每日简报

基于张量 CP 分解的矩阵时间序列建模AI 解读

We consider to model matrix time series based on a tensor CP-decomposition. Instead of using an iterative algorithm which is the standard practice for estimating CP-decompositions, we propose a new and one-pass estimation procedure based on a generalized eigenanalysis constructed from the serial dependence structure of the underlying process. To overcome the intricacy of solving a rank-reduced generalized eigenequation, we propose a further refined approach which projects it…

不规则采样时间序列的采样率校正分析AI 解读

The analysis of irregularly sampled time series remains a challenging task requiring methods that account for continuous and abrupt changes of sampling resolution without introducing additional biases. The edit-distance is an effective metric to quantitatively compare time series segments of unequal length by computing the cost of transforming one segment into the other. We show that transformation costs generally exhibit a non-trivial relationship with local sampling rate.…

高斯过程向量自回归与宏观经济不确定性AI 解读

We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values. The main building block of our model is a Gaussian process prior on the functional relationship that determines the conditional mean of the model, hence the name of Gaussian process vector autoregression (GP-VAR). A flexible stochastic volatility specification is used to provide…

时间序列极端事件中的因果关系AI 解读

Consider two stationary time series with heavy-tailed marginal distributions. We aim to detect whether they have a causal relation, that is, if a change in one causes a change in the other. Usual methods for causal discovery are not well suited if the causal mechanisms only appear during extreme events. We propose a framework to detect a causal structure from the extremes of time series, providing a new tool to extract causal information from extreme events. We introduce the…

高维函数型时间序列的因子建模AI 解读

Many economic and scientific problems involve the analysis of high-dimensional functional time series, where the number of functional variables $p$ diverges as the number of serially dependent observations $n$ increases. In this paper, we present a novel functional factor model for high-dimensional functional time series that maintains and makes use of the functional and dynamic structure to achieve great dimension reduction and find the latent factor structure. To estimate…

积分 Copula 谱AI 解读

Frequency domain methods form a ubiquitous part of the statistical toolbox for time series analysis. In recent years, considerable interest has been given to the development of new spectral methodology and tools capturing dynamics in the entire joint distributions and thus avoiding the limitations of classical, $L^2$-based spectral methods. Most of the spectral concepts proposed in that literature suffer from one major drawback, though: their estimation requires the choice…

状态空间混频 VAR 的高效估计：基于精度矩阵的方法AI 解读

State-space mixed-frequency vector autoregressions are now widely used for nowcasting. Despite their popularity, estimating such models can be computationally intensive, especially for large systems with stochastic volatility. To tackle the computational challenges, we propose two novel precision-based samplers to draw the missing observations of the low-frequency variables in these models, building on recent advances in the band and sparse matrix algorithms for state-space…

时间序列异常检测中的在线错误发现率控制AI 解读

This article proposes novel rules for false discovery rate control (FDRC) geared towards online anomaly detection in time series. Online FDRC rules allow to control the properties of a sequence of statistical tests. In the context of anomaly detection, the null hypothesis is that an observation is normal and the alternative is that it is anomalous. FDRC rules allow users to target a lower bound on precision in unsupervised settings. The methods proposed in this article…

潜在双向因子结构下矩阵时间序列的在线变点检测AI 解读

This paper proposes a novel methodology for the online detection of changepoints in the factor structure of large matrix time series. Our approach is based on the well-known fact that, in the presence of a changepoint, a factor model can be rewritten as a model with a larger number of common factors. In turn, this entails that, in the presence of a changepoint, the number of spiked eigenvalues in the second moment matrix of the data increases. Based on this, we propose two…

含异常值的多元贝叶斯在线变点检测：森林砍伐监测AI 解读

Near real time change detection is important for a variety of Earth monitoring applications and remains a high priority for remote sensing science. Data sparsity, subtle changes, seasonal trends, and the presence of outliers make detecting actual landscape changes challenging. Adams and MacKay (2007) introduced Bayesian Online Changepoint Detection (BOCPD), a computationally efficient, exact Bayesian method for change detection. Incorporation of prior information allows for…

特异成分服从稀疏 VAR 的因子模型AI 解读

We reconcile the two worlds of dense and sparse modeling by exploiting the positive aspects of both. We employ a factor model and assume {the dynamic of the factors is non-pervasive while} the idiosyncratic term follows a sparse vector autoregressive model (VAR) {which allows} for cross-sectional and time dependence. The estimation is articulated in two steps: first, the factors and their loadings are estimated via principal component analysis and second, the sparse VAR is…

函数型时间序列中格兰杰因果关系的贝叶斯检验AI 解读

We develop a multivariate functional autoregressive model (MFAR), which captures the cross-correlation among multiple functional time series and thus improves forecast accuracy. We estimate the parameters under the Bayesian dynamic linear models (DLM) framework. In order to capture Granger causality from one FAR series to another we employ Bayes Factor. Motivated by the broad application of functional data in finance, we investigate the causality between the yield curves of…

时变非线性时间序列回归的筛法同时推断AI 解读

In this paper, we consider the time-inhomogeneous nonlinear time series regression for a general class of locally stationary time series. On one hand, we propose sieve nonparametric estimators for the time-varying regression functions which can achieve the min-max optimal rate. On the other hand, we develop a unified simultaneous inferential theory which can be used to conduct both structural and exact form testings on the functions. Our proposed statistics are powerful even…

多元时间序列的无模型自助预测区域AI 解读

In Das and Politis(2020), a model-free bootstrap(MFB) paradigm was proposed for generating prediction intervals of univariate, (locally) stationary time series. Theoretical guarantees for this algorithm was resolved in Wang and Politis(2019) under stationarity and weak dependence condition. Following this line of work, here we extend MFB for predictive inference under a multivariate time series setup. We describe two algorithms, the first one works for a particular class of…

时间序列的最优差分型方差估计：一般框架AI 解读

Variance estimation is important for statistical inference. It becomes non-trivial when observations are masked by serial dependence structures and time-varying mean structures. Existing methods either ignore or sub-optimally handle these nuisance structures. This paper develops a general framework for the estimation of the long-run variance for time series with non-constant means. The building blocks are difference statistics. The proposed class of estimators is general…

门限框架下自助法检验的有效性AI 解读

We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend to be oversized in the case of small, or even moderate sample sizes, or when the estimated parameters indicate non-stationarity, as often witnessed in the analysis of financial or climate data. To address the issue we propose a supremum Lagrange Multiplier test statistic (sLMb), where the null…

通过自归一化分割时间序列AI 解读

We propose a novel and unified framework for change-point estimation in multivariate time series. The proposed method is fully nonparametric, enjoys effortless tuning and is robust to temporal dependence. One salient and distinct feature of the proposed method is its versatility, where it allows change-point detection for a broad class of parameters (such as mean, variance, correlation and quantile) in a unified fashion. At the core of our method, we couple the…

时间序列数据的高维 Knockoffs 推断AI 解读

We make some initial attempt to establish the theoretical and methodological foundation for the model-X knockoffs inference for time series data. We suggest the method of time series knockoffs inference (TSKI) by exploiting the ideas of subsampling and e-values to address the difficulty caused by the serial dependence. We also generalize the robust knockoffs inference in Barber, Candès, and Samworth to the time series setting to relax the assumption of known covariate…

从随机时间扭曲观测中估计时间序列AI 解读

We consider the problem of estimating a signal from its warped observations. Such estimation is commonly performed by altering the observations through some inverse-warping, or solving a computationally demanding optimization formulation. While these may be unavoidable if observations are few, when large amounts of warped observations are available, the cost of running such algorithms can be prohibitive. We consider the scenario where we have many observations, and propose a…

含外生协变量的离散值时间序列的强混合性质AI 解读

We derive strong mixing conditions for many existing discrete-valued time series models that include exogenous covariates in the dynamic. Our main contribution is to study how a mixing condition on the covariate process transfers to a mixing condition for the response. Using a coupling method, we first derive mixing conditions for some Markov chains in random environments, which gives a first result for some autoregressive categorical processes with strictly exogenous…

时间序列 SIR 模型放宽均匀混合假设的统计后果AI 解读

Infectious disease epidemiologists routinely fit stochastic epidemic models to time series data to elucidate infectious disease dynamics, evaluate interventions, and forecast epidemic trajectories. To improve computational tractability, many approximate stochastic models have been proposed. In this paper, we focus on one class of such approximations -- time series Susceptible-Infectious-Removed (TSIR) models. Infectious disease modeling often starts with a homogeneous mixing…

利用偏相干统计量检验因果影响AI 解读

In this paper we explore partial coherence as a tool for evaluating causal influence of one signal sequence on another. In some cases the signal sequence is sampled from a time- or space-series. The key idea is to establish a connection between questions of causality and questions of partial coherence. Once this connection is established, then a scale-invariant partial coherence statistic is used to resolve the question of causality. This coherence statistic is shown to be a…

R 包 knnwtsim：使用定制相似度的非参数预测AI 解读

The R package knnwtsim provides functions to implement k nearest neighbors (KNN) forecasting using a similarity metric tailored to the forecasting problem of predicting future observations of a response series where recent observations, seasonal or periodic patterns, and the values of one or more exogenous predictors all have predictive value in forecasting new response points. This paper will introduce the similarity measure of interest, and the functions in knnwtsim used…

短程与长程依赖：基于分数迭代 Ornstein–Uhlenbeck 过程的检验AI 解读

In this work, which is based on the family of Fractional Iterated Ornstein Uhlenbeck processes, we propose a new hypothesis test to contrast short memory versus long memory in time series. This family includes short memory and long memory processes, and has the ability to approximate a long memory processes by a short memory processes. Based on the asymptotic results of the estimators of its parameters, we will present the test and show how it can be implemented. Also, we…