Time-Varying Autoregressive Models: A Novel Approach Using Physics-Informed Neural Networks

Time series models are widely used to examine temporal dynamics and uncover patterns across diverse fields. A commonly employed approach for modeling such data is the (Vector) Autoregressive (AR/VAR) model, in which each variable is represented as a linear combination of its own and others' lagged values. However, the traditional (V)AR framework relies on the key assumption of stationarity, that autoregressive coefficients remain constant over time, which is often violated in practice, especially in systems affected by structural breaks, seasonal fluctuations, or evolving causal mechanisms. To overcome this limitation, Time-Varying (Vector) Autoregressive (TV-AR/TV-VAR) models have been developed, enabling model parameters to evolve over time and thus better capturing non-stationary behavior. Conventional approaches to estimating such models, including generalized additive modeling and kernel smoothing techniques, often require strong assumptions about basis functions, which can restrict their flexibility and applicability. To address these challenges, we introduce a novel framework that leverages physics-informed neural networks (PINN) to model TV-AR/TV-VAR processes. The proposed method extends the PINN framework to time series analysis by reducing reliance on explicitly defined physical structures, thereby broadening its applicability. Its effectiveness is validated through simulations on synthetic data and an empirical study of real-world health-related time series.