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glmSTARMA：广义线性时空自回归模型的 R 包AI 解读

The R package glmSTARMA implements autoregressive models for spatio-temporal data at fixed locations, with time-invariant spatial dependency structure. We rely on generalized linear models methodology and unify several approaches for the analysis of spatial count time series. Such models allow the (conditional) mean of the response to depend on past observations, lagged (conditional) expectations, and covariates. The response can be a continuous or a discrete random…

时空计数自回归AI 解读

We study the problem of modeling and inference for spatio-temporal count processes. Our approach uses parsimonious parameterisations of multivariate autoregressive count time series models, including possible regression on covariates. We control the number of parameters by specifying spatial neighbourhood structures for possibly huge matrices that take into account spatio-temporal dependencies. This work is motivated by real data applications which call for suitable models.…

非平稳重尾时间序列的统计推断AI 解读

We consider the problem of inference for non-stationary time series with heavy-tailed error distribution. Under a time-varying linear process framework we show that there exists a suitable local approximation by a stationary process with heavy-tails. This enable us to introduce a local approximation-based estimator which estimates consistently time-varying parameters of the model at hand. To develop a robust method, we also suggest a self-weighing scheme which is shown to…

非线性网络自回归AI 解读

We study general nonlinear models for time series networks of integer and continuous valued data. The vector of high dimensional responses, measured on the nodes of a known network, is regressed non-linearly on its lagged value and on lagged values of the neighboring nodes by employing a smooth link function. We study stability conditions for such multivariate process and develop quasi maximum likelihood inference when the network dimension is increasing. In addition, we…

使用 PNAR R 包进行网络计数时间序列推断AI 解读

We introduce a new R package useful for inference about network count time series. Such data are frequently encountered in statistics and they are usually treated as multivariate time series. Their statistical analysis is based on linear or log linear models. Nonlinear models, which have been applied successfully in several research areas, have been neglected from such applications mainly because of their computational complexity. We provide R users the flexibility to fit…

利用能量距离聚类多变量时间序列AI 解读

A novel methodology is proposed for clustering multivariate time series data using energy distance defined in Székely and Rizzo (2013). Specifically, a dissimilarity matrix is formed using the energy distance statistic to measure separation between the finite dimensional distributions for the component time series. Once the pairwise dissimilarity matrix is calculated, a hierarchical clustering method is then applied to obtain the dendrogram. This procedure is completely…

多变量计数时间序列建模AI 解读

We review autoregressive models for the analysis of multivariate count time series. In doing so, we discuss the choice of a suitable distribution for a vectors of count random variables. This review focus on three main approaches taken for multivariate count time series analysis: (a) integer autoregressive processes, (b) parameter-driven models and (c) observation-driven models. The aim of this work is to highlight some recent methodological developments and propose some…