每日简报

通过前向比值稳健估计自相关函数AI 解读

It is obvious to say that an adequate estimation of the autocorrelation function is central in time series analysis. In this paper, we propose three new robust estimators based on ratios of observations, which offer strong resistance against outliers. While the first estimator, which is based on the median, is not efficient, the second is a Quasi Maximum Likelihood (QML) estimator with better efficiency properties. The third estimator is a plug-in estimator, which does not…

实时宏观经济预测中的数据修订风险AI 解读

Macroeconomic forecasts refer to outcomes that are first released and then revised. A 90 percent interval for the first GDP release, a six-month value, or a latest-value benchmark is not the same uncertainty statement. We ask how revision risk evolves through the release cycle and what can be reported in real time when later-outcome errors are scarce. We decompose later-outcome MSE into preliminary forecast risk, revision risk, and their covariance. In SPF data,…