Analysis of stationary spatial-temporal processes: Estimation and prediction
平稳时空过程分析:估计与预测AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确研究平稳时空过程及沿时间进行的预测,对应时间序列与预测方法。
平稳时空过程分析:估计与预测AI 解读 ↓
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The paper analyses a simultaneous linear model representing stationary spatial-temporal processes. For processes with unit spatial orders, a simple method to compute the likelihood function is developed. Unfortunately, this technique does not generalize to higher order processes. Alternative methods applicable to higher order processes are developed. Finally, it is shown how predictions can be made over time if the parameters are known.
跨空间时间序列的预测驱动推断
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…
glmSTARMA:广义线性时空自回归模型的 R 包
The R package glmSTARMA implements autoregressive models for spatio-temporal data at fixed locations, with time-invariant spatial dependency structure. We rely on generalized linear models methodology and unify several approaches for the analysis of spatial count time series. Such models allow the (conditional) mean of the response to depend on past observations, lagged (conditional) expectations, and covariates. The response can be a continuous or a discrete random…
NIRVAR:网络信息约束向量自回归
High-dimensional panels of time series often arise in finance and macroeconomics, where co-movements within groups of panel components occur. Extracting these groupings from the data provides a coarse-grained description of the complex system in question and can inform subsequent prediction tasks. We develop a novel methodology to model such a panel as a restricted vector autoregressive process, where the coefficient matrix is the weighted adjacency matrix of a stochastic…
具有结构化收缩与持续性先验的贝叶斯广义网络自回归模型
We propose a Bayesian generalized network autoregressive (BGNAR) model for multivariate time series whose component series are associated with the nodes of a known network. The proposed framework combines the parsimonious network structure of the generalized network autoregressive (GNAR) model with structured shrinkage and persistence priors adapted from Bayesian vector autoregressive (BVAR) modeling. We adapt Minnesota-type shrinkage to both own-lag and network-lag…
具有分组边效应的降秩网络自回归
We propose the Edge-Grouped Reduced-Rank Network Autoregressive model (Edge-Grouped RRNAR) for multivariate time series observed over a network. The model allows transmission effects to vary across prespecified and economically interpretable groups of edges, while using a low-rank structure to capture cross-variable dynamics. This structure separates where network transmission occurs from which variables transmit and respond. We develop a topology-aware and block-specific…
用于非线性时间序列的贝叶斯分位数深度回声状态网络
Conditional quantiles are central to asymmetric decision losses, tail-risk assessment, and interval forecasts, but Bayesian quantile regression for nonlinear time series can be difficult when the temporal feature vector is high-dimensional. We develop the quantile deep echo state network (Q-DESN), a Bayesian quantile regression model conditional on fixed features generated by a deep echo state network. Conditional on a specified reservoir construction and feature map,…