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固定效应与任意初始条件下的面板 AR(1) 修正极大似然估计再研究AI 解读

In this paper we consider two generalizations of Lancaster's (Review of Economic Studies, 2002) Modified Maximum Likelihood estimator (MMLE) for the panel AR(1) model with fixed effects, arbitrary initial conditions, and strictly exogenous covariates when the time dimension of the panel, T, is fixed. When the autoregressive parameter rho=1, the limiting modified profile log-likelihood function for this model has a stationary point of inflection, and rho is first-order…

依赖数据下的随机梯度下降：最优估计、遗憾与推断AI 解读

This work investigates the performance of the final iterate produced by stochastic gradient descent (SGD) under temporally dependent data. We consider two complementary sources of dependence: $(i)$ martingale-type dependence in both the covariate and noise processes, which accommodates non-stationary and non-mixing time series data, and $(ii)$ dependence induced by sequential decision making. Our formulation runs in parallel with classical notions of (local) stationarity and…

扩散模型中的高维时变系数估计AI 解读

In this paper, we develop a novel high-dimensional time-varying coefficient estimation method, based on high-dimensional Itô diffusion processes. To account for high-dimensional time-varying coefficients, we first estimate local (or instantaneous) coefficients using a time-localized Dantzig selection scheme under a sparsity condition, which results in biased local coefficient estimators due to the regularization. To handle the bias, we propose a debiasing scheme, which…

函数型时间序列的整数单整检验AI 解读

We develop a statistical testing procedure to examine whether the curve-valued time series of interest is integrated of order d for an integer d. The proposed procedure can distinguish between integer-integrated time series and fractionally-integrated ones, and it has broad applicability in practice. Monte Carlo simulation experiments show that the proposed testing procedure performs reasonably well. We apply our methodology to Canadian yield curve data and French…

高维时间序列预测的稀疏 Tucker 分解与图正则化AI 解读

Existing methods of vector autoregressive model for multivariate time series analysis make use of low-rank matrix approximation or Tucker decomposition to reduce the dimension of the over-parameterization issue. In this paper, we propose a sparse Tucker decomposition method with graph regularization for high-dimensional vector autoregressive time series. By stacking the time-series transition matrices into a third-order tensor, the sparse Tucker decomposition is employed to…

稳健小波 NKK 周期图的渐近分布AI 解读

This paper investigates the asymptotic distribution of a wavelet-based NKK periodogram constructed from least absolute deviations (LAD) harmonic regression at a fixed resolution level. Using a wavelet representation of the underlying time series, we analyze the probabilistic structure of the resulting periodogram under long-range dependence. It is shown that, under suitable regularity conditions, the NKK periodogram converges in distribution to a nonstandard limit…

大定义域函数型时间序列谱密度的深度学习估计AI 解读

We derive an estimator of the spectral density of a functional time series that is the output of a multilayer perceptron neural network. The estimator is motivated by difficulties with the computation of existing spectral density estimators for time series of functions defined on very large grids that arise, for example, in climate compute models and medical scans. Existing estimators use autocovariance kernels represented as large $G \times G$ matrices, where $G$ is the…

一般均衡放大与危机脆弱性：全球银行的跨危机证据AI 解读

This paper develops a continuous framework for analyzing financial contagion that incorporates both geographic proximity and interbank network linkages. The framework characterizes stress propagation through a master equation whose solution admits a Feynman-Kac representation as expected cumulative stress along stochastic paths through spatial-network space. From this representation, I derive the General Equilibrium Amplification Factor -- a structural measure of systemic…

数据边界上的推断：用高斯过程处理模型依赖、重叠不足与外推AI 解读

Many inferential tasks involve fitting models to observed data and predicting outcomes at new covariate values, requiring interpolation or extrapolation. Conventional methods select a single best-fitting model, discarding fits that were similarly plausible in-sample but would yield sharply different predictions out-of-sample. Gaussian Processes (GPs) offer a principled alternative. Rather than committing to one conditional expectation function, GPs deliver a posterior…

波动率对按时间确定交易排序优先权政策的影响AI 解读

We study Arbitrum's Express Lane Auction (ELA), an ahead-of-time second-price auction that grants the winner an exclusive latency advantage for one minute. Building on a single-round model with risk-averse bidders, we propose a hypothesis that the value of priority access is discounted relative to risk-neutral valuation due to the difficulty of forecasting short-horizon volatility and bidders' risk aversion. We test these predictions using ELA bid records matched to…

融合安全检查的职业事故预测机器学习框架AI 解读

We propose a model-agnostic framework for short-term occupational accident forecasting that leverages safety inspections and models accident occurrences as binary time series. The approach generates daily predictions, which are then aggregated into weekly safety assessments for better decision making. To ensure the reliability and operational applicability of the forecasts, we apply a sliding-window cross-validation procedure specifically designed for time series data,…

马尔可夫转换观测驱动模型最大似然估计量的渐近性质AI 解读

A Markov-switching observation-driven model is a stochastic process $((S_t,Y_t))_{t \in \mathbb{Z}}$ where $(S_t)_{t \in \mathbb{Z}}$ is an unobserved Markov chain on a finite set and $(Y_t)_{t \in \mathbb{Z}}$ is an observed stochastic process such that the conditional distribution of $Y_t$ given $(Y_τ)_{τ\leq t-1}$ and $(S_τ)_{τ\leq t}$ depends on $(Y_τ)_{τ\leq t-1}$ and $S_t$. In this paper, we prove consistency and asymptotic normality of the maximum likelihood estimator…

对齐经济指数与状态切换模型AI 解读

A growing empirical literature suggests that equity-premium predictability is state dependent, with much of the forecasting power concentrated around recessionary periods (Henkel et al., 2011; Dangl and Halling, 2012; Devpura et al., 2018). I study U.S. stock return predictability across economic regimes and document strong evidence of time-varying expected returns across both expansionary and contractionary states. I contribute in two ways. First, I introduce a…

高维振荡神经时间序列的跨群体振幅耦合AI 解读

Neural oscillations have long been considered important markers of interaction across brain regions, yet identifying coordinated oscillatory activity from high-dimensional multiple-electrode recordings remains challenging. We sought to quantify time-varying covariation of oscillatory amplitudes across two brain regions, during a memory task, based on local field potentials recorded from 96 electrodes in each region. We extended Canonical Correlation Analysis (CCA) to…

用贝叶斯多层空间模型揭示ICFES Saber 11成绩中的潜在地域结构AI 解读

This article develops a Bayesian hierarchical framework to analyze academic performance in the 2022 second semester Saber 11 examination in Colombia. Our approach combines multilevel regression with municipal and departmental spatial random effects, and it incorporates Ridge and Lasso regularization priors to compare the contribution of sociodemographic covariates. Inference is implemented in a fully open source workflow using Markov chain Monte Carlo methods, and model…

相关溢出下的处理效应：连接离散与连续方法AI 解读

This paper develops a continuous functional framework for treatment effects propagating through geographic space and economic networks. We derive a master equation from three independent economic foundations -- heterogeneous agent aggregation, market equilibrium, and cost minimization -- establishing that the framework rests on fundamental principles rather than ad hoc specifications. The framework nests conventional econometric models -- autoregressive specifications,…

通过指数模型在多污染物暴露与结局间共享信息AI 解读

An important goal of environmental health research is to assess the health risks posed by mixtures of multiple environmental exposures. In these mixtures analyses, flexible models like Bayesian kernel machine regression and multiple index models are appealing because they allow for arbitrary non-linear exposure-outcome relationships. However, this flexibility comes at the cost of low power, particularly when exposures are highly correlated and the health effects are weak, as…

跨时间平滑方差：自适应随机波动率AI 解读

We introduce a novel Bayesian framework for estimating time-varying volatility by extending the Random Walk Stochastic Volatility (RWSV) model with Dynamic Shrinkage Processes (DSP) in log-variances. Unlike the classical Stochastic Volatility (SV) or GARCH-type models with restrictive parametric stationarity assumptions, our proposed Adaptive Stochastic Volatility (ASV) model provides smooth yet dynamically adaptive estimates of evolving volatility and its uncertainty. We…

汇总因果图中微观因果效应的有效协变量调整AI 解读

Observational studies in fields such as epidemiology often rely on covariate adjustment to estimate causal effects. Classical graphical criteria, like the back-door criterion and the generalized adjustment criterion, are powerful tools for identifying valid adjustment sets in directed acyclic graphs (DAGs). However, these criteria are not directly applicable to summary causal graphs (SCGs), which are abstractions of DAGs commonly used in dynamic systems. In SCGs, each node…

VAR 中宏观经济不稳定性的来源与性质AI 解读

For a general class of dynamic and stochastic structural models, we show that (i) non-linearity in economic dynamics is a necessary and sufficient condition for time-varying parameters (TVPs) in the reduced-form VARMA process followed by observables, and (ii) all parameters' time-variation is driven by the same, typically few sources of stochasticity: the structural shocks. Our results call into question the common interpretation that TVPs are due to "structural…

高维矩阵时间序列的马尔可夫转换动态矩阵因子模型AI 解读

In this study, we propose a novel model called the Markov-switching dynamic matrix factor (Ms-DMF) model, which serves the dual purpose of structural interpretation and prediction for high-dimensional matrix time series. When estimating the parameters of the Ms-DMF model, an EM (expectation maximization) algorithm was used to get a quasi-maximum likelihood estimation, where all the parameters are estimated jointly. A filtering and smoothing algorithm is used to compute the…

srvar-toolkit：含随机波动率的影子利率 VAR Python 工具包AI 解读

We introduce srvar-toolkit, an open-source Python package for Bayesian vector autoregression with shadow-rate constraints and stochastic volatility. The toolkit implements the methodology of Grammatikopoulos (2025, Journal of Forecasting) for forecasting macroeconomic variables when interest rates hit the effective lower bound. We provide conjugate Normal-Inverse-Wishart priors with Minnesota-style shrinkage, latent shadow-rate data augmentation via Gibbs sampling, diagonal…

从加权视角理解空间回归：超级基金场地修复的观察性研究AI 解读

A key challenge in environmental health research is unmeasured spatial confounding, driven by unobserved spatially structured variables that influence both treatment and outcome. A common approach is to fit a spatial regression that models the outcome as a linear function of treatment and covariates, with a spatially structured error term to account for unmeasured spatial confounding. However, it remains unclear to what extent spatial regression actually accounts for such…

贝叶斯马尔可夫转换部分降秩回归AI 解读

Reduced-Rank (RR) regression is a powerful dimensionality reduction technique but it overlooks any possible group configuration among the responses by assuming a low-rank structure on the entire coefficient matrix. Moreover, the temporal change of the relations between predictors and responses in time series induce a possibly time-varying grouping structure in the responses. To address these limitations, a Bayesian Markov-switching partial RR (MS-PRR) model is proposed,…