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稳定季节模式模型的预测：夏威夷旅游数据应用AI 解读

We propose several variations of the stable seasonal pattern (SSP) model first introduced by Marshall and Oliver and study their prediction procedures. Depending on the type of data (count data or continuous variable), we propose different treatments. Previously SSP models have been applied to trendless data or adapted to trending data in ad hoc ways. In the models considered here, conditional independence allows the seasonal pattern and trend to be modeled separately,…

大冲击、小冲击与经济波动：宏观时间序列中的异常值AI 解读

Abstract We analyse fifteen post‐World War II US macroeconomic time series using a modified outlier identification procedure based on Tsay (1988a). ‘Large shocks’ appear to be present in all the series we examined. Furthermore, there are three basic outlier patterns: (1) outliers seem to be associated with business cycles, (2) outliers are clustered together—both over time and across series, (3) there appears to be a dichotomy between outlier behaviour of real versus nominal…