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Journal of Time Series Analysis最新文献

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Statistical analysis of irregularly spaced spatial data in frequency domain 频域不规则空间数据的统计分析
IF 1.2 4区 数学
Journal of Time Series Analysis Pub Date : 2024-02-11 DOI: 10.1111/jtsa.12735
Shibin Zhang
{"title":"Statistical analysis of irregularly spaced spatial data in frequency domain","authors":"Shibin Zhang","doi":"10.1111/jtsa.12735","DOIUrl":"10.1111/jtsa.12735","url":null,"abstract":"<p>Central limit theorems (CLTs) for frequency-domain statistics are fundamental tools in frequency-domain analysis. However, for irregularly spaced data, they are still limited. In both the pure increasing domain and the mixed increasing domain asymptotic frameworks, three CLTs of frequency-domain statistics are established for the observations at uniformly distributed sampling locations over a rectangular sampling region. One is for discrete Fourier transforms (DFTs), while the other two pertain to generalized spectral means (GSMs). The asymptotic joint normality and independence of the DFT at any finite number of standard frequencies are derived. Additionally, the asymptotic normalities of two GSMs are set up, with asymptotic variances given in different forms, according to the Gaussian or non-Gaussian model assumption. Three established CLTs are very useful in investigating the sampling properties of many important frequency-domain statistics, such as periodogram, non-negative definite auto-covariance estimator, spectral density estimator, and Whittle likelihood estimator as well.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 5","pages":"714-738"},"PeriodicalIF":1.2,"publicationDate":"2024-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139751277","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Transformed-Linear Models for Time Series Extremes 时间序列极值的变换线性模型
IF 1.2 4区 数学
Journal of Time Series Analysis Pub Date : 2024-02-05 DOI: 10.1111/jtsa.12732
Nehali Mhatre, Daniel Cooley
{"title":"Transformed-Linear Models for Time Series Extremes","authors":"Nehali Mhatre,&nbsp;Daniel Cooley","doi":"10.1111/jtsa.12732","DOIUrl":"https://doi.org/10.1111/jtsa.12732","url":null,"abstract":"<p>To capture the dependence in the upper tail of a time series, we develop non-negative regularly varying time series models that are constructed similarly to classical non-extreme ARMA models. Rather than fully characterizing tail dependence of the time series, we define the concept of weak tail stationarity which allows us to describe a regularly varying time series via a measure of pairwise extremal dependencies, the tail pairwise dependence function (TPDF). We state consistency requirements among the finite-dimensional collections of the elements of a regularly varying time series and show that the TPDF's value does not depend on the dimension of the random vector being considered. So that our models take non-negative values, we use transformed-linear operations. We show existence and stationarity of these models, and develop their properties such as the model TPDFs. We fit models to hourly windspeed and daily fire weather index data, and we find that the fitted transformed-linear models produce better estimates of upper tail quantities than a traditional ARMA model, classical linear regularly varying models, a max-ARMA model, and a Markov model.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 5","pages":"671-690"},"PeriodicalIF":1.2,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141966945","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A residual-based nonparametric variance ratio no-cointegration test 基于残差的非参数方差比无协整检验
IF 1.2 4区 数学
Journal of Time Series Analysis Pub Date : 2024-02-01 DOI: 10.1111/jtsa.12734
Karsten Reichold
{"title":"A residual-based nonparametric variance ratio no-cointegration test","authors":"Karsten Reichold","doi":"10.1111/jtsa.12734","DOIUrl":"10.1111/jtsa.12734","url":null,"abstract":"<p>It is prominently stated in the literature that local asymptotic power properties serve as a useful indicator for the performance of residual-based no-cointegration tests in finite samples. However, this article comes to an opposing conclusion. In particular, we show that Breitung's (2002, Journal of Econometrics 108, 343–363) nonparameteric variance ratio unit root test applied to regression residuals serves as a no-cointegration test but is inferior to its competitors from a local asymptotic power perspective. Nevertheless, in finite samples, the variance ratio test has good size properties, competitive power, and the convenience of being tuning parameter free. In general, we find that short-run dynamics in the error process can have considerably larger detrimental effects on the performance of residual-based no-cointegration tests in finite samples than changes in the only nuisance parameter affecting local asymptotic power of the tests. The results serve as a warning for practitioners and lead to interesting directions for future research.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 5","pages":"847-856"},"PeriodicalIF":1.2,"publicationDate":"2024-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jtsa.12734","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139666196","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots 关于具有单零根和双零根的积分卡马（2，1）随机过程的嵌入性条件的说明
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2024-01-08 DOI: 10.1111/jtsa.12730
Vladimir Andric, Sanja Nenadovic
{"title":"A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots","authors":"Vladimir Andric,&nbsp;Sanja Nenadovic","doi":"10.1111/jtsa.12730","DOIUrl":"10.1111/jtsa.12730","url":null,"abstract":"<p>We derive embeddability conditions for the integrated CARMA (2, 1) stochastic process with single and double zero roots in the case of stock variables.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 4","pages":"660-668"},"PeriodicalIF":0.9,"publicationDate":"2024-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139408002","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Time Series Quantile Regression Using Random Forests 使用随机森林的时间序列量化回归
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2024-01-02 DOI: 10.1111/jtsa.12731
Hiroshi Shiraishi, Tomoshige Nakamura, Ryotato Shibuki
{"title":"Time Series Quantile Regression Using Random Forests","authors":"Hiroshi Shiraishi,&nbsp;Tomoshige Nakamura,&nbsp;Ryotato Shibuki","doi":"10.1111/jtsa.12731","DOIUrl":"10.1111/jtsa.12731","url":null,"abstract":"<p>We discuss an application of Generalized Random Forests (GRF) proposed to quantile regression for time series data. We extended the theoretical results of the GRF consistency for i.i.d. data to time series data. In particular, in the main theorem, based only on the general assumptions for time series data and trees, we show that the tsQRF (time series Quantile Regression Forest) estimator is consistent. Compare with existing article, different ideas are used throughout the theoretical proof. In addition, a simulation and real data analysis were conducted. In the simulation, the accuracy of the conditional quantile estimation was evaluated under time series models. In the real data using the Nikkei Stock Average, our estimator is demonstrated to capture volatility more efficiently, thus preventing underestimation of uncertainty.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 4","pages":"639-659"},"PeriodicalIF":0.9,"publicationDate":"2024-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jtsa.12731","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139093991","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility 基于已实现波动范围的 GQARCH-Itô-jumps 模型的统计推断
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-12-19 DOI: 10.1111/jtsa.12729
Jin Yu Fu, Jin Guan Lin, Guangying Liu, Hong Xia Hao
{"title":"Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility","authors":"Jin Yu Fu,&nbsp;Jin Guan Lin,&nbsp;Guangying Liu,&nbsp;Hong Xia Hao","doi":"10.1111/jtsa.12729","DOIUrl":"10.1111/jtsa.12729","url":null,"abstract":"<p>This article introduces a novel approach that unifies two types of models: one is the continuous-time jump-diffusion used to model high-frequency market financial data, and the other is discrete-time GQARCH for modeling low-frequency financial data by embedding the discrete GQARCH structure with jumps in the instantaneous volatility process. This model is named GQARCH-Itô-Jumps model. Quasi-likelihood functions for the low-frequency GQARCH structure are developed for the parametric estimations. In the quasi-likelihood functions, for high-frequency financial data, the realized range-based estimations are adopted as the ‘observations’, rather than the realized return-based volatility estimators which entail the loss of intra-day information of the price movements. Meanwhile, the asymptotic properties are mainly established for the proposed estimators in the case of finite activity jumps. Moreover, simulation studies and some financial data are implemented to check the finite sample performance of the proposed methodology.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 4","pages":"613-638"},"PeriodicalIF":0.9,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138825729","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Count network autoregression 计数网络自回归
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-12-19 DOI: 10.1111/jtsa.12728
Mirko Armillotta, Konstantinos Fokianos
{"title":"Count network autoregression","authors":"Mirko Armillotta,&nbsp;Konstantinos Fokianos","doi":"10.1111/jtsa.12728","DOIUrl":"10.1111/jtsa.12728","url":null,"abstract":"<p>We consider network autoregressive models for count data with a non-random neighborhood structure. The main methodological contribution is the development of conditions that guarantee stability and valid statistical inference for such models. We consider both cases of fixed and increasing network dimension and we show that quasi-likelihood inference provides consistent and asymptotically normally distributed estimators. The article is complemented by simulation results and a data example.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 4","pages":"584-612"},"PeriodicalIF":0.9,"publicationDate":"2023-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jtsa.12728","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138825453","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
High-Frequency-Based Volatility Model with Network Structure 基于网络结构的高频波动率模型
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-12-03 DOI: 10.1111/jtsa.12726
Huiling Yuan, Kexin Lu, Guodong Li, Junhui Wang
{"title":"High-Frequency-Based Volatility Model with Network Structure","authors":"Huiling Yuan,&nbsp;Kexin Lu,&nbsp;Guodong Li,&nbsp;Junhui Wang","doi":"10.1111/jtsa.12726","DOIUrl":"10.1111/jtsa.12726","url":null,"abstract":"<p>This paper introduces a novel multi-variate volatility model that can accommodate appropriately defined network structures based on low-frequency and high-frequency data. The model offers substantial reductions in the number of unknown parameters and computational complexity. The model formulation, along with iterative multi-step-ahead forecasting and targeting parameterization are discussed. Quasi-likelihood functions for parameter estimation are proposed and their asymptotic properties are established. A series of simulation studies are carried out to assess the performance of parameter estimation in finite samples. Furthermore, a real data analysis demonstrates that the proposed model outperforms the existing volatility models in prediction of future variances of daily return and realized measures.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 4","pages":"533-557"},"PeriodicalIF":0.9,"publicationDate":"2023-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jtsa.12726","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138539083","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets 金融市场跳跃强度函数的渐近正态性估计
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-11-14 DOI: 10.1111/jtsa.12727
Yuping Song, Min Zhu, Jiawei Qiu
{"title":"Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets","authors":"Yuping Song,&nbsp;Min Zhu,&nbsp;Jiawei Qiu","doi":"10.1111/jtsa.12727","DOIUrl":"10.1111/jtsa.12727","url":null,"abstract":"<p>Continuous-time diffusion models with jumps, especially the jump intensity coefficient, can depict the impact of sudden and large shocks to financial markets. It is possible to disentangle, from the discrete observations, the contributions given by the jumps and those by the diffusion part through threshold functions. Based on this threshold technique, we employ non-parametric local linear threshold estimator for the unknown jump intensity function of a semimartingale with jumps. The asymptotic normality of our estimator is provided in the presence of finite activity jumps under certain regular conditions. The finite-sample performance for the underlying estimator has been shown through a Monte Carlo experiment and an empirical analysis on high frequency returns of indexes in the USA and China.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 4","pages":"558-583"},"PeriodicalIF":0.9,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138543575","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Outcomes of lower trapezius transfer with hamstring tendons for irreparable rotator cuff tears. 下斜方肌转移与腘绳肌腱治疗不可修复的肩袖撕裂的疗效。
IF 1.5 4区 数学
Journal of Time Series Analysis Pub Date : 2023-11-01 Epub Date: 2022-11-01 DOI: 10.1177/17585732221135181
Thiago Bc Almeida, Luciano Pascarelli, Roberto R Bongiovanni, Marcel Js Tamaoki, Luciano Mr Rodrigues
{"title":"Outcomes of lower trapezius transfer with hamstring tendons for irreparable rotator cuff tears.","authors":"Thiago Bc Almeida, Luciano Pascarelli, Roberto R Bongiovanni, Marcel Js Tamaoki, Luciano Mr Rodrigues","doi":"10.1177/17585732221135181","DOIUrl":"10.1177/17585732221135181","url":null,"abstract":"<p><strong>Background: </strong>The aim of this study was to evaluate the results of the transfer of the lower trapezius with a graft from hamstring tendons in the treatment of irreparable rotator cuff tears . Level IV; Case Series; Treatment Study.</p><p><strong>Methods: </strong>Ten patients diagnosed with irreparable tears of the supraspinatus and infraspinatus tendons, were evaluated retrospectively -preoperatively, 6 and 12 months postoperatively. They underwent transfer of the prolonged lower trapezius with an autologous graft of the knee flexor tendons.</p><p><strong>Results: </strong>The Shoulder Subjective Value increased from 47 (preoperative) to 71 (1 year after surgery), American Shoulder and Elbow Surgeons Score increased from 26.63 to 75.24. Pain improved from 7.9 to 2.5 on the Visual Analogue Scale. The mean lateral rotation improved from 31° to 51°, flexion from 84° to 122°, and abduction from 76° to 101°. These results have not changed significantly between 6 and 12 months.</p><p><strong>Discussion: </strong>The transfer of the lower trapezius with autologous grafts from the hamstring tendons showed good results in patients under 65 years of age with irreparable rotator cuff tears . Longer follow-up and a greater number of cases are necessary to confirm the efficacy of the transfer.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"25 1","pages":"63-71"},"PeriodicalIF":1.5,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10649487/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85096333","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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