每日简报

分位数相干性的半参数估计及双变量金融时间序列聚类应用AI 解读

In multivariate time series analysis, spectral coherence measures the linear dependency between two time series at different frequencies. However, real data applications often exhibit nonlinear dependency in the frequency domain. Conventional coherence analysis fails to capture such dependency. The quantile coherence, on the other hand, characterizes nonlinear dependency by defining the coherence at a set of quantile levels based on trigonometric quantile regression. This…

利用 Bootstrap 集成与置信度度量改进时间序列因果发现AI 解读

Learning causal graphs from multivariate time series is a ubiquitous challenge in all application domains dealing with time-dependent systems, such as in Earth sciences, biology, or engineering, to name a few. Recent developments for this causal discovery learning task have shown considerable skill, notably the specific time-series adaptations of the popular conditional independence-based learning framework. However, uncertainty estimation is challenging for conditional…