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融合 LASSO 与非交叉分位数回归AI 解读

Growth-at-Risk is vital for empirical macroeconomics but is often suspect to quantile crossing due to data limitations. While existing literature addresses this through post-processing of the fitted quantiles, these methods do not correct the estimated coefficients. We advocate for imposing non-crossing constraints during estimation and demonstrate their equivalence to fused LASSO with quantile-specific shrinkage parameters. By re-examining Growth-at-Risk through an…

基于仅解码器潜在空间模型的动态图变点检测AI 解读

This manuscript studies the unsupervised change point detection problem in time series of graphs using a decoder-only latent space model. The proposed framework consists of learnable prior distributions for low-dimensional graph representations and of a decoder that bridges the observed graphs and latent representations. The prior distributions of the latent spaces are learned from the observed data as empirical Bayes to assist change point detection. Specifically, the model…

多元时间序列的均值独立成分分析AI 解读

In this article, we introduce the mean independent component analysis for multivariate time series to reduce the parameter space. In particular, we seek for a contemporaneous linear transformation that detects univariate mean independent components so that each component can be modeled separately. The mean independent component analysis is flexible in the sense that no parametric model or distributional assumptions are made. We propose a unified framework to estimate the…

动态变量选择的可扩展变分贝叶斯推断AI 解读

We develop a variational Bayes approach for dynamic variable selection in high-dimensional regression models with time-varying parameters and predictors that exhibit a predefined group structure. Through comprehensive simulation studies, we demonstrate that our method yields more accurate parameter estimates than existing Bayesian static and dynamic variable selection approaches while maintaining computational efficiency. We illustrate the performance of our approach within…

高维线性过程的谱估计AI 解读

We propose a novel estimation procedure for certain spectral distributions associated with a class of high dimensional linear time series. The processes under consideration are of the form $X_t = \sum_{\ell=0}^\infty \mathbf{A}_\ell Z_{t-\ell}$ with iid innovations $(Z_t)$. The key structural assumption is that the coefficient matrices and the variance of the innovations are simultaneously diagonalizable in a common orthonormal basis. We develop a strategy for estimating the…

连续与离散观测下阈值 CKLS 过程的参数估计AI 解读

We consider a continuous time process that is self-exciting and ergodic, called threshold Chan-Karolyi-Longstaff-Sanders (CKLS) process. This process is a generalization of various models in econometrics, such as Vasicek model, Cox-Ingersoll-Ross, and Black-Scholes, allowing for the presence of several thresholds which determine changes in the dynamics. We study the asymptotic behavior of maximum-likelihood and quasi-maximum-likelihood estimators of the drift parameters in…

高维动态线性回归中基于迭代融合 Lasso 的结构突变检测与变量选择AI 解读

We aim to develop a time series modeling methodology tailored to high-dimensional environments, addressing two critical challenges: variable selection from a large pool of candidates, and the detection of structural break points, where the model's parameters shift. This effort centers on formulating a least squares estimation problem with regularization constraints, drawing on techniques such as Fused LASSO and AdaLASSO, which are well-established in machine learning. Our…

替代 ARDL？用于结构变化与非对称预测的 NSB-ARDL 模型AI 解读

This paper introduces the NSB-ARDL (Nonlinear Structural Break Autoregressive Distributed Lag) model, a novel econometric framework designed to capture asymmetric and nonlinear dynamics in macroeconomic time series. Traditional ARDL models, while widely used for estimating short- and long-run relationships, rely on assumptions of linearity and symmetry that may overlook critical structural features in real-world data. The NSB-ARDL model overcomes these limitations by…

利用神经网络函数估计非线性自回归过程的变点AI 解读

In this paper, we propose a new test for the detection of a change in a non-linear (auto-)regressive time series as well as a corresponding estimator for the unknown time point of the change. To this end, we consider an at-most-one-change model and approximate the unknown (auto-)regression function by a neuronal network with one hidden layer. It is shown that the test has asymptotic power one for a wide range of alternatives not restricted to changes in the mean of the time…

基于单位 Lindley 分布的单位区间时间序列 GARMA 框架及可再生能源应用AI 解读

The Unit-Lindley is a one-parameter family of distributions in $(0,1)$ obtained from an appropriate transformation of the Lindley distribution. In this work, we introduce a class of dynamical time series models for continuous random variables taking values in $(0,1)$ based on the Unit-Lindley distribution. The models pertaining to the proposed class are observation-driven ones for which, conditionally on a set of covariates, the random component is modeled by a Unit-Lindley…

局部平稳函数型时间序列的 Wasserstein 距离界AI 解读

Functional time series (FTS) extend traditional methodologies to accommodate data observed as functions/curves. A significant challenge in FTS consists of accurately capturing the time-dependence structure, especially with the presence of time-varying covariates. When analyzing time series with time-varying statistical properties, locally stationary time series (LSTS) provide a robust framework that allows smooth changes in mean and variance over time. This work investigates…

函数型线性投影与脉冲响应分析AI 解读

This paper proposes econometric methods for studying how economic variables respond to function-valued shocks. Our methods are developed based on linear projection estimation of predictive regression models with a function-valued predictor and other control variables. We show that the linear projection coefficient associated with the functional variable allows for the impulse response interpretation in a functional structural vector autoregressive model under a certain…

连续时间非线性自回归的偏误校正AI 解读

We study how to identify a class of continuous-time nonlinear systems defined by an ordinary differential equation affine in the unknown parameter. We define a notion of asymptotic consistency as $(n, h) \to (\infty, 0)$, and we achieve it using a family of direct methods where the first step is differentiating a noisy time series and the second step is a plug-in linear estimator. The first step, differentiation, is a signal processing adaptation of the nonparametric…

超阈值极端峰值的统计预测AI 解读

In many applied fields, the prediction of more severe events than those already recorded is crucial for safeguarding against potential future calamities. What-if analyses, which evaluate hypothetical scenarios up to the worst-case event, play a key role in assessing the potential impacts of extreme events and guiding the development of effective safety policies. This problem can be analyzed using extreme value theory. We employ the well-established peaks-over-threshold…

印度的非线性菲利普斯曲线：可解释机器学习证据AI 解读

The conventional linear Phillips curve model, while widely used in policymaking, often struggles to deliver accurate forecasts in the presence of structural breaks and inherent nonlinearities. This paper addresses these limitations by leveraging machine learning methods within a New Keynesian Phillips Curve framework to forecast and explain headline inflation in India, a major emerging economy. Our analysis demonstrates that machine learning-based approaches significantly…

洛伦兹曲线时间序列预测：单因素函数型方差分析AI 解读

The Lorenz curve is a fundamental tool for analysing income and wealth distribution and inequality at national and regional levels. We utilise a one-way functional analysis of variance to decompose a time series of Lorenz curves and develop a method for producing one-step-ahead point and interval forecasts. The one-way functional analysis of variance is easily interpretable by decomposing an array into a functional grand effect, a functional row effect and residual…

多元计数时间序列的潜在高斯动态因子建模与预测AI 解读

This work considers estimation and forecasting in a multivariate, possibly high-dimensional count time series model constructed from a transformation of a latent Gaussian dynamic factor series. The estimation of the latent model parameters is based on second-order properties of the count and underlying Gaussian time series, yielding estimators of the underlying covariance matrices for which standard principal component analysis applies. Theoretical consistency results are…

动态有序高斯过程项目反应理论模型AI 解读

Social scientists are often interested in using ordinal indicators to estimate latent traits that change over time. Frequently, this is done with item response theoretic (IRT) models that describe the relationship between those latent traits and observed indicators. We combine recent advances in Bayesian nonparametric IRT, which makes minimal assumptions on shapes of item response functions, and Gaussian process time series methods to capture dynamic structures in latent…

高维因子增广回归模型的自适应充分性检验AI 解读

In this paper, we investigate the adequacy testing problem of high-dimensional factor-augmented regression model. Existing test procedures perform not well under dense alternatives. To address this critical issue, we introduce a novel quadratic-type test statistic which can efficiently detect dense alternative hypotheses. We further propose an adaptive test procedure to remain powerful under both sparse and dense alternative hypotheses. Theoretically, under the null…

高维动态因子模型下的多重检验AI 解读

Large-scale multiple testing under static factor models is widely used to detect sparse signals in high-dimensional data. However, static factor models are arguably too stringent because they ignore serial correlation, which seriously distorts error rate control in large-scale inference. In this manuscript, we propose a new multiple testing procedure under dynamic factor models that is robust to nonlinear serial dependence. The idea is to integrate a new sample-splitting…

基于依赖结构的函数型时间序列模糊聚类AI 解读

Time series clustering is essential in scientific applications, yet methods for functional time series, collections of infinite-dimensional curves treated as random elements in a Hilbert space, remain underdeveloped. This work presents clustering approaches for functional time series that combine the fuzzy $C$-medoids and fuzzy $C$-means procedures with a novel dissimilarity measure tailored for functional data. This dissimilarity is based on an extension of the quantile…

用于时间序列分析的 Kolmogorov–Zurbenko 傅里叶带通滤波扩展AI 解读

This research introduces a novel extension, called the Extended Kolmogorov-Zurbenko Fourier Transform (EKZFT), to an existing class of band-pass filters first introduced by Kolmogorov and Zurbenko. Their original Kolmogorov-Zurbenko Fourier Transform (KZFT) is a useful tool in time series and spatio-temporal analysis, Fourier analysis, and related statistical analysis fields. Example uses of these filters include separating frequencies, filtering portions of the spectra,…

向量自回归中的关系图：大衰退与经济指标连接变化AI 解读

Under a high-dimensional vector autoregressive (VAR) model, we propose a way of efficiently estimating both the stationary graph structure between the nodal time series and their temporal dynamics. The framework is then used to make inferences on the change in interdependencies between several economic indicators due to the impact of the Great Recession, the financial crisis that lasted from 2007 through 2009. There are several key advantages of the proposed framework; (1)…

结合极端天气协变量与时空条件 Copula 的作物产量概率预测AI 解读

We introduce a novel forecasting model for crop yields that explicitly accounts for spatio-temporal dependence and the influence of extreme weather and climatic events. Our approach combines Bayesian Structural Time Series for modeling marginal crop yields, ensuring a more robust quantification of uncertainty given the typically short historical records. To capture dynamic dependencies between regions, we develop a time-varying conditional copula model, where the copula…