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高维环境下的局部投影推断AI 解读

In this paper, we estimate impulse responses by local projections in high-dimensional settings. We use the desparsified (de-biased) lasso to estimate the high-dimensional local projections, while leaving the impulse response parameter of interest unpenalized. We establish the uniform asymptotic normality of the proposed estimator under general conditions. Finally, we demonstrate small sample performance through a simulation study and consider two canonical applications in…

可逆潜在因果模型中领域反事实的刻画AI 解读

Answering counterfactual queries has important applications such as explainability, robustness, and fairness but is challenging when the causal variables are unobserved and the observations are non-linear mixtures of these latent variables, such as pixels in images. One approach is to recover the latent Structural Causal Model (SCM), which may be infeasible in practice due to requiring strong assumptions, e.g., linearity of the causal mechanisms or perfect atomic…

增强型 HP 滤波器的适用范围比想象中更广AI 解读

The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP filter to a modern machine learning device suited to data-rich and rapid computational environments. This paper extends boosting's trend determination capability to higher order integrated processes and time series with roots that are local to unity. The theory is established by understanding the…

Welch 谱密度估计方法的去偏AI 解读

Welch's method provides an estimator of the power spectral density that is statistically consistent. This is achieved by averaging over periodograms calculated from overlapping segments of a time series. For a finite length time series, while the variance of the estimator decreases as the number of segments increase, the magnitude of the estimator's bias increases: a bias-variance trade-off ensues when setting the segment number. We address this issue by providing a novel…

高维高斯低秩模型中检验协方差相等的新统计量AI 解读

In this paper, we consider the problem of testing equality of the covariance matrices of L complex Gaussian multivariate time series of dimension $M$ . We study the special case where each of the L covariance matrices is modeled as a rank K perturbation of the identity matrix, corresponding to a signal plus noise model. A new test statistic based on the estimates of the eigenvalues of the different covariance matrices is proposed. In particular, we show that this statistic…

单调趋势的置换检验AI 解读

In this paper, we consider the fundamental problem of testing for monotone trend in a time series. While the term "trend" is commonly used and has an intuitive meaning, it is first crucial to specify its exact meaning in a hypothesis testing context. A commonly used well-known test is the Mann-Kendall test, which we show does not offer Type 1 error control even in large samples. On the other hand, by an appropriate studentization of the Mann-Kendall statistic, we construct…

动态有序面板 Logit 模型AI 解读

This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the…

基于特征与信息论识别可解释的长时间尺度序列交互AI 解读

Quantifying relationships between components of a complex system is critical to understanding the rich network of interactions that characterize the behavior of the system. Traditional methods for detecting pairwise dependence of time series, such as Pearson correlation, Granger causality, and mutual information, are computed directly in the space of measured time-series values. But for systems in which interactions are mediated by statistical properties of the time series…

最大化前瞻性的核心通胀指标AI 解读

Timely monetary policy decision-making requires timely core inflation measures. We create a new core inflation series that is explicitly designed to succeed at that goal. Precisely, we introduce the Assemblage Regression, a generalized nonnegative ridge regression problem that optimizes the price index's subcomponent weights such that the aggregate is maximally predictive of future headline inflation. Ordering subcomponents according to their rank in each period switches the…

塞尔维亚斯托皮察洞穴旅游需求的神经网络预测AI 解读

For modeling the number of visits in Stopića cave (Serbia) we consider the classical Auto-regressive Integrated Moving Average (ARIMA) model, Machine Learning (ML) method Support Vector Regression (SVR), and hybrid NeuralPropeth method which combines classical and ML concepts. The most accurate predictions were obtained with NeuralPropeth which includes the seasonal component and growing trend of time-series. In addition, non-linearity is modeled by shallow Neural Network…

不等式约束下非平稳时间序列分位数回归的推断AI 解读

We consider parameter inference for linear quantile regression with non-stationary predictors and errors, where the regression parameters are subject to inequality constraints. We show that the constrained quantile coefficient estimators are asymptotically equivalent to the metric projections of the unconstrained estimator onto the constrained parameter space. Utilizing a geometry-invariant property of this projection operation, we propose inference procedures - the Wald,…

最大化机器学习可预测性的投资组合AI 解读

When it comes to stock returns, any form of predictability can bolster risk-adjusted profitability. We develop a collaborative machine learning algorithm that optimizes portfolio weights so that the resulting synthetic security is maximally predictable. Precisely, we introduce MACE, a multivariate extension of Alternating Conditional Expectations that achieves the aforementioned goal by wielding a Random Forest on one side of the equation, and a constrained Ridge Regression…

利用神经动态规划进行经济预测AI 解读

Economic forecasting is concerned with the estimation of some variable like gross domestic product (GDP) in the next period given a set of variables that describes the current situation or state of the economy, including industrial production, retail trade turnover or economic confidence. Neuro-dynamic programming (NDP) provides tools to deal with forecasting and other sequential problems with such high-dimensional states spaces. Whereas conventional forecasting methods…

利用已知变量与未知潜在因素开展高维预测AI 解读

Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active set, known knowns, using Lasso and OCMT, and approximating unobserved latent factors, known unknowns, by various means. This combines both sparse and dense approaches. We demonstrate the various issues involved in variable selection in a…

不确定的短期限制与统计识别的结构向量自回归AI 解读

This study proposes a combination of a statistical identification approach with potentially invalid short-run zero restrictions. The estimator shrinks towards imposed restrictions and stops shrinkage when the data provide evidence against a restriction. Simulation results demonstrate how incorporating valid restrictions through the shrinkage approach enhances the accuracy of the statistically identified estimator and how the impact of invalid restrictions decreases with the…

用于宏观经济分析的贝叶斯神经网络AI 解读

Macroeconomic data is characterized by a limited number of observations (small T), many time series (big K) but also by featuring temporal dependence. Neural networks, by contrast, are designed for datasets with millions of observations and covariates. In this paper, we develop Bayesian neural networks (BNNs) that are well-suited for handling datasets commonly used for macroeconomic analysis in policy institutions. Our approach avoids extensive specification searches through…

TS-CausalNN：从非线性非平稳时间序列学习时序因果关系AI 解读

The growing availability and importance of time series data across various domains, including environmental science, epidemiology, and economics, has led to an increasing need for time-series causal discovery methods that can identify the intricate relationships in the non-stationary, non-linear, and often noisy real world data. However, the majority of current time series causal discovery methods assume stationarity and linear relations in data, making them infeasible for…

卷积 t 分布AI 解读

We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distributions, the multivariate convolution-t distributions embody cluster structures with flexible nonlinear dependencies and heterogeneous marginal distributions. Importantly, convolution-t distributions have simple density functions that facilitate estimation and likelihood-based inference. The…

“喧哗与骚动”：跳跃与噪声下波动率矩阵非线性泛函的推断AI 解读

This paper resolves a pivotal open problem on nonparametric inference for nonlinear functionals of volatility matrix. Multiple prominent statistical tasks can be formulated as functionals of volatility matrix, yet a unified statistical theory of general nonlinear functionals based on noisy data remains challenging and elusive. Nonetheless, this paper shows it can be achieved by combining the strengths of pre-averaging, jump truncation and nonlinearity bias correction. In…

时间序列模型平均与选择的损失折扣框架AI 解读

We introduce a Loss Discounting Framework for model and forecast combination which generalises and combines Bayesian model synthesis and generalized Bayes methodologies. We use a loss function to score the performance of different models and introduce a multilevel discounting scheme which allows a flexible specification of the dynamics of the model weights. This novel and simple model combination approach can be easily applied to large scale model averaging/selection, can…

异质矩阵分解：不同数据集具有不同特征时AI 解读

In myriad statistical applications, data are collected from related but heterogeneous sources. These sources share some commonalities while containing idiosyncratic characteristics. One of the most fundamental challenges in such scenarios is to recover the shared and source-specific factors. Despite the existence of a few heuristic approaches, a generic algorithm with theoretical guarantees has yet to be established. In this paper, we tackle the problem by proposing a method…

非平稳计数时间序列的对数线性模型AI 解读

We propose a new model for nonstationary integer-valued time series which is particularly suitable for data with a strong trend. In contrast to popular Poisson-INGARCH models, but in line with classical GARCH models, we propose to pick the conditional distributions from nearly scale invariant families where the mean absolute value and the standard deviation are of the same order of magnitude. As an important prerequisite for applications in statistics, we prove absolute…

用于极端河流流量建模的最大自回归移动平均过程的极值性质AI 解读

Max-autogressive moving average (Max-ARMA) processes are powerful tools for modelling time series data with heavy-tailed behaviour; these are a non-linear version of the popular autoregressive moving average models. River flow data typically have features of heavy tails and non-linearity, as large precipitation events cause sudden spikes in the data that then exponentially decay. Therefore, stationary Max-ARMA models are a suitable candidate for capturing the unique temporal…

使用 DBSCAN 进行时间序列聚类AI 解读

Economic policy and research rely on the correct evaluation of the billions of high-frequency data points that we collect every day. Consistent clustering algorithms, like DBSCAN, allow us to make sense of the data in a useful way. However, while there is a large literature on the consistency of various clustering algorithms for high-dimensional static clustering, the literature on multivariate time series clustering still largely relies on heuristics or restrictive…