相关论文: High-dimensional functional time series forecastin…

We consider estimation of large approximate factor models in high-dimensional panels of stationary time series using Principal Component Analysis (PCA). We review the key results establishing the necessary and sufficient conditions for…

Mortality forecasting plays a pivotal role in insurance and financial risk management of life insurers, pension funds, and social securities. Mortality data is usually high-dimensional in nature and favors factor model approaches to…

This paper proposes a new procedure to build factor models for high-dimensional unit-root time series by postulating that a $p$-dimensional unit-root process is a nonsingular linear transformation of a set of unit-root processes, a set of…

We define one-sided dynamic principal components (ODPC) for time series as linear combinations of the present and past values of the series that minimize the reconstruction mean squared error. Previous definitions of dynamic principal…

Functional data analysis is ubiquitous in most areas of sciences and engineering. Several paradigms are proposed to deal with the dimensionality problem which is inherent to this type of data. Sparseness, penalization, thresholding, among…

This paper proposes a supervised dimension reduction methodology for tensor data which has two advantages over most image-based prognostic models. First, the model does not require tensor data to be complete which expands its application to…

Within the framework of functional data analysis, we develop principal component analysis for periodically correlated time series of functions. We define the components of the above analysis including periodic, operator-valued filters,…

Modelling and forecasting homogeneous age-specific mortality rates of multiple countries could lead to improvements in long-term forecasting. Data fed into joint models are often grouped according to nominal attributes, such as geographic…

Producing probabilistic forecasts for large collections of similar and/or dependent time series is a practically relevant and challenging task. Classical time series models fail to capture complex patterns in the data, and multivariate…

In economics and many other forecasting domains, the real world problems are too complex for a single model that assumes a specific data generation process. The forecasting performance of different methods changes depending on the nature of…

In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries over time. Various financial characteristics of many…

A multilevel functional data method is adapted for forecasting age-specific mortality for two or more populations in developed countries with high-quality vital registration systems. It uses multilevel functional principal component…

In the context of time series forecasting, it is a common practice to evaluate multiple methods and choose one of these methods or an ensemble for producing the best forecasts. However, choosing among different ensembles over multiple…

We introduce a new sufficient dimension reduction framework that targets a statistical functional of interest, and propose an efficient estimator for the semiparametric estimation problems of this type. The statistical functional covers a…

In this paper, we consider multivariate functional time series with a two-way dependence structure: a serial dependence across time points and a graphical interaction among the multiple functions within each time point. We develop the…

A new procedure is proposed for the dimensional reduction of time series. Similarly to principal components, the procedure seeks a low-dimensional manifold that minimizes information loss. Unlike principal components, however, the new…

Factor-based forecasting using Principal Component Analysis (PCA) is an effective machine learning tool for dimension reduction with many applications in statistics, economics, and finance. This paper introduces a Supervised Screening and…

Vector autoregressive (VAR) models are popularly adopted for modelling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR modelling, the number of parameters grow quadratically with…

The purpose of this article is to develop the dimension reduction techniques in panel data analysis when the number of individuals and indicators is large. We use Principal Component Analysis (PCA) method to represent large number of…

This paper addresses the prediction of stationary functional time series. Existing contributions to this problem have largely focused on the special case of first-order functional autoregressive processes because of their technical…