Stick-breaking autoregressive processes
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This paper considers the problem of defining a time-dependent nonparametric prior for use in Bayesian nonparametric modelling of time series. A recursive construction allows the definition of priors whose marginals have a general stick-breaking form. The processes with Poisson-Dirichlet and Dirichlet process marginals are investigated in some detail. We develop a general conditional Markov Chain Monte Carlo (MCMC) method for inference in the wide subclass of these models where the parameters of the marginal stick-breaking process are nondecreasing sequences. We derive a generalised Pólya urn scheme type representation of the Dirichlet process construction, which allows us to develop a marginal MCMC method for this case. We apply the proposed methods to financial data to develop a semi-parametric stochastic volatility model with a time-varying nonparametric returns distribution. Finally, we present two examples concerning the analysis of regional GDP and its growth.
自回归条件贝塔模型
This paper introduces an autoregressive conditional beta (ACB) model that allows regressions with dynamic betas (or slope coefficients) and residuals with GARCH conditional volatility. The model fits in the (quasi) score-driven approach recently proposed in the literature, and it is semi-parametric in the sense that the distributions of the innovations are not necessarily specified. The time-varying betas are allowed to depend on past shocks and exogenous variables. We…
容纳不同观测频率的半参数波动率模型
In extracting time series data from various sources, it is inevitable to compile variables measured at varying frequencies as this is often dependent on the source. Modeling from these data can be facilitated by aggregating high frequency data to match the relatively lower frequencies of the rest of the variables. This however, can easily loss vital information that characterizes the system ought to be modelled. Two semiparametric volatility models are postulated to account…
时变 ARCH 模型中的参数稳定性与半参数推断
Summary We develop a complete methodology for detecting time varying or non-time-varying parameters in auto-regressive conditional heteroscedasticity (ARCH) processes. For this, we estimate and test various semiparametric versions of time varying ARCH models which include two well-known non-stationary ARCH-type models introduced in the econometrics literature. Using kernel estimation, we show that non-time-varying parameters can be estimated at the usual parametric rate of…
一种灵活的半参数时间序列预测模型
In this paper, we propose a semiparametric procedure called the “Model Averaging MArginal Regression” (MAMAR) that is flexible for forecasting of time series. This procedure considers approximating a multivariate regression function by an affine combination of one-dimensional marginal regression functions. The weight parameters involved in the approximation are estimated by least squares on the basis of the first-stage nonparametric kernel estimates of the marginal…
半参数局部平稳扩散模型的估计
This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. The model is semiparametric because we allow these functions to be unknown and the innovation process is parametrically specified, indeed completely known. We propose estimators of all the unknown quantities based on long span data. Our estimation method makes use of the property…
时变 ARCH 模型中的归一化最小二乘估计
We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observed in financial time series, which warrants the further study of parameter estimation methods for the model. Since the parameters are changing over time, a successful estimator needs to perform well for small samples. We propose a kernel normalized-least-squares (kernel-NLS) estimator which has a…