A Test of Autoregression in Gaussian Spatial Processes
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A simple test is given of the autoregression parameter in Gaussian spatial processes using a conditional model. The test statistic is derived from the pseudolikelihood. Exact and approximate null distributions of the test statistic are given. Its efficiency for the local alternatives has also been considered. An interval estimate of the parameter is also given.
RBF 核高斯过程最大似然估计的精确渐近理论
Gaussian processes (GPs) are widely used across machine learning, spatial statistics, time-series analysis, optimization, Bayesian statistics, and scientific applications. A central component of a GP model is its kernel, which is typically specified through a parametric family. Among the most widely used choices is the radial basis function (RBF), also known as the squared exponential or Gaussian kernel, owing to its simple form, smoothness, and flexibility. In practice, the…
跨空间时间序列的预测驱动推断
The following motif is common in spatiotemporal settings: we have a sequence of covariate and label pairs observed for a relatively short, recent time period. We have access to unlabeled covariates over a longer time period. Data is observed over many spatial locations. For instance, crop yield might be observed over a large geographical area for recent years, but weather data (which is informative about crop yield) is available for a much longer period. The goal is to…
Comparing dependence structures between two related multivariate time series is of fundamental interest in many scientific applications, where changes may occur in both directed temporal interactions and contemporaneous connectivity. Modeling each time series by a vector autoregressive (VAR) model, we propose a new framework for estimation and inference of differential Granger causality (DiffGC) and differential network (DiffNet) structures in high dimensions. The proposed…
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…
基于条件异方差识别日度油价冲击及其不确定性
This paper develops a daily structural VAR for identifying oil price shocks from conditional heteroskedasticity and quantifies the transmission of their timevarying uncertainty. Identification exploits volatility clustering and spillovers in a structural GARCH specification and the complete identified set is derived. We derive covariance impulse response functions and introduce a time-varying forecast error variance decomposition (TV-FEVD) that allows for a decomposition of…
glmSTARMA:广义线性时空自回归模型的 R 包
The R package glmSTARMA implements autoregressive models for spatio-temporal data at fixed locations, with time-invariant spatial dependency structure. We rely on generalized linear models methodology and unify several approaches for the analysis of spatial count time series. Such models allow the (conditional) mean of the response to depend on past observations, lagged (conditional) expectations, and covariates. The response can be a continuous or a discrete random…