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使用时间序列、计量、机器学习与深度学习模型预测股价AI 解读

For a long-time, researchers have been developing a reliable and accurate predictive model for stock price prediction. According to the literature, if predictive models are correctly designed and refined, they can painstakingly and faithfully estimate future stock values. This paper demonstrates a set of time series, econometric, and various learning-based models for stock price prediction. The data of Infosys, ICICI, and SUN PHARMA from the period of January 2004 to…

具有随机波动率的大型排序不变贝叶斯 VARAI 解读

Many popular specifications for Vector Autoregressions (VARs) with multivariate stochastic volatility are not invariant to the way the variables are ordered due to the use of a Cholesky decomposition for the error covariance matrix. We show that the order invariance problem in existing approaches is likely to become more serious in large VARs. We propose the use of a specification which avoids the use of this Cholesky decomposition. We show that the presence of multivariate…

利用移动网络数据监测疫情期间远程办公的性别差异AI 解读

The COVID-19 pandemic has created a sudden need for a wider uptake of home-based telework as means of sustaining the production. Generally, teleworking arrangements impacts directly worker's efficiency and motivation. The direction of this impact, however, depends on the balance between positive effects of teleworking (e.g. increased flexibility and autonomy) and its downsides (e.g. blurring boundaries between private and work life). Moreover, these effects of teleworking…

利用机器学习分析和分类交通事故伤害严重程度AI 解读

Causal analysis and classification of injury severity applying non-parametric methods for traffic crashes has received limited attention. This study presents a methodological framework for causal inference, using Granger causality analysis, and injury severity classification of traffic crashes, occurring on interstates, with different machine learning techniques including decision trees (DT), random forest (RF), extreme gradient boosting (XGBoost), and deep neural network…

随机时间序列中的频率调制检测AI 解读

We propose a new statistical test to identify non-stationary frequency-modulated stochastic processes from time series data. Our method uses the instantaneous phase as a discriminatory statistics with reliable critical values derived from surrogate data. We simulated an oscillatory second-order autoregressive process to evaluate the size and power of the test. We found that the test we propose is able to correctly identify more than 99% of non-stationary data when the…

金融周期比率与美国GDP的中期预测AI 解读

Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United States. A cyclically adjusted house price-to-rent ratio and the liabilities-to-income ratio of the non-financial non-corporate business sector provide the best in-sample and out-of-sample predictions of GDP growth over horizons of one to…

含一般因子与回归变量的交互效应面板模型AI 解读

This paper considers a model with general regressors and unobservable factors. An estimator based on iterated principal components is proposed, which is shown to be not only asymptotically normal and oracle efficient, but under certain conditions also free of the otherwise so common asymptotic incidental parameters bias. Interestingly, the conditions required to achieve unbiasedness become weaker the stronger the trends in the factors, and if the trending is strong enough…

海量数据流中的动态统计推断AI 解读

Modern technological advances have expanded the scope of applications requiring analysis of large-scale datastreams that comprise multiple indefinitely long time series. There is an acute need for statistical methodologies that perform online inference and continuously revise the model to reflect the current status of the underlying process. In this manuscript, we propose a dynamic statistical inference framework--named dynamic tracking and screening (DTS)--that is not only…

时变参数调制的周期变星模型AI 解读

Many astrophysical phenomena are time-varying, in the sense that their brightness change over time. In the case of periodic stars, previous approaches assumed that changes in period, amplitude, and phase are well described by either parametric or piecewise-constant functions. With this paper, we introduce a new mathematical model for the description of the so-called modulated light curves, as found in periodic variable stars that exhibit smoothly time-varying parameters such…

具有内生性与半长记忆的非参数协整回归函数AI 解读

This article develops nonparametric cointegrating regression models with endogeneity and semi-long memory. We assume that semi-long memory is produced in the regressor process by tempering of random shock coefficients. The fundamental properties of long memory processes are thus retained in the regressor process. Nonparametric nonlinear cointegrating regressions with serially dependent errors and endogenous regressors driven by long memory innovations have been considered in…

通过去偏估计量对高维非高斯 VAR 模型进行同时推断AI 解读

Simultaneous inference for high-dimensional non-Gaussian time series is always considered to be a challenging problem. Such tasks require not only robust estimation of the coefficients in the random process, but also deriving limiting distribution for a sum of dependent variables. In this paper, we propose a multiplier bootstrap procedure to conduct simultaneous inference for the transition coefficients in high-dimensional non-Gaussian vector autoregressive (VAR) models.…

分组函数型时间序列中的分组结构重要吗？AI 解读

We study the importance of group structure in grouped functional time series. Due to the non-uniqueness of group structure, we investigate different disaggregation structures in grouped functional time series. We address a practical question on whether or not the group structure can affect forecast accuracy. Using a dynamic multivariate functional time series method, we consider joint modeling and forecasting multiple series. Illustrated by Japanese sub-national age-specific…

预测回归中基于成对Copula构造的点最优符号检验AI 解读

We propose pair copula constructed point-optimal sign tests in the context of linear and nonlinear predictive regressions with endogenous, persistent regressors, and disturbances exhibiting serial (nonlinear) dependence. The proposed approach entails considering the entire dependence structure of the signs to capture the serial dependence, and building feasible test statistics based on pair copula constructions of the sign process. The tests are exact and valid in the…

非可交换数据中的变点检测AI 解读

Changepoint models typically assume the data within each segment are independent and identically distributed conditional on some parameters which change across segments. This construction may be inadequate when data are subject to local correlation patterns, often resulting in many more changepoints fitted than preferable. This article proposes a Bayesian changepoint model which relaxes the assumption of exchangeability within segments. The proposed model supposes data…

大型贝叶斯 VAR 的非对称共轭先验AI 解读

Large Bayesian VARs are now widely used in empirical macroeconomics. One popular shrinkage prior in this setting is the natural conjugate prior as it facilitates posterior simulation and leads to a range of useful analytical results. This is, however, at the expense of modeling flexibility, as it rules out cross-variable shrinkage -- i.e., shrinking coefficients on lags of other variables more aggressively than those on own lags. We develop a prior that has the best of both…

季节性计数时间序列AI 解读

Count time series are widely encountered in practice. As with continuous valued data, many count series have seasonal properties. This paper uses a recent advance in stationary count time series to develop a general seasonal count time series modeling paradigm. The model permits any marginal distribution for the series and the most flexible autocorrelations possible, including those with negative dependence. Likelihood methods of inference can be conducted and covariates can…

通过虚拟 VAR 建模解析因果关系AI 解读

In modeling multivariate time series for either forecast or policy analysis, it would be beneficial to have figured out the cause-effect relations within the data. Regression analysis, however, is generally for correlation relation, and very few researches have focused on variance analysis for causality discovery. We first set up an equilibrium for the cause-effect relations using a fictitious vector autoregressive model. In the equilibrium, long-run relations are identified…

天气预报精度的空间相关：函数型时间序列方法AI 解读

A functional time series approach is proposed for investigating spatial correlation in daily maximum temperature forecast errors for 111 cities spread across the U.S. The modelling of spatial correlation is most fruitful for longer forecast horizons, and becomes less relevant as the forecast horizon shrinks towards zero. For 6-day-ahead forecasts, the functional approach uncovers interpretable regional spatial effects, and captures the higher variance observed in inland…

高维高斯时间序列频率平滑谱相干矩阵的线性谱统计性质AI 解读

The asymptotic behaviour of Linear Spectral Statistics (LSS) of the smoothed periodogram estimator of the spectral coherency matrix of a complex Gaussian high-dimensional time series $(\y_n)_{n \in \mathbb{Z}}$ with independent components is studied under the asymptotic regime where the sample size $N$ converges towards $+\infty$ while the dimension $M$ of $\y$ and the smoothing span of the estimator grow to infinity at the same rate in such a way that $\frac{M}{N} \rightarrow 0$…

时序文本数据中主题比例的变点分析AI 解读

Changepoint analysis deals with unsupervised detection and/or estimation of time-points in time-series data, when the distribution generating the data changes. In this article, we consider \emph{offline} changepoint detection in the context of large scale textual data. We build a specialised temporal topic model with provisions for changepoints in the distribution of topic proportions. As full likelihood based inference in this model is computationally intractable, we…

用于向量自回归的灵活贝叶斯乘积混合模型AI 解读

Bayesian non-parametric methods based on Dirichlet process mixtures have seen tremendous success in various domains and are appealing in being able to borrow information by clustering samples that share identical parameters. However, such methods can face hurdles in heterogeneous settings where objects are expected to cluster only along a subset of axes or where clusters of samples share only a subset of identical parameters. We overcome such limitations by developing a…

因子增强的树集成模型AI 解读

This manuscript proposes to extend the information set of time-series regression trees with latent stationary factors extracted via state-space methods. In doing so, this approach generalises time-series regression trees on two dimensions. First, it allows to handle predictors that exhibit measurement error, non-stationary trends, seasonality and/or irregularities such as missing observations. Second, it gives a transparent way for using domain-specific theory to inform…

非平稳条件下 fixed-b 极限分布与 HAR 检验的拒绝概率误差AI 解读

We show that the nonstandard limiting distribution of HAR test statistics under fixed-b asymptotics is not pivotal (even after studentization) when the data are nonstationarity. It takes the form of a complicated function of Gaussian processes and depends on the integrated local long-run variance and on on the second moments of the relevant series (e.g., of the regressors and errors for the case of the linear regression model). Hence, existing fixed-b inference methods based…

多指标非平稳时间序列模型：稳健估计理论与实践AI 解读

This paper proposes a class of parametric multiple-index time series models that involve linear combinations of time trends, stationary variables and unit root processes as regressors. The inclusion of the three different types of time series, along with the use of a multiple-index structure for these variables to circumvent the curse of dimensionality, is due to both theoretical and practical considerations. The M-type estimators (including OLS, LAD, Huber's estimator,…