4 papers · 1 filter
Consistent community recovery in stochastic block Ornstein-Uhlenbeck processes
Anders Norlyk, Almut E. D. Veraart
We propose the stochastic block Ornstein-Uhlenbeck (SBOU) process, a continuous-time multivariate model in which the drift matrix encodes a latent group structure among its compone…
Edge-indexed network time series with graph Ornstein-Uhlenbeck dynamics
Jiaming Chen, Almut E. D. Veraart
We introduce a class of Lévy-driven graph Ornstein-Uhlenbeck (grOU) models for edge-indexed network time series. The proposed framework extends generalized network autoregressive…
Nonparametric estimation of trawl processes: Theory and applications
Orimar Sauri, Almut E. D. Veraart
Trawl processes belong to the class of continuous-time, strictly stationary, infinitely divisible processes; they are defined as Levy bases evaluated over deterministic trawl sets.…
The Markov approximation of the periodic multivariate Poisson autoregression
Mahmoud Khabou, Edward A. K. Cohen, Almut E. D. Veraart
This paper introduces a periodic multivariate Poisson autoregression with potentially infinite memory, with a special focus on the network setting. Using contraction techniques, we…