Estimating Earth's Temperature Response with Transformed and Augmented OLS
用变换与增广最小二乘估计地球温度响应AI 解读 ↓
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用变换与增广最小二乘估计地球温度响应AI 解读 ↓
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The long-term relationship between radiative forcing and surface temperature is central to predicting the impacts of climate change. This study employs multicointegration to characterize this relationship and provides the first application of the Transformed and Augmented Ordinary Least Squares (TAOLS) estimator to estimate the multicointegration model. The main objective is to estimate the Equilibrium Climate Sensitivity (ECS), defined as the global mean surface temperature increase following a doubling of atmospheric carbon dioxide. Diagnostic tests reveal that radiative forcing innovations are strongly non-Gaussian, providing a key motivation for applying semiparametric TAOLS rather than the parametric Gaussian maximum likelihood method. TAOLS is also robust to misspecification of the short-run dynamics. Using the three data pairings of Bruns et al. (2020), we obtain TAOLS estimates of ECS ranging from $1.81^{\circ}$C to $2.49^{\circ}$C, consistently below their main maximum likelihood estimate of $2.80^{\circ}$C. Because the model we use is linear and is based on global-mean data, it cannot capture state-dependent feedbacks or regional differences; extending TAOLS along either dimension is a natural next step.
弱依赖非线性时间序列模型准似然估计量的一致高斯近似
We study estimation and inference for a semiparametric class of time series models that specify only the conditional expectation, which is a known link function applied to a linear combination of past observations and covariates. The class covers count, binary, bounded and conditionally heteroskedastic responses within a single formulation, and the parameter is estimated by a quasi-likelihood estimating equation based on the first conditional moment. Under stationarity and a…
用多项式最大化方法估计具有非对称非高斯新息的 ARIMA 模型
Classical estimators for ARIMA parameters (MLE, CSS, OLS) assume Gaussian innovations, an assumption frequently violated in financial and economic data exhibiting asymmetric distributions with heavy tails. We develop and validate the second-order polynomial maximization method (PMM2) for estimating ARIMA$(p,d,q)$ models with non-Gaussian innovations. PMM2 is a semiparametric technique that exploits higher-order moments and cumulants without requiring full distributional…
基于广义协方差的综合序列相关检验
We study nonlinear serial dependence tests for non-Gaussian time series and residuals of dynamic models based on portmanteau statistics involving nonlinear autocovariances. A new test with an asymptotic $χ^2$ distribution is introduced for testing nonlinear serial dependence (NLSD) in time series. This test is inspired by the Generalized Covariance (GCov) residual-based specification test, recently proposed as a diagnostic tool for semi-parametric dynamic models with i.i.d.…
半参数时间序列模型的伪方差准极大似然估计
We propose a novel estimation approach for a general class of semi-parametric time series models where the conditional expectation is modeled through a parametric function. The proposed class of estimators is based on a Gaussian quasi-likelihood function and it relies on the specification of a parametric pseudo-variance that can contain parametric restrictions with respect to the conditional expectation. The specification of the pseudo-variance and the parametric…
多元非负观测驱动模型的两阶段加权最小二乘估计
A novel estimation approach for a general class of semi-parametric multivariate time series models is introduced where the conditional mean is modeled through parametric functions. The focus of the estimation is the conditional mean parameter vector for non-negative time series. Quasi-Maximum Likelihood Estimators (QMLEs) based on the linear exponential family are typically employed for such estimation problems when the true multivariate conditional probability distribution…
创新项时间序列非参数建模下贝叶斯线性模型的渐近分析
This paper considers a semiparametric approach within the general Bayesian linear model where the innovations consist of a stationary, mean zero Gaussian time series. While a parametric prior is specified for the linear model coefficients, the autocovariance structure of the time series is modeled nonparametrically using a Bernstein-Gamma process prior for the spectral density function, the Fourier transform of the autocovariance function. When updating this joint prior with…