Estimation of Poisson Autoregressive Model for Multiple Time Series
多条时间序列的泊松自回归模型估计AI 解读 ↓
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多条时间序列的泊松自回归模型估计AI 解读 ↓
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A Poisson autoregressive (PAR) model accounting for discreteness and autocorrelation of count time series data is typically estimated in the state-space modelling framework through extended Kalman filter. However, because of the complex dependencies in count time series, estimation becomes more challenging. PAR is viewed as an additive model and estimated using a hybrid of cubic smoothing splines and maximum likelihood estimation (MLE) in the backfitting framework. Simulation studies show that this estimation method is comparable or better than PAR estimated in the state-space context, especially with larger count values. However, as [2] formulated PAR for stationary counts, both estimation procedures underestimate parameters in nearly nonstationary models. The flexibility of the additive model has two benefits though: robust estimation in the presence of temporary structural change, and; viability to integrate PAR model into a more complex model structure. We further generalized the PAR(p) model into multiple time series of counts and illustrated with indicators in the financial markets.
金融网络动态与持久性的估计:英镑货币市场应用
Summary We propose a novel methodology for dynamic econometric modelling of large financial networks subject to persistence, structural changes and sparsity. We estimate bivariate dynamic Tobit‐type models for each pair of banks, allowing for deterministic or stochastic time‐varying parameters, and then aggregate across all bank pairs. To tackle the high dimensionality of the model, we construct a few lagged variables that efficiently summarize the position of a bank pair in…
基于编码的稳定变点检测方法
Without imposing prior distributional knowledge underlying multivariate time series of interest, we propose a nonparametric change-point detection approach to estimate the number of change points and their locations along the temporal axis. We develop a structural subsampling procedure such that the observations are encoded into multiple sequences of Bernoulli variables. A maximum likelihood approach in conjunction with a newly developed searching algorithm is implemented to…
Kendall 秩相关系数变化检验
For a bivariate time series (( X i , Y i )) i =1,..., n , we want to detect whether the correlation between X i and Y i stays constant for all i = 1,... n . We propose a nonparametric change-point test statistic based on Kendall’s tau. The asymptotic distribution under the null hypothesis of no change follows from a new U -statistic invariance principle for dependent processes. Assuming a single change-point, we show that the location of the change-point is consistently…
检测Copula结构变化的平滑检验方法
This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic parameters and the unknown marginals has no first-order estimation effect on the proposed statistics. Consequently, the feasible tests based on estimated residuals…
时变可预测性的稳健推断:Sieve-IVX 方法
Predictive regression models are often used to evaluate the predictive capability of economic fundamentals on bond and equity returns. Inferential procedures in these regressions typically employ parameter constancy or piecewise constancy in slope coefficients. Such formulations are prone to misspecification, more especially during periods of disturbance or evolution in prevailing economic and financial conditions, which can lead to size distortion and spurious evidence of…
非平稳时间序列中稳定区间的检验
Many time series are not stable over their full observation horizon, but may contain scientifically meaningful periods during which a signal remains stable up to a prescribed tolerance. We formulate this as an existence test for stable intervals in a non-stationary regression model with dependent, locally stationary errors. For a signal $d$ derived from the mean function, including deviations from reference levels and derivatives, stability over duration $δ$ is encoded by $d_\infty=\inf_{t\in[0,1-δ]}\sup_{s\in[t,t+δ]}|d(s)|$…