Multiple data-driven missing imputation
多种数据驱动的缺失值插补AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确针对单变量时间序列的缺失插补及信号重建,直接涉及时间序列的数据处理方法。
多种数据驱动的缺失值插补AI 解读 ↓
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This paper introduces KZImputer, a novel adaptive imputation method for univariate time series designed for short to medium-sized missed points (gaps) (1-5 points and beyond) with tailored strategies for segments at the start, middle, or end of the series. KZImputer employs a hybrid strategy to handle various missing data scenarios. Its core mechanism differentiates between gaps at the beginning, middle, or end of the series, applying tailored techniques at each position to optimize imputation accuracy. The method leverages linear interpolation and localized statistical measures, adapting to the characteristics of the surrounding data and the gap size. The performance of KZImputer has been systematically evaluated against established imputation techniques, demonstrating its potential to enhance data quality for subsequent time series analysis. This paper describes the KZImputer methodology in detail and discusses its effectiveness in improving the integrity of time series data. Empirical analysis demonstrates that KZImputer achieves particularly strong performance for datasets with high missingness rates (around 50% or more), maintaining stable and competitive results across statistical and signal-reconstruction metrics. The method proves especially effective in high-sparsity regimes, where traditional approaches typically experience accuracy degradation.
Wigner 矩阵时间序列的相变监测
We develop methodology and theory for the detection of a phase transition in a time-series of high-dimensional random matrices. In the model we study, at each time point \( t = 1,2,\ldots \), we observe a deformed Wigner matrix \( \mathbf{M}_t \), where the unobservable deformation represents a latent signal. This signal is detectable only in the supercritical regime, and our objective is to detect the transition to this regime in real time, as new matrix--valued…
I study randomization inference for dynamic causal effects in panels with many units and few periods when treatment is endogenous and an instrument is as good as randomly assigned only through the innovations of a first-order autoregressive assignment mechanism with unknown persistence. The persistence is a nuisance parameter in two senses: it determines which weighted average of heterogeneous causal effects the instrumented local projection estimand measures, and it governs…
无需VaR预测的期望损失E-回测:时间序列模型下的方法
Expected Shortfall (ES) measures the average size of tail losses. Its sequential backtests typically also require a Value-at-Risk (VaR) forecast. We develop two e-backtesting methods using only observed losses and ES forecasts: one for iid losses only and the other for time series under an AR-GARCH conditional VaR structure. Under the stated assumptions, both control false rejections at any stopping time. For the time-series method, validity requires a fixed…
自适应 Lasso 解路径单位根检验的自助法改进
We propose sieve wild bootstrap analogues to the adaptive Lasso solution path unit root tests of Arnold and Reinschlüssel (2024) arXiv:2404.06205 to improve finite sample properties and extend their applicability to a generalised framework, allowing for non-stationary volatility. Numerical evidence shows the bootstrap to improve the tests' precision for error processes that promote spurious rejections of the unit root null, depending on the detrending procedure. The…
We show that the activation knot of a potentially non-stationary regressor on the adaptive Lasso solution path in autoregressions can be leveraged for selection-free inference about a unit root. The resulting test has asymptotic power against local alternatives in $1/T$ neighbourhoods, unlike post-selection inference methods based on consistent model selection. Exploiting the information enrichment principle devised by Reinschlüssel and Arnold (arXiv:2402.16580 [stat.ME]) to…
利用信息增强自适应 Lasso 选择平稳与非平稳自回归模型
We propose a novel approach to elicit the weight of a potentially non-stationary regressor in the consistent and oracle-efficient estimation of autoregressive models using the adaptive Lasso. The enhanced weight builds on a statistic that exploits distinct orders in probability of the OLS estimator in time series regressions when the degree of integration differs. We provide theoretical results on the benefit of our approach for detecting stationarity when a tuning criterion…