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阈值原理、神经网络联系与计量经济学传承札记AI 解读

This is mostly a non-technical note, reflecting the author's philosophy and personal views on time series analysis, with references limited to only a few representatives for brevity. The Threshold Principle, formally announced in Tong (1990), modernised time series analysis by introducing a collection of sub-systems to model complex nonlinear dynamics. We explore the conceptual architecture of the Threshold Principle drawing parallels and contrasts with artificial neural…

具有滞回机制的计数时间序列建模AI 解读

In this article, we propose a novel model for time series of counts called the hysteretic Poisson autoregressive (HPART) model with thresholds by extending the linear Poisson autoregressive model into a nonlinear model. Unlike other approaches that bear the adjective ``hysteretic", our model incorporates a scientifically relevant controlling factor that produces genuine hysteresis. Further, we re-analyse the buffered Poisson autoregressive (BPART) model with thresholds.…

一般时间序列模型的一种稳健推断新方法AI 解读

In this article, we propose a novel logistic quasi-maximum likelihood estimation (LQMLE) for general parametric time series models. Compared to the classical Gaussian QMLE and existing robust estimations, it enjoys many distinctive advantages, such as robustness in respect of distributional misspecification and heavy-tailedness of the innovation, more resiliency to outliers, smoothness and strict concavity of the log logistic quasi-likelihood function, and boundedness of the…

具有双向门限的矩阵自回归模型AI 解读

Recently, matrix-valued time series data have attracted significant attention in the literature with the recognition of threshold nonlinearity representing a significant advance. However, given the fact that a matrix is a two-array structure, it is unfortunate, perhaps even unusual, for the threshold literature to focus on using the same threshold variable for the rows and the columns. In fact, evidence in economic, financial, environmental and other data shows advantages of…

TARMA 框架中的门槛效应检验AI 解读

We present supremum Lagrange Multiplier tests to compare a linear ARMA specification against its threshold ARMA extension. We derive the asymptotic distribution of the test statistics both under the null hypothesis and contiguous local alternatives. Moreover, we prove the consistency of the tests. The Monte Carlo study shows that the tests enjoy good finite-sample properties, are robust against model mis-specification and their performance is not affected if the order of the…