Trend robust two-level factorial designs
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抗趋势的两水平析因试验设计AI 解读 ↓
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Limiting the possible influence of time order effects may be an important consideration in designing a sequential experiment. We consider the problem of finding trend robust run orders of two-level factorials when the time effects are modelled via a first order autoregressive error model or via a time series model. In both cases, run orders are trend robust if the factors change level many times. Other run orders can be quite inefficient, even if they are free of low-degree polynomial trends. We present a simple algorithm for constructing run orders of two-level factorial designs with many level changes.
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利用高频波动率检验爆炸性泡沫
Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the volatility information in the high-frequency data. The method consists of devolatizing log-asset price increments with realized volatility measures and performing a supremum-type recursive Dickey-Fuller test on the devolatized sample. The proposed…
带自回归误差的线性回归在线变点检测:流式变分贝叶斯方法
Large-scale streaming time-series regression requires methods that can detect structural changes while accounting for serially correlated errors and quantifying uncertainty about the current regime. We propose a streaming variational Bayes method for linear regression with autoregressive errors that combines online changepoint detection with sequential posterior inference. The proposed method processes observations in chronological mini-batches and uses a finite-mixture…