Adaptively Varying-Coefficient Spatiotemporal Models
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Summary We propose an adaptive varying-coefficient spatiotemporal model for data that are observed irregularly over space and regularly in time. The model is capable of catching possible non-linearity (both in space and in time) and non-stationarity (in space) by allowing the auto-regressive coefficients to vary with both spatial location and an unknown index variable. We suggest a two-step procedure to estimate both the coefficient functions and the index variable, which is readily implemented and can be computed even for large spatiotemporal data sets. Our theoretical results indicate that, in the presence of the so-called nugget effect, the errors in the estimation may be reduced via the spatial smoothing—the second step in the estimation procedure proposed. The simulation results reinforce this finding. As an illustration, we apply the methodology to a data set of sea level pressure in the North Sea.
Wigner 矩阵时间序列的相变监测
We develop methodology and theory for the detection of a phase transition in a time-series of high-dimensional random matrices. In the model we study, at each time point \( t = 1,2,\ldots \), we observe a deformed Wigner matrix \( \mathbf{M}_t \), where the unobservable deformation represents a latent signal. This signal is detectable only in the supercritical regime, and our objective is to detect the transition to this regime in real time, as new matrix--valued…
基于条件异方差识别日度油价冲击及其不确定性
This paper develops a daily structural VAR for identifying oil price shocks from conditional heteroskedasticity and quantifies the transmission of their timevarying uncertainty. Identification exploits volatility clustering and spillovers in a structural GARCH specification and the complete identified set is derived. We derive covariance impulse response functions and introduce a time-varying forecast error variance decomposition (TV-FEVD) that allows for a decomposition of…
对象值时间序列的在线变点监测
We develop closed- and open-end procedures for monitoring changes in the marginal distribution of object-valued time series. The method combines two distance-based Hilbert-space embeddings, a monitoring-time-dependent projection, and self-normalization. It is computable entirely from pairwise distances, does not require long-run variance estimation, and admits exact recursive updates. Under weak temporal dependence, the closed-end null limit is a pivotal Brownian functional.…
具有动态离散度的时空负二项模型:结核感染应用
Tuberculosis (TB) remains a critical public health concern in Brazil, characterized by pronounced spatial heterogeneity and fluctuating temporal volatility. In this paper, we study monthly TB notifications across 61 microregions of Sao Paulo state from 2001 to 2024. To do this, we introduce a negative binomial spatial integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) model featuring jointly dynamic conditional means and time-varying dispersion.…
具有动态异质溢出的矩阵值空间自回归
We introduce a new time-varying parameter spatial matrix autoregressive model that integrates matrix-valued time series, heterogeneous spillover effects, outlier robustness, and time-varying parameters in one unified framework. The model allows for separate dynamic spatial spillover effects across both the row and column dimensions of the matrix-valued observations. Robustness can be introduced via a matrix Student’s t distribution. The model can still be estimated…
非欧对象值时间序列的周期性量化
Non-Euclidean object-valued time series are playing a growing role in modern data analysis, and periodicity is a fundamental characteristic of many time series. However, quantifying periodicity in general non-Euclidean random objects remains largely unexplored. In this work, we introduce a novel nonparametric framework for quantifying periodicity in random objects within a general metric space that lacks Euclidean structure. Our approach formulates periodicity estimation as…