Pathwise guessing in categorical time series with unbounded alphabets
无界字母表分类时间序列中的路径猜测AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确分析分类和计数时间序列及其依赖模型,但未将任务限定为未来预测。
无界字母表分类时间序列中的路径猜测AI 解读 ↓
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The following learning problem arises naturally in various applications: Given a finite sample from a categorical or count time series, can we learn a function of the sample that (nearly) maximizes the probability of correctly guessing the values of a given portion of the data using the values from the remaining parts? Unlike classical approaches in statistical inference, our approach avoids explicitly estimating the conditional probabilities. We propose a non-parametric guessing function with a learning rate independent of the alphabet size. Our analysis focuses on a broad class of time series models that encompasses finite-order Markov chains, some hidden Markov chains, Poisson regression for count processes, and one-dimensional Gibbs measures. We provide a margin condition that controls the rate of convergence for the risk. Additionally, we establish a minimax lower bound for the convergence rate of the risk associated with our guessing problem. This lower bound matches the upper bound achieved by our estimator up to a logarithmic factor, demonstrating its near-optimality.
检测Copula结构变化的平滑检验方法
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The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upwardsloping and almost piecewise linear relationship at the intraday horizon. There is notably lower—on average less positive—correlation in the morning than in the afternoon. We develop a nonparametric testing procedure to detect such variation in a correlation process. The test statistic has a known…
观察性时间序列动态因果效应的半参数推断
In observational time series, statistical inference for dynamic causal effects of a one-time intervention across horizons is complicated by high-dimensional observed pre-treatment information, unmeasured confounding, and serial dependence. To address these challenges, we develop a semiparametric framework for inference from a single serially dependent time series, integrating debiased machine learning with instrumental variables through buffered block cross-fitting. Under…
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Stock return predictability, should it exist, is likely to be episodic in nature. In order to exploit such pockets of predictability it is essential that they are rapidly detected, in real-time, as the nascent predictive regime emerges. This will typically entail the repeated (sequential) application of one-shot end-of-sample predictability statistics, updated as new data become available. Consequently, in addition to dealing with the usual inference problems caused by…
通过条件中心化进行非线性 Granger 因果的 RKHS 推断
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时间序列中的条件独立检验
We consider the problem of testing Granger causality in time series, specifically, whether the future outcome $Y_{t+1}$ and the exposure history $\bar X_t$ are conditionally independent given the history of $\bar Y_t$ and a set of confounding variables $\bar Z_t$ up to time $t$. This testing procedure distinguishes true causal effects from associations driven by common external processes, supporting reliable decision-makings in applications such as finance, neuroscience, and…