Forecasting intraday particle number size distribution: A functional time series approach
日内颗粒物粒径数量分布预测:函数型时间序列方法AI 解读 ↓
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日内颗粒物粒径数量分布预测:函数型时间序列方法AI 解读 ↓
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Particulate matter data now include various particle sizes, which often manifest as a collection of curves observed sequentially over time. When considering 51 distinct particle sizes, these curves form a high-dimensional functional time series observed over equally spaced and densely sampled grids. While high dimensionality poses statistical challenges due to the curse of dimensionality, it also offers a rich source of information that enables detailed analysis of temporal variation across short time intervals for all particle sizes. To model this complexity, we propose a multilevel functional time series framework incorporating a functional factor model to facilitate one-day-ahead forecasting. To quantify forecast uncertainty, we develop a calibration approach and a split conformal prediction approach to construct prediction intervals. Both approaches are designed to minimise the absolute difference between empirical and nominal coverage probabilities using a validation dataset. Furthermore, to improve forecast accuracy as new intraday data become available, we implement dynamic updating techniques for point and interval forecasts. The proposed methods are validated through an empirical application to hourly measurements of particulate matter in 51 size categories in London.
高维函数型时间序列预测的可解释模型
We study the modeling and forecasting of high-dimensional functional time series, which can be temporally dependent and cross-sectionally correlated. Central to our implementation is a functional analysis of variance by decomposing high-dimensional functional time series, such as subnational age- and sex-specific mortality observed over years, into two distinct components: a deterministic mean structure and a residual process varying over time. Unlike purely statistical…
因子增强稀疏 MIDAS 回归及其即时预测应用
This article investigates factor-augmented sparse MIDAS (Mixed Data Sampling) regressions for high-dimensional time series data, which may be observed at different frequencies. Our novel approach integrates sparse and dense dimensionality reduction techniques. We derive the convergence rate of our estimator under misspecification due to the MIDAS approximation error, τ-mixing dependence, and polynomial tails. Our method’s finite sample performance is assessed via Monte Carlo…
高维矩阵值时间序列的贝叶斯动态因子模型
We introduce a class of Bayesian dynamic factor models for matrix-valued time series, with autoregressive factor dynamics and idiosyncratic components that allow stochastic volatility, outliers, and a Kronecker-structured covariance capturing cross-row and cross-column correlation. Exploiting the matrix structure, we make these richly parameterized models tractable in high dimensions and develop an efficient Gibbs sampler for estimation. For model comparison, we propose a…
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融合自回归与共同因子的矩阵时间序列框架
Matrix-valued time series are ubiquitous in modern economics and finance, yet modeling them requires navigating a trade-off between flexibility and parsimony. We propose the Matrix Autoregressive model with Common Factors (MARCF), a unified framework for high-dimensional matrix time series that bridges the structural gap between the Matrix Autoregression (MAR) and Matrix Factor Model (MFM). While MAR typically assumes distinct predictor and response subspaces and MFM…
高维矩阵时间序列的马尔可夫转换动态矩阵因子模型
In this study, we propose a novel model called the Markov-switching dynamic matrix factor (Ms-DMF) model, which serves the dual purpose of structural interpretation and prediction for high-dimensional matrix time series. When estimating the parameters of the Ms-DMF model, an EM (expectation maximization) algorithm was used to get a quasi-maximum likelihood estimation, where all the parameters are estimated jointly. A filtering and smoothing algorithm is used to compute the…