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尾部依赖时间序列异方差高分位回归的生成式同质性检验AI 解读

We consider a high quantile homogeneity test to determine whether a certain set of explanatory variables has homogeneous effects on different high quantiles of the response variable in the tail. To accommodate for situations under both the null and the alternative, the auxiliary process in this case may no longer be treated as stationary, and the problem requires a joint analysis of both homoscedastic and heteroskedastic high quantiles. For this, we develop a novel Bahadur…

泡沫建模与标记：随机非线性自回归方法AI 解读

Economic and financial time series can feature locally explosive behavior when a bubble is formed. The economic or financial bubble, especially its dynamics, is an intriguing topic that has been attracting longstanding attention. To illustrate the dynamics of the local explosion itself, the paper presents a novel, simple, yet useful time series model, called the stochastic nonlinear autoregressive model, which is always strictly stationary and geometrically ergodic and can…