Spatio-temporal autoregressions for high dimensional matrix-valued time series
高维矩阵值时间序列的时空自回归模型AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要以矩阵值时间序列的自回归建模与估计为核心,属时间序列方向;应用动机为日内5分钟交易量曲线预测,直接对应高频计量。
高维矩阵值时间序列的时空自回归模型AI 解读 ↓
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Motivated by predicting intraday trading volume curves, we consider two spatio-temporal autoregressive models for matrix time series, in which each column may represent daily trading volume curve of one asset, and each row captures synchronized 5-minute volume intervals acrossmultiple assets. While traditional matrix time series focus mainly on temporal evolution, our approach incorporates both spatial and temporal dynamics, enabling simultaneous analysis of interactions across multiple dimensions. The inherent endogeneity in spatio-temporal autoregressive models renders ordinary least squares estimation inconsistent. To overcome this difficulty while simultaneously estimating two distinct weight matrices with banded structure, we develop an iterated generalized Yule-Walker estimator by adapting a generalized method of moments framework based on Yule-Walker equations. Moreover, unlike conventional models that employ a single bandwidth parameter, the dual-bandwidth specification in our framework requires a new two-step, ratio-based sequential estimation procedure.
基于函数型分位数自相关的函数型时间序列白噪声检验
We introduce a novel class of nonlinear tests for serial dependence in functional time series, grounded in the functional quantile autocorrelation framework. Unlike traditional approaches based on the classical autocovariance kernel, the functional quantile autocorrelation framework leverages quantile-based excursion sets to robustly capture temporal dependence within infinite-dimensional functional data, accommodating potential outliers and complex nonlinear dependencies.…
具有图 Ornstein–Uhlenbeck 动态的边索引网络时间序列
We introduce a class of Lévy-driven graph Ornstein-Uhlenbeck (grOU) models for edge-indexed network time series. The proposed framework extends generalized network autoregressive (GNAR) processes for edge-indexed network time series to continuous time and adapts graph Ornstein-Uhlenbeck dynamics, originally developed for node-indexed processes, to the edge-indexed setting. The model accommodates general Lévy noise and therefore captures both Brownian and jump behavior. We…
金融与风险管理中的计量建模:概览
This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests for correlation, estimation of realized volatility, modeling time series and continuous-time models with long-range dependence, estimation and specification testing of time series models, estimation in a factor model with high-dimensional problems, finite-sample examination of…
长记忆参数的高阶核半参数 M 估计
Econometric interest in the possibility of long memory has developed as a flexible alternative to, or compromise between, the usual short memory or unit root prescriptions, for example in the context of modelling cointegrating or other relationships and in describing the dependence structure of nonlinear functions of financial returns. Semiparametric methods of estimating the memory parameter can avoid bias incurred by misspecification of the short memory component. We…
基于转移熵 p 值推断异步时间序列在不同尺度上的领先滞后关系
Symbolic transfer entropy is a powerful non-parametric tool to detect lead-lag between time series. Because a closed expression of the distribution of Transfer Entropy is not known for finite-size samples, statistical testing is often performed with bootstraps whose slowness prevents the inference of large lead-lag networks between long time series. On the other hand, the asymptotic distribution of Transfer Entropy between two time series is known. In this work, we derive…
即期相关过程日内变动的非参数检验
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upwardsloping and almost piecewise linear relationship at the intraday horizon. There is notably lower—on average less positive—correlation in the morning than in the afternoon. We develop a nonparametric testing procedure to detect such variation in a correlation process. The test statistic has a known…