相关论文: Long Term Economic Relationships From Cointegratio…

Cointegration analysis is used to estimate the long-run equilibrium relations between several time series. The coefficients of these long-run equilibrium relations are the cointegrating vectors. In this paper, we provide a sparse estimator…

Epidemiological investigations of regionally aggregated spatial data often involve detecting spatial health disparities among neighboring regions on a map of disease mortality or incidence rates. Analyzing such data introduces spatial…

We propose a statistical framework to quantify location and co-location associations of economic activities using information-theoretic measures. We relate the resulting measures to existing measures of revealed comparative advantage,…

Macro-economic models describe the dynamics of economic quantities. The estimations and forecasts produced by such models play a substantial role for financial and political decisions. In this contribution we describe an approach based on…

This paper proposes a Matrix Error Correction Model to identify cointegration relations in matrix-valued time series. We hereby allow separate cointegrating relations along the rows and columns of the matrix-valued time series and use…

Cointegration is an important topic for time-series, and describes a relationship between two series in which a linear combination is stationary. Classically, the test for cointegration is based on a two stage process in which first the…

A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over…

Data for many nations show a long-run increase, over many decades, of income, indexed by GDP per capita, and population health, indexed by mortality or life expectancy at birth (LEB). However, the short-run and long-run relationships…

Network data arises through observation of relational information between a collection of entities. Recent work in the literature has independently considered when (i) one observes a sample of networks, connectome data in neuroscience being…

We construct long-term prediction intervals for time-aggregated future values of univariate economic time series. We propose computational adjustments of the existing methods to improve coverage probability under a small sample constraint.…

In time-to-event analyses in social sciences, there often exist endogenous time-varying variables, where the event status is correlated with the trajectory of the covariate itself. Ignoring this endogeneity will result in biased estimates.…

We study correlation measures for complex systems. First, we investigate some recently proposed measures based on information geometry. We show that these measures can increase under local transformations as well as under discarding…

Sensors are the key to environmental monitoring, which impart benefits to smart cities in many aspects, such as providing real-time air quality information to assist human decision-making. However, it is impractical to deploy massive…

Vector Error Correction Model (VECM) is a classic method to analyse cointegration relationships amongst multivariate non-stationary time series. In this paper, we focus on high dimensional setting and seek for sample-size-efficient…

In the survey we consider the case studies on sales time series forecasting, the deep learning approach for forecasting non-stationary time series using time trend correction, dynamic price and supply optimization using Q-learning, Bitcoin…

We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…

We employ a Bayesian modelling technique for high dimensional cointegration estimation to construct low volatility portfolios from a large number of stocks. The proposed Bayesian framework effectively identifies sparse and important…

Time Series Analysis has been given a great amount of study in which many useful tests were developed. The phenomenal work of Engle and Granger in 1987 and Johansen in 1988 has paved the way for the most commonly used cointegration tests so…

Through this paper, an attempt has been made to quantify the underlying relationships between the leading macroeconomic indicators. More clearly, an effort has been made in this paper to assess the cointegrating relationships and examine…

Social contact matrices are essential tools in infectious disease epidemiology as they quantify close-range human contact patterns which directly drive the transmission of airborne infectious diseases. In this work we propose a Bayesian…