It is shown that the proposed time-varying jackknife model averaging (TVJMA) estimator is asymptotically optimal in the sense of achieving the lowest possible local squared error loss in a class of time-varying model averaging estimators. Under a set of regularity assumptions, the TVJMA estimator...
讲座题目 Time-Varying Model Averaging for GMM with Applications to Asset Pricing 讲座人 周瑾 中国科学院数学与系统科学研究院预测科学研究中心 讲座时间 2024年10月22日16:30-18:00 讲座地点 中国科学院数学与系统科学研究院南...
A surface EMG signal identification method based on time-varying autoregressive model is presented. To fully utilize the nonstationary character of the EMG signal, time-varying AR model is employed to get the signal's frequency representation. Singular value decomposition is then used to extract feat...
In most social and information systems the activity of agents generates rapidly evolving time-varying networks. The temporal variation in networks' connectivity patterns and the ongoing dynamic processes are usually coupled in ways that still challenge o
Kavtaradze, L. and Mokhtari, M. (2018). Factor models and time-varying parameter framework for forecasting exchange rates and inflation: a survey. Journal of Economic Surveys, 32(2).Kavtaradze, L.; Mokhtari, M. Factor Models and Time-Varying Parameter Framework for Forecasting Exchange Rates...
but the end point was still used as a starting point to compute the likelihood of the ensuing observation). Then, the predictive accuraciy was computed using the out-of-sample cross-validation described before. This analysis was repeated for a range of thresholds (varyingCfrom 10 down to 1)...
Model averaging has become a crucial statistical methodology, especially in situations where numerous models vie to elucidate a phenomenon. Over the past two decades, there has been substantial advancement in the theory of model averaging. However, a gap remains in the field regarding model averaging...
The two dimensions of model uncertainty are, however, non-negligible, especially when the stock market is under stress (e.g., during the oil price shock in the 1970s). Finally, we investigate the importance of individual predictive variables within the models with time-varying coefficients. We...
A New Time-varying Model for Complexity Assessment To overcome these limitations, we recently introduced novel time-varying complexity measures that can be applied to stochastic discrete series such as the ones related to heartbeat dynamics7,8. These novel measures are fully embedded in the probabili...
The third approach to break reciprocity, inspired by recent efforts in electromagnetics and acoustics36,37, has been based on materials with time-varying properties. This scheme has received growing interest, since it is easier to be integrated and broadly applicable compared to the first two approa...