A Data-Consistent Approach to Ensemble Filtering
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Ensemble filtering of chaotic, partially observed systems is often performed with ensembles far smaller than the state dimension resulting in empirical covariances that are low rank. Subsequently, stochastic observation perturbations can degrade both accuracy and probabilistic calibration. We develop a data-consistent perspective on ensemble filtering and introduce the Quantity-of-Interest Principal Component Analysis Ensemble Data Consistent Filter (QPCA-EnDCF), which is a deterministic method that replaces perturbed observations with a spectrally regularized update in observation space. The method whitens forecast--observation residuals, computes an empirical eigendecomposition of the residual covariance, and restricts the correction to a rank-$κ$ subspace before mapping the increment back to state space through an empirical gain. We establish a theoretical framework that separates population and finite-ensemble objects and yields a bias--variance decomposition for the analysis mean. The analysis shows that stochastic EnKF variants incur an irreducible $\mathcal{O}(1/N)$ variance contribution from observation perturbations, whereas QPCA-EnDCF replaces this term with projector-estimation variability that is also $\mathcal{O}(1/N)$ but depends on the retained rank and the cutoff gap through eigenspace stability. Numerical experiments on the Lorenz--96 system in strongly undersampled regimes demonstrate that QPCA-EnDCF substantially improves spread--skill behavior, temporal tracking between spread and error, and rank-histogram reliability relative to sequential and four-dimensional stochastic EnKF. Under the baseline configuration, these calibration gains are accompanied by lower RMSE.
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…
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融合自回归与共同因子的矩阵时间序列框架
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宏观与金融即时预测中的可解释机器学习:面向商业与政策决策的框架
Macroeconomic nowcasting sits at the intersection of traditional econometrics, data-rich information systems, and AI applications in business, economics, and policy. Machine learning (ML) methods are increasingly used to nowcast quarterly GDP growth, but adoption in high-stakes settings requires that predictive accuracy be matched by interpretability and robust uncertainty quantification. This article reviews recent developments in macroeconomic nowcasting and compares…
因子增强的稀疏 MIDAS 回归及即时预测应用
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…