Gradual changes in functional time series
函数型时间序列中的渐进变化AI 解读 ↓
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函数型时间序列中的渐进变化AI 解读 ↓
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We consider the problem of detecting gradual changes in the sequence of mean functions from a not necessarily stationary functional time series. Our approach is based on the maximum deviation (calculated over a given time interval) between a benchmark function and the mean functions at different time points. We speak of a gradual change of size $Δ$, if this quantity exceeds a given threshold $Δ>0$. For example, the benchmark function could represent an average of yearly temperature curves from the pre-industrial time, and we are interested in the question if the yearly temperature curves afterwards deviate from the pre-industrial average by more than $Δ=1.5$ degrees Celsius, where the deviations are measured with respect to the sup-norm. Using Gaussian approximations for high-dimensional data we develop a test for hypotheses of this type and estimators for the time where a deviation of size larger than $Δ$ appears for the first time. We prove the validity of our approach and illustrate the new methods by a simulation study and a data example, where we analyze yearly temperature curves at different stations in Australia.
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Causal-TS:高维与非平稳时间序列因果发现的 Python 库
We describe Causal-TS, an open-source Python library for causal discovery in high-dimensional and nonstationary multivariate time series. Causal-TS provides four specialized algorithms-CDNOTS, CDNOTS+, CEDAR, and GRACE-along with wrappers for GES, Granger, LASSO-VAR, and LGES, all sharing a unified conditional independence (CI) test layer with GPU acceleration via PyTorch. A regime discovery pipeline detects structural breaks via pluggable changepoint detectors and runs…