4 papers
Attention-Based Ensemble Pooling for Time Series Forecasting
Dhruvit Patel, Alexander Wikner
A common technique to reduce model bias in time-series forecasting is to use an ensemble of predictive models and pool their output into an ensemble forecast. In cases where each p…
Consistency of Lloyd's Algorithm Under Perturbations
Dhruv Patel, Hui Shen, Shankar Bhamidi +2
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…
Dynamic factor and VARMA models: equivalent representations, dimension reduction and nonlinear matrix equations
Shankar Bhamidi, Dhruv Patel, Vladas Pipiras
A dynamic factor model with factor series following a VAR model is shown to have a VARMA model representation. Reduced-rank structures are identified for the VAR and VM…
Correlation networks, dynamic factor models and community detection
Shankar Bhamidi, Dhruv Patel, Vladas Pipiras +1
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…