论文检索

众多候选预测变量下预测回归的样本外可预测性AI 解读

This paper is concerned with detecting the presence of out of sample predictability in linear predictive regressions with a potentially large set of candidate predictors. We propose a procedure based on out of sample MSE comparisons that is implemented in a pairwise manner using one predictor at a time and resulting in an aggregate test statistic that is standard normally distributed under the global null hypothesis of no linear predictability. Predictors can be highly…

分位数预测最优性的检验AI 解读

Quantile forecasts made across multiple horizons have become an important output of many financial institutions, central banks and international organisations. This paper proposes misspecification tests for such quantile forecasts that assess optimality over a set of multiple forecast horizons and/or quantiles. The tests build on multiple Mincer-Zarnowitz quantile regressions cast in a moment equality framework. Our main test is for the null hypothesis of autocalibration, a…

利用多模态数据进行时空野火预测AI 解读

Due to severe societal and environmental impacts, wildfire prediction using multi-modal sensing data has become a highly sought-after data-analytical tool by various stakeholders (such as state governments and power utility companies) to achieve a more informed understanding of wildfire activities and plan preventive measures. A desirable algorithm should precisely predict fire risk and magnitude for a location in real time. In this paper, we develop a flexible…

含外生回归变量的贝叶斯自回归模型：交叉验证与模型选择AI 解读

Bayesian cross-validation (CV) is a popular method for predictive model assessment that is simple to implement and broadly applicable. A wide range of CV schemes is available for time series applications, including generic leave-one-out (LOO) and K-fold methods, as well as specialized approaches intended to deal with serial dependence such as leave-future-out (LFO), h-block, and hv-block. Existing large-sample results show that both specialized and generic methods are…

通过插补构建高频经济指标AI 解读

Monthly and weekly economic indicators are often taken to be the largest common factor estimated from high and low frequency data, either separately or jointly. To incorporate mixed frequency information without directly modeling them, we target a low frequency diffusion index that is already available, and treat high frequency values as missing. We impute these values using multiple factors estimated from the high frequency data. In the empirical examples considered, static…

任意分布漂移下在线预测的保形推断AI 解读

We consider the problem of forming prediction sets in an online setting where the distribution generating the data is allowed to vary over time. Previous approaches to this problem suffer from over-weighting historical data and thus may fail to quickly react to the underlying dynamics. Here we correct this issue and develop a novel procedure with provably small regret over all local time intervals of a given width. We achieve this by modifying the adaptive conformal…

利用循环神经网络预测通货膨胀AI 解读

This paper applies a recurrent neural network, the LSTM, to forecast inflation. This is an appealing model for time series as it processes each time step sequentially and explicitly learns dynamic dependencies. The paper also explores the dimension reduction capability of the model to uncover economically-meaningful factors that can explain the inflation process. Results from an exercise with US data indicate that the estimated neural nets present competitive, but not…

PaEBack：时间序列的帕累托有效近期子样本选择AI 解读

Time series forecasting has been a quintessential topic in data science, but traditionally, forecasting models have relied on extensive historical data. In this paper, we address a practical question: How much recent historical data is required to attain a targeted percentage of statistical prediction efficiency compared to the full time series? We propose the Pareto-Efficient Backsubsampling (PaEBack) method to estimate the percentage of the most recent data needed to…

高维低秩张量自回归时间序列建模AI 解读

Modern technological advances have enabled an unprecedented amount of structured data with complex temporal dependence, urging the need for new methods to efficiently model and forecast high-dimensional tensor-valued time series. This paper provides a new modeling framework to accomplish this task via autoregression (AR). By considering a low-rank Tucker decomposition for the transition tensor, the proposed tensor AR can flexibly capture the underlying low-dimensional tensor…

利用图形 LASSO 在结构突变下组合预测AI 解读

In this paper we develop a novel method of combining many forecasts based on a machine learning algorithm called Graphical LASSO (GL). We visualize forecast errors from different forecasters as a network of interacting entities and generalize network inference in the presence of common factor structure and structural breaks. First, we note that forecasters often use common information and hence make common mistakes, which makes the forecast errors exhibit common factor…

GNAR-edge：时变边权网络的自回归模型AI 解读

In economic and financial applications, there is often the need for analysing multivariate time series, comprising of time series for a range of quantities. In some applications such complex systems can be associated with some underlying network describing pairwise relationships among the quantities. Accounting for the underlying network structure for the analysis of this type of multivariate time series is required for assessing estimation error and can be particularly…

大数据分位数回归视角下宏观经济尾部风险的非线性AI 解读

Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large datasets in quantile regression models to forecast the conditional distribution of US GDP growth. To capture possible non-linearities, we include several nonlinear specifications. The resulting models will be huge dimensional and we thus…

电子交易中的 Transformer 与 LSTM 比较AI 解读

With the rapid development of artificial intelligence, long short term memory (LSTM), one kind of recurrent neural network (RNN), has been widely applied in time series prediction. Like RNN, Transformer is designed to handle the sequential data. As Transformer achieved great success in Natural Language Processing (NLP), researchers got interested in Transformer's performance on time series prediction, and plenty of Transformer-based solutions on long time series forecasting…

基于轨迹相似性的时间序列点预测与区间预测综述及交通流实验AI 解读

The purpose of this paper is to give an overview of the time series forecasting problem based on similarity of trajectories. Various methodologies are introduced and studied, and detailed discussions on hyperparameter optimization, outlier handling and distance measures are provided. The suggested new approaches involve variations in both the selection of similar trajectories and assembling the candidate forecasts. After forming a general framework, an experimental study is…

主动配电网电力产消的超短期预测区间计算AI 解读

Microgrids and, in general, active distribution networks require ultra-short-term prediction, i.e., for sub-second time scales, for specific control decisions. Conventional forecasting methodologies are not effective at such time scales. To address this issue, we propose a non-parametric method for computing ultra short-term prediction intervals (PIs) of the power prosumption of generic electrical-distribution networks. The method groups historical observations into clusters…

用于时间序列极值建模与预测的变换线性新息算法AI 解读

The innovations algorithm is a classical recursive forecasting algorithm used in time series analysis. We develop the innovations algorithm for a class of nonnegative regularly varying time series models constructed via transformed-linear arithmetic. In addition to providing the best linear predictor, the algorithm also enables us to estimate parameters of transformed-linear regularly-varying moving average (MA) models, thus providing a tool for modeling. We first construct…

周期单整自回归模型的多伴随矩阵方法AI 解读

There has been an enormous interest in analysing and modelling periodic time series. The research on periodically integrated autoregressive (PIAR) models which capture the periodic structure and the presence of unit roots is widely applied in environmental, financial and energy areas. In this paper, we propose a multi-companion method which uses the eigen information of the multi-companion matrix in the multi-companion representation of PIAR models. The method enables the…

时间序列预测误差的不确定性区间AI 解读

Inference for prediction errors is critical in time series forecasting pipelines. However, providing statistically meaningful uncertainty intervals for prediction errors remains relatively under-explored. Practitioners often resort to forward cross-validation (FCV) for obtaining point estimators and constructing confidence intervals based on the Central Limit Theorem (CLT). The naive version assumes independence, a condition that is usually invalid due to time correlation.…

HERMES：融合外部信号的非平稳时尚时间序列混合误差校正模型AI 解读

Developing models and algorithms to predict nonstationary time series is a long standing statistical problem. It is crucial for many applications, in particular for fashion or retail industries, to make optimal inventory decisions and avoid massive wastes. By tracking thousands of fashion trends on social media with state-of-the-art computer vision approaches, we propose a new model for fashion time series forecasting. Our contribution is twofold. We first provide publicly a…

因子增强向量自回归中的非线性降维AI 解读

This paper introduces non-linear dimension reduction in factor-augmented vector autoregressions to analyze the effects of different economic shocks. I argue that controlling for non-linearities between a large-dimensional dataset and the latent factors is particularly useful during turbulent times of the business cycle. In simulations, I show that non-linear dimension reduction techniques yield good forecasting performance, especially when data is highly volatile. In an…

灵活函数库下斜向回归树的收敛率AI 解读

We develop a theoretical framework for the analysis of oblique decision trees, where the splits at each decision node occur at linear combinations of the covariates (as opposed to conventional tree constructions that force axis-aligned splits involving only a single covariate). While this methodology has garnered significant attention from the computer science and optimization communities since the mid-80s, the advantages they offer over their axis-aligned counterparts…

目标 PCA：大维面板数据的迁移学习AI 解读

This paper develops a novel method to estimate a latent factor model for a large target panel with missing observations by optimally using the information from auxiliary panel data sets. We refer to our estimator as target-PCA. Transfer learning from auxiliary panel data allows us to deal with a large fraction of missing observations and weak signals in the target panel. We show that our estimator is more efficient and can consistently estimate weak factors, which are not…

机器学习能否利用经济与市场情绪预测经济衰退？AI 解读

Quantitative models are an important decision-making factor for policy makers and investors. Predicting an economic recession with high accuracy and reliability would be very beneficial for the society. This paper assesses machine learning technics to predict economic recessions in United States using market sentiment and economic indicators (seventy-five explanatory variables) from Jan 1986 - June 2022 on a monthly basis frequency. In order to solve the issue of missing…

利用随机微分方程刻画股票价格时间序列的结构突变AI 解读

This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of stochastic differential equations to the pre-and after-report period using the Maximum Likelihood Estimation and Grid Search of parameters method. By examining the change in the model parameters after reports' publication, the study reveals that…