Prediction-powered inference for time series across space
跨空间时间序列的预测驱动推断AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确围绕时间依赖、未来均值预测及其置信区间展开,应用虽非宏观经济,方法直接属于时间序列预测。
跨空间时间序列的预测驱动推断AI 解读 ↓
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The following motif is common in spatiotemporal settings: we have a sequence of covariate and label pairs observed for a relatively short, recent time period. We have access to unlabeled covariates over a longer time period. Data is observed over many spatial locations. For instance, crop yield might be observed over a large geographical area for recent years, but weather data (which is informative about crop yield) is available for a much longer period. The goal is to estimate, at each spatial location, the expected label (e.g., crop yield) in the future and provide a valid confidence interval for this value. The observed time period alone is too short for reliable estimates. Imputing missing labels with machine learning can cause substantial bias. Prediction-powered inference (PPI) can correct for this bias, but it relies on an i.i.d. assumption that breaks under our expected temporal dependencies. Heteroskedasticity and autocorrelation consistent (HAC) procedures account for temporal correlation, but have not been adapted to cases where some labels are imputed. We provide reliable point estimates and confidence intervals given: short labeled time series (across spatial locations), a longer unlabeled time series, and an imperfect predictor of labels given covariates. We show our method outperforms natural alternatives.
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…
预测石油消费:世界能源统计与机器学习的结合
This paper studies whether a small set of dominant countries can account for most of the dynamics of regional oil demand and improve forecasting performance. We focus on dominant drivers within the OECD and a broad GVAR sample covering over 90\% of world GDP. Our approach identifies dominant drivers from a high-dimensional concentration matrix estimated row by row using two complementary variable-selection methods, LASSO and the one-covariate-at-a-time multiple testing…
使用机器学习回归模型预测失业动态
In this paper, I explored how a range of regression and machine learning techniques can be applied to monthly U.S. unemployment data to produce timely forecasts. I compared seven models: Linear Regression, SGDRegressor, Random Forest, XGBoost, CatBoost, Support Vector Regression, and an LSTM network, training each on a historical span of data and then evaluating on a later hold-out period. Input features include macro indicators (GDP growth, CPI), labor market measures (job…
混合移动平均场引导的时空数据学习
Influenced mixed moving average fields are a versatile modeling class for spatio-temporal data. However, their predictive distribution is not generally known. Under this modeling assumption, we define a novel spatio-temporal embedding and a theory-guided machine learning approach that employs a generalized Bayesian algorithm to make ensemble forecasts. We use Lipschitz predictors and determine fixed-time and any-time PAC Bayesian bounds in the batch learning setting.…
时间序列分析在天文学和气象学中的应用
Part 1 Time series - theory and methodology: A short history of time series, M.B. Priestley Frequency estimation, E.J. Hannan et al Asymptotic expansion of estimators for diffusions with small noises, N. Yoshida Spatial-temporal spectral analysis with random sampling, I-Shang Chow, Ken-Shin Lii Detection of periodicities, M.B. Priestley Spectral and multivariate probability density estimation of continuous time stationary processes from randomly sampled data, Elias Masry…
基于深度可分离神经网络的混频时间序列预测
To better forecast mixed-frequency time series, it is the key to choose a suitable way for frequency alignment. However, the existing methods are all limited to linear transformations, and this may overlook the possible nonlinearity, leading to a worse prediction. We alternatively consider a deep neural network for each frequency alignment, and hence a depth-separable neural network. Moreover, a parameter-sharing mechanism is adopted across the alignment at each stage,…