发布求助
文献互助 智能选刊 最新文献

Journal of Time Series Analysis最新文献

筛选
英文 中文
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
Non-crossing quantile double-autoregression for the analysis of streaming time series data 用于分析流式时间序列数据的非交叉量级双自回归
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-10-11 DOI: 10.1111/jtsa.12725
Rong Jiang, Siu Kai Choy, Keming Yu
{"title":"Non-crossing quantile double-autoregression for the analysis of streaming time series data","authors":"Rong Jiang,&nbsp;Siu Kai Choy,&nbsp;Keming Yu","doi":"10.1111/jtsa.12725","DOIUrl":"10.1111/jtsa.12725","url":null,"abstract":"<p>Many financial time series not only have varying structures at different quantile levels and exhibit the phenomenon of conditional heteroscedasticity at the same time but also arrive in the stream. Quantile double-autoregression is very useful for time series analysis but faces challenges with model fitting of streaming data sets when estimating other quantiles in subsequent batches. This article proposes a renewable estimation method for quantile double-autoregression analysis of streaming time series data due to its ability to break with storage barrier and computational barrier. Moreover, the proposed flexible parametric structure of the quantile function enables us to predict any interested quantile value without quantile curve crossing problem or keeping the desirable monotone property of the conditional quantile function. The proposed methods are illustrated using current data and the summary statistics of historical data. Theoretically, the proposed statistic is shown to have the same asymptotic distribution as the standard version computed on an entire data stream with the data batches pooled into one data set, without additional condition. Simulation studies and an empirical example are presented to illustrate the finite sample performance of the proposed methods.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 4","pages":"513-532"},"PeriodicalIF":0.9,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jtsa.12725","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136209908","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
Test of change point versus long-range dependence in functional time series 检验功能时间序列中的变化点与长程依赖性
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-09-20 DOI: 10.1111/jtsa.12723
Changryong Baek, Piotr Kokoszka, Xiangdong Meng
{"title":"Test of change point versus long-range dependence in functional time series","authors":"Changryong Baek,&nbsp;Piotr Kokoszka,&nbsp;Xiangdong Meng","doi":"10.1111/jtsa.12723","DOIUrl":"10.1111/jtsa.12723","url":null,"abstract":"<p>In the context of functional time series, we propose a significance test to distinguish between short memory with a change point and long range dependence. The test is based on coefficients of projections onto an optimal direction that captures the dependence structure of the latent stationary functions that are not observable due to a potential change point. The optimal direction must be estimated as well. The test statistic is constructed using the local Whittle estimator applied to these coefficients. It has standard normal distribution under the null hypothesis (change point) and diverges to infinity under the alternative (long range dependence). The article includes asymptotic theory, a simulation study and an application to curve-valued time series derived from intraday asset prices.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 4","pages":"497-512"},"PeriodicalIF":0.9,"publicationDate":"2023-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136375945","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
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm 序列依赖下的多变化点检测：野性对比度最大化和加普-施瓦茨算法
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-09-18 DOI: 10.1111/jtsa.12722
Haeran Cho, Piotr Fryzlewicz
{"title":"Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm","authors":"Haeran Cho,&nbsp;Piotr Fryzlewicz","doi":"10.1111/jtsa.12722","DOIUrl":"10.1111/jtsa.12722","url":null,"abstract":"<p>We propose a methodology for detecting multiple change points in the mean of an otherwise stationary, autocorrelated, linear time series. It combines solution path generation based on the wild contrast maximisation principle, and an information criterion-based model selection strategy termed gappy Schwarz algorithm. The former is well-suited to separating shifts in the mean from fluctuations due to serial correlations, while the latter simultaneously estimates the dependence structure and the number of change points without performing the difficult task of estimating the level of the noise as quantified e.g. by the long-run variance. We provide modular investigation into their theoretical properties and show that the combined methodology, named WCM.gSa, achieves consistency in estimating both the total number and the locations of the change points. The good performance of WCM.gSa is demonstrated via extensive simulation studies, and we further illustrate its usefulness by applying the methodology to London air quality data.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 3","pages":"479-494"},"PeriodicalIF":0.9,"publicationDate":"2023-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jtsa.12722","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135207798","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
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023 编辑公告：时间序列分析期刊》2023 年杰出作者
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-09-17 DOI: 10.1111/jtsa.12724
Robert Taylor
{"title":"Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023","authors":"Robert Taylor","doi":"10.1111/jtsa.12724","DOIUrl":"10.1111/jtsa.12724","url":null,"abstract":"<p>In recognition of authors who have made significant contributions to this Journal, the <i>Journal of Time Series Analysis</i> runs a scheme to honour those authors by naming them as a <i>Journal of Time Series Analysis Distinguished Author</i>. The qualifying criterion for this award is 3.5 points where authors are awarded 1 point for each single-authored article, ½ point for each double-authored article, 1/3 point for each triple-authored article, and so on, that they have published in the <i>Journal of Time Series Analysis</i> since its inception. Distinguished Authors are entitled to a 1-year free on-line subscription to the Journal to mark the award, and will also receive a certificate commemorating the award.</p><p>In addition to the lists of Distinguished Authors announced previously in Volume 41 issue 4 (July 2020), Volume 42 Issue 1 (January 2021), Volume 43 Issue 1 (January 2022), and Volume 44 Issue 1 (January 2023), the <i>Journal of Time Series Analysis</i> is very pleased to welcome</p><p><b>Suhasini Subba Rao</b></p><p>to the list of <i>Journal of Time Series Analysis Distinguished Authors</i> for 2023 based on her publications in the Journal appearing up to and including Volume 44 Issues 5–6 (September–November 2023).</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 1","pages":"3"},"PeriodicalIF":0.9,"publicationDate":"2023-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jtsa.12724","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135259542","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
Smooth transition moving average models: Estimation, testing, and computation 平滑过渡移动平均模型：估计、测试和计算
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-09-07 DOI: 10.1111/jtsa.12721
Xinyu Zhang, Dong Li
{"title":"Smooth transition moving average models: Estimation, testing, and computation","authors":"Xinyu Zhang,&nbsp;Dong Li","doi":"10.1111/jtsa.12721","DOIUrl":"10.1111/jtsa.12721","url":null,"abstract":"<p>The article introduces a new subclass of nonlinear moving average model, called the smooth transition moving average (STMA) model, and studies its probabilistic properties. It is shown that, under some mild conditions, the least squares estimation (LSE) is strongly consistent and asymptotically normal. A powerful score-based goodness-of-fit test for the STMA model is presented. A different parametrization from the classical one is applied to numerically improve the identification and estimation of this model. Simulation studies are conducted to assess the performance of the LSE and the score-based test in finite samples. The results are illustrated with an application to the weekly exchange rate of the USA Dollar to the British Pound.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 3","pages":"463-478"},"PeriodicalIF":0.9,"publicationDate":"2023-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44267129","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
Local Whittle estimation with (quasi-)analytic wavelets (拟)解析小波的局部Whittle估计
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-09-04 DOI: 10.1111/jtsa.12719
Sophie Achard, Irène Gannaz
{"title":"Local Whittle estimation with (quasi-)analytic wavelets","authors":"Sophie Achard,&nbsp;Irène Gannaz","doi":"10.1111/jtsa.12719","DOIUrl":"10.1111/jtsa.12719","url":null,"abstract":"<p>In the general setting of long-memory multivariate time series, the long-memory characteristics are defined by two components. The long-memory parameters describe the autocorrelation of each time series. And the long-run covariance measures the coupling between time series, with general phase parameters. It is of interest to estimate the long-memory, long-run covariance and general phase parameters of time series generated by this wide class of models although they are not necessarily Gaussian nor stationary. This estimation is thus not directly possible using real wavelets decomposition or Fourier analysis. Our purpose is to define an inference approach based on a representation using quasi-analytic wavelets. We first show that the covariance of the wavelet coefficients provides an adequate estimator of the covariance structure including the phase term. Consistent estimators based on a local Whittle approximation are then proposed. Simulations highlight a satisfactory behavior of the estimation on finite samples on multivariate fractional Brownian motions. An application on a real neuroscience dataset is presented, where long-memory and brain connectivity are inferred.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 3","pages":"421-443"},"PeriodicalIF":0.9,"publicationDate":"2023-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jtsa.12719","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42534099","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
Granger causality tests based on reduced variable information 基于约简变量信息的Granger因果检验
IF 0.9 4区 数学
Journal of Time Series Analysis Pub Date : 2023-09-03 DOI: 10.1111/jtsa.12720
Neng-Fang Tseng, Ying-Chao Hung, Junji Nakano
{"title":"Granger causality tests based on reduced variable information","authors":"Neng-Fang Tseng,&nbsp;Ying-Chao Hung,&nbsp;Junji Nakano","doi":"10.1111/jtsa.12720","DOIUrl":"10.1111/jtsa.12720","url":null,"abstract":"<p>Granger causality is a classical and important technique for measuring predictability from one group of time series to another by incorporating information of the variables described by a full vector autoregressive (VAR) process. However, in some applications economic forecasts need to be made based on information provided merely by a portion of variates (e.g., removal of a listed stock due to halting, suspension or delisting). This requires a new formulation of forecast based on an embedded subprocess of VAR, whose theoretical properties are often difficult to obtain. To avoid the issue of identifying the VAR subprocess, we propose a computation-based approach so that sophisticated predictions can be made by utilizing a reduced variable information set estimated from sampled data. Such estimated information set allows us to develop a suitable statistical hypothesis testing procedure for characterizing all designated Granger causal relationships, as well as a useful graphical tool for presenting the causal structure over the prediction horizon. Finally, simulated data and a real example from the stock markets are used to illustrate the proposed method.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"45 3","pages":"444-462"},"PeriodicalIF":0.9,"publicationDate":"2023-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49077711","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信