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利用偏相干统计量检验因果影响AI 解读

In this paper we explore partial coherence as a tool for evaluating causal influence of one signal sequence on another. In some cases the signal sequence is sampled from a time- or space-series. The key idea is to establish a connection between questions of causality and questions of partial coherence. Once this connection is established, then a scale-invariant partial coherence statistic is used to resolve the question of causality. This coherence statistic is shown to be a…

时间序列异常检测中的在线错误发现率控制AI 解读

This article proposes novel rules for false discovery rate control (FDRC) geared towards online anomaly detection in time series. Online FDRC rules allow to control the properties of a sequence of statistical tests. In the context of anomaly detection, the null hypothesis is that an observation is normal and the alternative is that it is anomalous. FDRC rules allow users to target a lower bound on precision in unsupervised settings. The methods proposed in this article…

时间序列 SIR 模型放宽均匀混合假设的统计后果AI 解读

Infectious disease epidemiologists routinely fit stochastic epidemic models to time series data to elucidate infectious disease dynamics, evaluate interventions, and forecast epidemic trajectories. To improve computational tractability, many approximate stochastic models have been proposed. In this paper, we focus on one class of such approximations -- time series Susceptible-Infectious-Removed (TSIR) models. Infectious disease modeling often starts with a homogeneous mixing…

含外生协变量的离散值时间序列的强混合性质AI 解读

We derive strong mixing conditions for many existing discrete-valued time series models that include exogenous covariates in the dynamic. Our main contribution is to study how a mixing condition on the covariate process transfers to a mixing condition for the response. Using a coupling method, we first derive mixing conditions for some Markov chains in random environments, which gives a first result for some autoregressive categorical processes with strictly exogenous…

概率分布集合间的新度量及其金融异常行为应用AI 解读

This paper introduces a new framework to quantify distance between finite sets with uncertainty present, where probability distributions determine the locations of individual elements. Combining this with a Bayesian change point detection algorithm, we produce a new measure of similarity between time series with respect to their structural breaks. First, we demonstrate the algorithm's effectiveness on a collection of piecewise autoregressive processes. Next, we apply this to…

从随机时间扭曲观测中估计时间序列AI 解读

We consider the problem of estimating a signal from its warped observations. Such estimation is commonly performed by altering the observations through some inverse-warping, or solving a computationally demanding optimization formulation. While these may be unavoidable if observations are few, when large amounts of warped observations are available, the cost of running such algorithms can be prohibitive. We consider the scenario where we have many observations, and propose a…

利用机器学习分析和分类交通事故伤害严重程度AI 解读

Causal analysis and classification of injury severity applying non-parametric methods for traffic crashes has received limited attention. This study presents a methodological framework for causal inference, using Granger causality analysis, and injury severity classification of traffic crashes, occurring on interstates, with different machine learning techniques including decision trees (DT), random forest (RF), extreme gradient boosting (XGBoost), and deep neural network…

时序文本数据中主题比例的变点分析AI 解读

Changepoint analysis deals with unsupervised detection and/or estimation of time-points in time-series data, when the distribution generating the data changes. In this article, we consider \emph{offline} changepoint detection in the context of large scale textual data. We build a specialised temporal topic model with provisions for changepoints in the distribution of topic proportions. As full likelihood based inference in this model is computationally intractable, we…

高维高斯时间序列频率平滑谱相干矩阵的线性谱统计性质AI 解读

The asymptotic behaviour of Linear Spectral Statistics (LSS) of the smoothed periodogram estimator of the spectral coherency matrix of a complex Gaussian high-dimensional time series $(\y_n)_{n \in \mathbb{Z}}$ with independent components is studied under the asymptotic regime where the sample size $N$ converges towards $+\infty$ while the dimension $M$ of $\y$ and the smoothing span of the estimator grow to infinity at the same rate in such a way that $\frac{M}{N} \rightarrow 0$…

含一般因子与回归变量的交互效应面板模型AI 解读

This paper considers a model with general regressors and unobservable factors. An estimator based on iterated principal components is proposed, which is shown to be not only asymptotically normal and oracle efficient, but under certain conditions also free of the otherwise so common asymptotic incidental parameters bias. Interestingly, the conditions required to achieve unbiasedness become weaker the stronger the trends in the factors, and if the trending is strong enough…

天气预报精度的空间相关：函数型时间序列方法AI 解读

A functional time series approach is proposed for investigating spatial correlation in daily maximum temperature forecast errors for 111 cities spread across the U.S. The modelling of spatial correlation is most fruitful for longer forecast horizons, and becomes less relevant as the forecast horizon shrinks towards zero. For 6-day-ahead forecasts, the functional approach uncovers interpretable regional spatial effects, and captures the higher variance observed in inland…

通过虚拟 VAR 建模解析因果关系AI 解读

In modeling multivariate time series for either forecast or policy analysis, it would be beneficial to have figured out the cause-effect relations within the data. Regression analysis, however, is generally for correlation relation, and very few researches have focused on variance analysis for causality discovery. We first set up an equilibrium for the cause-effect relations using a fictitious vector autoregressive model. In the equilibrium, long-run relations are identified…

季节性计数时间序列AI 解读

Count time series are widely encountered in practice. As with continuous valued data, many count series have seasonal properties. This paper uses a recent advance in stationary count time series to develop a general seasonal count time series modeling paradigm. The model permits any marginal distribution for the series and the most flexible autocorrelations possible, including those with negative dependence. Likelihood methods of inference can be conducted and covariates can…

时变参数调制的周期变星模型AI 解读

Many astrophysical phenomena are time-varying, in the sense that their brightness change over time. In the case of periodic stars, previous approaches assumed that changes in period, amplitude, and phase are well described by either parametric or piecewise-constant functions. With this paper, we introduce a new mathematical model for the description of the so-called modulated light curves, as found in periodic variable stars that exhibit smoothly time-varying parameters such…

基于连续排序概率评分的预测学习AI 解读

Combination and aggregation techniques can significantly improve forecast accuracy. This also holds for probabilistic forecasting methods where predictive distributions are combined. There are several time-varying and adaptive weighting schemes such as Bayesian model averaging (BMA). However, the quality of different forecasts may vary not only over time but also within the distribution. For example, some distribution forecasts may be more accurate in the center of the…

利用移动网络数据监测疫情期间远程办公的性别差异AI 解读

The COVID-19 pandemic has created a sudden need for a wider uptake of home-based telework as means of sustaining the production. Generally, teleworking arrangements impacts directly worker's efficiency and motivation. The direction of this impact, however, depends on the balance between positive effects of teleworking (e.g. increased flexibility and autonomy) and its downsides (e.g. blurring boundaries between private and work life). Moreover, these effects of teleworking…

具有随机波动率的大型排序不变贝叶斯 VARAI 解读

Many popular specifications for Vector Autoregressions (VARs) with multivariate stochastic volatility are not invariant to the way the variables are ordered due to the use of a Cholesky decomposition for the error covariance matrix. We show that the order invariance problem in existing approaches is likely to become more serious in large VARs. We propose the use of a specification which avoids the use of this Cholesky decomposition. We show that the presence of multivariate…

大型贝叶斯 VAR 的非对称共轭先验AI 解读

Large Bayesian VARs are now widely used in empirical macroeconomics. One popular shrinkage prior in this setting is the natural conjugate prior as it facilitates posterior simulation and leads to a range of useful analytical results. This is, however, at the expense of modeling flexibility, as it rules out cross-variable shrinkage -- i.e., shrinking coefficients on lags of other variables more aggressively than those on own lags. We develop a prior that has the best of both…

非高斯平稳时间序列谱密度的后验一致性AI 解读

Various nonparametric approaches for Bayesian spectral density estimation of stationary time series have been suggested in the literature, mostly based on the Whittle likelihood approximation. A generalization of this approximation has been proposed in Kirch et al. who prove posterior consistency for spectral density estimation in combination with the Bernstein-Dirichlet process prior for Gaussian time series. In this paper, we will extend the posterior consistency result to…

非可交换数据中的变点检测AI 解读

Changepoint models typically assume the data within each segment are independent and identically distributed conditional on some parameters which change across segments. This construction may be inadequate when data are subject to local correlation patterns, often resulting in many more changepoints fitted than preferable. This article proposes a Bayesian changepoint model which relaxes the assumption of exchangeability within segments. The proposed model supposes data…

预测回归中基于成对Copula构造的点最优符号检验AI 解读

We propose pair copula constructed point-optimal sign tests in the context of linear and nonlinear predictive regressions with endogenous, persistent regressors, and disturbances exhibiting serial (nonlinear) dependence. The proposed approach entails considering the entire dependence structure of the signs to capture the serial dependence, and building feasible test statistics based on pair copula constructions of the sign process. The tests are exact and valid in the…

分组函数型时间序列中的分组结构重要吗？AI 解读

We study the importance of group structure in grouped functional time series. Due to the non-uniqueness of group structure, we investigate different disaggregation structures in grouped functional time series. We address a practical question on whether or not the group structure can affect forecast accuracy. Using a dynamic multivariate functional time series method, we consider joint modeling and forecasting multiple series. Illustrated by Japanese sub-national age-specific…

基于测度运输多元秩的分布无关非参数变点分析AI 解读

In this paper, I propose a general algorithm for multiple change point analysis via multivariate distribution-free nonparametric testing based on the concept of ranks that are defined by measure transportation. Multivariate ranks and the usual one-dimensional ranks both share an important property: they are both distribution-free. This finding allows for the creation of nonparametric tests that are distribution-free under the null hypothesis. This method has applications in…

多变量预测中的动态排序学习AI 解读

In many fields where the main goal is to produce sequential forecasts for decision making problems, the good understanding of the contemporaneous relations among different series is crucial for the estimation of the covariance matrix. In recent years, the modified Cholesky decomposition appeared as a popular approach to covariance matrix estimation. However, its main drawback relies on the imposition of the series ordering structure. In this work, we propose a highly…