" @default.
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