相关论文: Corrected portmanteau tests for VAR models with ti…

In this paper, we develop a new optimization framework for the least squares learning problem via fully connected neural networks or physics-informed neural networks. The gradient descent sometimes behaves inefficiently in deep learning…

Least squares linear regression is one of the oldest and widely used data analysis tools. Although the theoretical analysis of the ordinary least squares (OLS) estimator is as old, several fundamental questions are yet to be answered.…

We develop a Bayesian framework for variable selection in linear regression with autocorrelated errors, accommodating lagged covariates and autoregressive structures. This setting occurs in time series applications where responses depend on…

The Spatial AutoRegressive model (SAR) is commonly used in studies involving spatial and network data to estimate the spatial or network peer influence and the effects of covariates on the response, taking into account the dependence among…

The mixture of Dirichlet process (MDP) defines a flexible prior distribution on the space of probability measures. This study shows that ordinary least-squares (OLS) estimator, as a functional of the MDP posterior distribution, has…

In an efficient stock market, the log-returns and their time-dependent variances are often jointly modelled by stochastic volatility models (SVMs). Many SVMs assume that errors in log-return and latent volatility process are uncorrelated,…

We consider the problem of estimating and inferring treatment effects in randomized experiments. In practice, stratified randomization, or more generally, covariate-adaptive randomization, is routinely used in the design stage to balance…

In this paper an autoregressive time series model with conditional heteroscedasticity is considered, where both conditional mean and conditional variance function are modeled nonparametrically. A test for the model assumption of…

Large language models enable flexible multi-agent planning but remain fragile in practice: verification is often circular, state changes are not tracked for repair, and small faults trigger costly global recomputation. We present ALAS, a…

Test-time optimization remains impractical at scale due to prohibitive inference costs--techniques like iterative refinement and multi-step verification can require $10-100\times$ more compute per query than standard decoding. Latent space…

Partial least squares (PLS) is a dimensionality reduction technique introduced in the field of chemometrics and successfully employed in many other areas. The PLS components are obtained by maximizing the covariance between linear…

We study semiparametric varying-coefficient partially linear models when some linear covariates are not observed, but ancillary variables are available. Semiparametric profile least-square based estimation procedures are developed for…

High-dimensional vector autoregressive (VAR) models have numerous applications in fields such as econometrics, biology, climatology, among others. While prior research has mainly focused on linear VAR models, these approaches can be…

A semi-parametric joint Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting framework employing multiple realized measures is developed. The proposed framework extends the realized exponential GARCH model to be semi-parametrically…

Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…

This paper proposes a novel method (GLS Granger test) to determine causal relationships between time series based on the estimation of the autocovariance matrix and generalized least squares. We show the effectiveness of proposed…

We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First,…

Least absolute shrinkage and selection operator (Lasso), a popular method for high-dimensional regression, is now used widely for estimating high-dimensional time series models such as the vector autoregression (VAR). Selecting its tuning…

We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can be expressed as a general quadratic form of the past daily…

We train a pair of autoregressive models to construct zero-mean control variates to mitigate the sign problem in quantum Monte Carlo simulations. The two autoregressive networks are confined to the positive- and negative-sign sectors with…