6 results on '"multivariate autoregressive"'
Search Results
2. Prediction of UT1-UTC Based on Combination of Weighted Least-Squares and Multivariate Autoregressive
- Author
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Sun, Zhang-zhen, Xu, Tian-he, Sun, Jiadong, editor, Jiao, Wenhai, editor, Wu, Haitao, editor, and Shi, Chuang, editor
- Published
- 2013
- Full Text
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3. Estimation of effective connectivity using multi-layer perceptron artificial neural network.
- Author
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Talebi, Nasibeh, Nasrabadi, Ali Motie, and Mohammad-Rezazadeh, Iman
- Abstract
Studies on interactions between brain regions estimate effective connectivity, (usually) based on the causality inferences made on the basis of temporal precedence. In this study, the causal relationship is modeled by a multi-layer perceptron feed-forward artificial neural network, because of the ANN’s ability to generate appropriate input–output mapping and to learn from training examples without the need of detailed knowledge of the underlying system. At any time instant, the past samples of data are placed in the network input, and the subsequent values are predicted at its output. To estimate the strength of interactions, the measure of “
Causality coefficient ” is defined based on the network structure, the connecting weights and the parameters of hidden layer activation function. Simulation analysis demonstrates that the method, called “CREANN” (Causal Relationship Estimation by Artificial Neural Network), can estimate time-invariant and time-varying effective connectivity in terms of MVAR coefficients. The method shows robustness with respect to noise level of data. Furthermore, the estimations are not significantly influenced by the model order (considered time-lag), and the different initial conditions (initial random weights and parameters of the network). CREANN is also applied to EEG data collected during a memory recognition task. The results implicate that it can show changes in the information flow between brain regions, involving in the episodic memory retrieval process. These convincing results emphasize that CREANN can be used as an appropriate method to estimate the causal relationship among brain signals. [ABSTRACT FROM AUTHOR]- Published
- 2018
- Full Text
- View/download PDF
4. Estimation of effective connectivity using multi-layer perceptron artificial neural network
- Author
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Talebi, Nasibeh, Nasrabadi, Ali Motie, and Mohammad-Rezazadeh, Iman
- Published
- 2017
- Full Text
- View/download PDF
5. The Doubly Adaptive LASSO Methods for Time Series Analysis
- Author
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Liu, Zi Zhen
- Subjects
autoregressive conditional heteroscedastic ,Statistics and Probability ,Statistics::Theory ,analytical score ,Time series ,PACweighted adaptive positive LASSO ,ARCH(q) ,vector autoregressive ,financial time series ,analytical Hessian ,LASSO ,oracle property ,Statistics::Machine Learning ,VAR(p) ,autoregressive ,VARCH(q) ,Statistics::Methodology ,positive LASSO ,data mining ,doubly adaptive LASSO ,Statistics::Computation ,AR(P) ,S&P 500 ,adaptive LASSO ,multivariate autoregressive ,quadratic approximation ,PLAC-weighted adaptive LASSO ,PAC-weighted adaptive LASSO ,multivariate ARCH ,Nikkei ,vector ARCH - Abstract
In this thesis, we propose a systematic approach called the doubly adaptive LASSO tailored to time series analysis, which includes four specific methods for four time series models, respectively: The PAC-weighted adaptive LASSO for univariate autoregressive (AR) models. Although the LASSO methodology has been applied to AR models, the existing methods in the literature ignore the temporal dependence information embedded in AR time series data. Consequently, the methods may not reflect the characteristics of underlying AR processes, especially, the lag order of AR models. The PAC-weighted adaptive LASSO incorporates the partial autocorrelation (PAC) into the adaptive LASSO weights. The PAC-weighted adaptive LASSO estimator has asymptotic oracle properties and a Monte Carlo study shows promising results. The PAC-weighted adaptive positive LASSO for autoregressive conditional heteroscedastic (ARCH) models. We have not found any results in the literature that apply the LASSO methodology to ARCH models. The PAC-weighted adaptive positive LASSO incorporates the PAC information embedded in squared ARCH process into adaptive LASSO weights. The word positive reflects the fact that the parameters in ARCH models are non-negative. We introduce a new concept named the surrogate of the second-order approximate likelihood, and propose a modified shooting algorithm to implement the PAC-weighted adaptive positive LASSO computationally. The PAC-weighted adaptive positive LASSO estimator has asymptotic oracle properties and a Monte Carlo study shows promising results. The PLAC-weighted adaptive LASSO for vector autoregressive (VAR) models. Although the LASSO methodology has been applied to building VAR time series models, the existing methods in the literature ignore the temporal dependence information embedded in VAR time series data. Consequently, the methods may not reflect the characteristics of VAR time series data, especially, the lag order of VAR models. The PLAC-weighted adaptive LASSO incorporates the partial lag autocorrelation (PLAC) into the adaptive LASSO weights. The PLAC-weighted adaptive LASSO estimator has oracle properties and Monte Carlo studies show promising results. The PLAC-weighted adaptive LASSO for BEKK vector ARCH (VARCH) models. We have not found any results in the literature that apply the LASSO methodology to VARCH processes. We focus on the BEKK VARCH models. The PLAC-weighted adaptive LASSO incorporates the PLAC information embedded in the squared BEKK VARCH process into the adaptive LASSO weights. We extend the concept of the surrogate of the second-order approximate likelihood, and propose a modified shooting algorithm to implement the PLAC-weighted adaptive LASSO computationally. We conduct a Monte Carlo study and have preliminary results from the study. Keywords: Time series, financial time series, data mining, oracle property, LASSO, adaptive LASSO, doubly adaptive LASSO, positive LASSO, PAC-weighted adaptive LASSO, PAC-weighted adaptive positive LASSO, PLAC-weighted adaptive LASSO, autoregressive, AR(P), autoregressive conditional heteroscedastic, ARCH(q), vector autoregressive, multivariate autoregressive, VAR(p), vector ARCH, multivariate ARCH, VARCH(q), analytical score, analytical Hessian, quadratic approximation, surrogate to approximate likelihood, S\&P 500, Nikkei.
- Published
- 2014
6. Altered resting state effective connectivity in long-standing vegetative state patients: an EEG study.
- Author
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Varotto G, Fazio P, Rossi Sebastiano D, Duran D, D'Incerti L, Parati E, Sattin D, Leonardi M, Franceschetti S, and Panzica F
- Subjects
- Adult, Aged, Brain physiopathology, Electroencephalography, Female, Humans, Male, Middle Aged, Neural Pathways physiology, Neural Pathways physiopathology, Rest physiology, Persistent Vegetative State physiopathology, Persistent Vegetative State psychology, Sense of Coherence
- Abstract
Objective: Recent evidence mainly based on hemodynamic measures suggests that the impairment of functional connections between different brain areas may help to clarify the neuronal dysfunction occurring in patients with disorders of consciousness (DOC). The aim of this study was to evaluate effective EEG connectivity in a cohort of 18 patients in a chronic vegetative state (VS) observed years after the occurrence of hypoxic (eight) and traumatic or hemorrhagic brain insult., Methods: we analysed the EEG signals recorded under resting conditions using a frequency domain linear index of connectivity (partial directed coherence: PDC) estimated from a multivariate autoregressive model. The results were compared with those obtained in ten healthy controls., Results: Our findings indicated significant connectivity changes in EEG activities in delta and alpha bands. The VS patients showed a significant and widespread decrease in delta band connectivity, whereas the alpha activity was hyper-connected in the central and posterior cortical regions., Conclusion: These changes suggest the occurrence of severe circuitry derangements probably due to the loose control of the subcortical connections. The alpha hyper-synchronisation may be due to simplified networks mainly involving the short-range connections between intrinsically oscillatory cortical neurons that generate aberrant EEG alpha sources. This increased connectivity may be interpreted as a reduction in information capacity, implying an increasing prevalence of stereotypic activity patterns., Significance: Our observations suggest a remarkable rearrangement of connectivity in patients with long-standing VS. We hypothesize that in persistent VS, after a first period characterized by a breakdown of cortical connectivity, neurodegenerative processes, largely independent from the type of initial insult, lead to cortex de-afferentation and to a severe reduction of possible cortical activity patterns and states., (Copyright © 2013 International Federation of Clinical Neurophysiology. Published by Elsevier Ireland Ltd. All rights reserved.)
- Published
- 2014
- Full Text
- View/download PDF
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