Enhancing Data Completeness in Time Series: Imputation Strategies for Missing Data Using Significant Periodically Correlated Components
利用显著周期相关成分改进时间序列缺失数据插补AI 解读 ↓
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Missing data is a pervasive issue in statistical analyses, affecting the reliability and validity of research across diverse scientific disciplines. Failure to adequately address missing data can lead to biased estimates and consequently flawed conclusions. In this study, we present a novel imputation method that leverages significant annual components identified through the Variable Bandpass Periodic Block Bootstrap (VBPBB) technique to improve the accuracy and integrity of imputed datasets. Our approach enhances the completeness of datasets by systematically incorporating periodic components into the imputation process, thereby preserving key statistical properties, including mean and variance. We conduct a comparative analysis of various imputation techniques, demonstrating that our VBPBB-enhanced approach consistently outperforms traditional methods in maintaining the statistical structure of the original dataset. The results of our study underscore the robustness and reliability of VBPBB-enhanced imputation, highlighting its potential for broader application in real-world datasets, particularly in fields such as healthcare, where data quality is critical. These findings provide a robust framework for improving the accuracy of imputed datasets, offering substantial implications for advancing research methodologies across scientific and analytical contexts. Our method not only impute missing data but also ensures that the imputed values align with underlying temporal patterns, thereby facilitating more accurate and reliable conclusions.
Normality pre-tests on reduced-form innovations cannot detect whether two or more underlying structural shocks are Gaussian, and hence cannot detect a failure of identification in non-Gaussian SVARs. We propose a bootstrap-based approach that reveals such a failure. Under the null of valid identification and certain regularity conditions, the conditional bootstrap distribution of the maximum likelihood estimator of the impact matrix is asymptotically normal, so the…
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…
中断时间序列的因果中介分析:稳定中介加权及车辆排放政策应用
Population-level policies are introduced at a fixed time and evaluated from a single series of aggregate outcomes, and the interrupted time series design estimates the total shift in an outcome after the intervention. When the policy is expected to act through a measurable pathway, the total effect is less informative than its decomposition into direct and indirect effects. We formulate causal mediation for a single interrupted time series and study stabilized mediator…
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…
测量时间之箭:多元时间序列方向结构的识别、估计与推断
Many questions across the sciences take the same form: several coupled series are observed together, and the analyst wants to know not merely that they move together but which one moves first, and how strongly. This paper sets out a complete method built on one organising idea: the direction of a coupled system is exactly the part of its behaviour that changes when the record is played backwards. Tools built on contemporaneous covariance alone (correlation matrices, distance…
WIRED:结构化依赖下的加权自适应多序列概率预测
This paper presents WIRED, an R package algorithm for joint probabilistic forecasting of multiple related time series. WIRED combines a library of simple marginal predictive distributions, CRPS-based adaptive mixture weights, and a Gaussian or Student t copula for cross-series simulation. We evaluate the implementation in a benchmark with four synthetic data-generating processes (DGPs), three forecast horizons, 30 replicates per DGP-horizon pair, nine ablations and external…