Survival analysis with temporal covariate effects
具有时变协变量效应的生存分析AI 解读 ↓
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具有时变协变量效应的生存分析AI 解读 ↓
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We propose a natural generalization of the Cox regression model, in which the regression coefficients have direct interpretations as temporal covariate effects on the survival function. Under the conditionally independent censoring mechanism, we develop a smoothing-free estimation procedure with a set of martingale-based equations. Our estimator is shown to be uniformly consistent and to converge weakly to a Gaussian process. A simple resampling method is proposed for approximating the limiting distribution of the estimated coefficients. Second-stage inferences with time-varying coefficients are developed accordingly. Simulations and a real example illustrate the practical utility of the proposed method. Finally, we extend this proposal of temporal covariate effects to the general class of linear transformation models and also establish a connection with the additive hazards model.
检测Copula结构变化的平滑检验方法
This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic parameters and the unknown marginals has no first-order estimation effect on the proposed statistics. Consequently, the feasible tests based on estimated residuals…
预测比较中的不确定性量化
Skill scores, which measure the relative improvement of a forecasting method over a benchmark via consistent scoring functions and proper scoring rules, are a standard tool in forecast evaluation, yet their sampling uncertainty is rarely rigorously quantified. With modern forecasting applications being increasingly multivariate and involving evaluations across multiple horizons, variables, spatial locations, and forecasting methods, standard tools like the pairwise…
基于离散傅里叶变换检验交互固定效应面板模型的结构变化
We propose a discrete Fourier transform (DFT)-based test for detecting structural changes in panel data models with interactive fixed effects (IFE). When structural changes are present but ignored, the conventional asymptotic distribution of the least squares (LS) estimator of Bai (2009) may no longer provide reliable inference, and the resulting residuals contain signals of parameter instability. Our test exploits this feature by comparing the DFT of weighted residuals to…
高维及可能非平稳时间序列的尾部稳健自协方差矩阵估计
In this paper, we study the autocovariance matrix estimation and inference problems under heavy-tailedness, high-dimensionality, general nonlinear temporal dependence, and potentially nonstationarity of time series. We consider two types of tail-robust autocovariance matrix estimation methods: the element-wise Huber's $M$-estimator and a computationally more efficient element-wise truncated estimator. Both estimators are designed to achieve sharp error bounds in matrix…
SCAN:通过自适应非参数推断依次检测变点
Modern time series are often long, serially dependent, and non-stationary. Existing change-point methods either target specific changes or become computationally intensive when using nonparametric costs on long series. Many also require thresholds to be carefully calibrated under serial dependence. We introduce SCAN, an offline method for detecting multiple distributional change-points in long, serially dependent univariate time series. SCAN compares adjacent windows using…
非平稳时间序列的递归多变点检测、估计与置信区间
We develop bootstrap-assisted robust binary segmentation (BARBS), a recursive binary segmentation method for multiple change point detection under general nonstationary temporal dynamics. A novel Gaussian multiplier bootstrap for the CUSUM statistics is proposed, offering robustness to complex dependence structures. Through meticulous calibration of the critical values at each stage of the recursion, BARBS ensures control of the Type I error under the null hypothesis of no…