Bayesian Quantile Deep Echo State Networks for Nonlinear Time Series
用于非线性时间序列的贝叶斯分位数深度回声状态网络AI 解读 ↓
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用于非线性时间序列的贝叶斯分位数深度回声状态网络AI 解读 ↓
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Conditional quantiles are central to asymmetric decision losses, tail-risk assessment, and interval forecasts, but Bayesian quantile regression for nonlinear time series can be difficult when the temporal feature vector is high-dimensional. We develop the quantile deep echo state network (Q-DESN), a Bayesian quantile regression model conditional on fixed features generated by a deep echo state network. Conditional on a specified reservoir construction and feature map, posterior uncertainty is assigned to the regression coefficients, likelihood, and shrinkage parameters. Single-level fits use asymmetric Laplace or quantile-fixed generalized asymmetric Laplace working likelihoods with ridge or regularized-horseshoe priors. Posterior computation uses Markov chain Monte Carlo when computationally practical and a model-specific variational Bayes approximation for analyses requiring repeated fitting. For quantile grids, we compare independent level-wise regressions followed by monotone rearrangement with a joint quantile-vector regression that shrinks adjacent quantile-specific coefficient differences. Synthetic studies, a single-origin retrospective Global Flood Awareness System (GloFAS) streamflow case, and a retrospective PriceFM comparison identify settings where this fixed-feature Bayesian regression improves finite-grid quantile scores.
具有结构化收缩与持续性先验的贝叶斯广义网络自回归模型
We propose a Bayesian generalized network autoregressive (BGNAR) model for multivariate time series whose component series are associated with the nodes of a known network. The proposed framework combines the parsimonious network structure of the generalized network autoregressive (GNAR) model with structured shrinkage and persistence priors adapted from Bayesian vector autoregressive (BVAR) modeling. We adapt Minnesota-type shrinkage to both own-lag and network-lag…
学习宏观经济语言
We show how state-of-the-art large language models (LLMs) can be trained effectively on limited historical data for macroeconomic forecasting. We estimate a dynamic stochastic general equilibrium (DSGE) model with stochastic volatility and Student-t shocks on an initial segment of the data to obtain a posterior distribution over structural parameters. We sample from this posterior to generate millions of theory-consistent synthetic panels that, when mixed with macroeconomic…
用 BAND 缓解维度灾难:高维非参数分布估计
Minimax-optimal rates for multivariate distribution estimation are known to suffer from the curse of dimensionality. We propose a sparse Bayesian network approach in which each conditional probability is estimated using sparsity-aware conditional mean methods. The resulting estimator, \textit{BAyesian Network Distribution regression} (BAND), handles mixed data types in high-dimensional time series and achieves polynomial total variation convergence rates while allowing the…
exdqlm:灵活动态分位数线性模型估计与分析的 R 软件包
We present the R package exdqlm for Bayesian quantile regression, with primary emphasis on dynamic state-space quantile models for time series. The package is built around extended dynamic quantile linear models (exDQLMs), which use the extended asymmetric Laplace (exAL) family, a parametric extension of the asymmetric Laplace (AL) distribution commonly used in quantile regression. The software provides posterior simulation via Markov chain Monte Carlo (MCMC) and fast…
仅用一阶滞后建模长记忆
Two recent contributions have found conditions for large dimensional networks or systems to generate long memory in their individual components. We build on these and provide a multivariate methodology for modeling and forecasting series displaying long range dependence. We model long memory properties within a vector autoregressive system of order 1 and consider Bayesian estimation or ridge regression. For these, we derive a theory-driven parametric setting that informs a…
深度分布时间序列模型与日内电价概率预测
Summary Recurrent neural networks (RNNs) with rich feature vectors of past values can provide accurate point forecasts for series that exhibit complex serial dependence. We propose two approaches to constructing deep time series probabilistic models based on a variant of RNN called an echo state network (ESN). The first is where the output layer of the ESN has stochastic disturbances and a Bayesian prior for regularization. The second employs the implicit copula of an ESN…