42,700 research outputs found
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
We propose a multivariate nonparametric technique for generating reliable historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and volatility matrix of a multivariate interest rate series. It is computationally feasible in large dimensions and it can account for non-linearities in the dependence of interest rates at all available maturities. Based on FGD we apply filtered historical simulation to compute reliable out-of-sample yield curve scenarios and confidence intervals. We back-test our methodology on daily USD bond data for forecasting horizons from 1 to 10 days. Based on several statistical performance measures we find significant evidence of a higher predictive power of our method when compared to scenarios generating techniques based on (i) factor analysis, (ii) a multivariate CCC-GARCH model, or (iii) an exponential smoothing volatility estimators as in the RiskMetrics approachConditional mean and volatility estimation; Filtered Historical Simulation; Functional Gradient Descent; Term structure; Multivariate CCC-GARCH models
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
We propose a multivariate nonparametric technique for generating reliable shortterm historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and covariance matrix of a multivariate interest rate series. It is computationally feasible in large dimensions and it can account for non-linearities in the dependence of interest rates at all available maturities. Based on FGD we apply filtered historical simulation to compute reliable out-of-sample yield curve scenarios and confidence intervals. We back-test our methodology on daily USD bond data for forecasting horizons from 1 to 10 days. Based on several statistical performance measures we find significant evidence of a higher predictive power of our method when compared to scenarios generating techniques based on (i) factor analysis, (ii) a multivariate CCC-GARCH model, or (iii) an exponential smoothing covariances estimator as in the RiskMetricsTM approach.Conditional mean and variance estimation, Filtered Historical Simulation, Functional Gradient Descent, Term structure; Multivariate CCC-GARCH models
The generalized shrinkage estimator for the analysis of functional connectivity of brain signals
We develop a new statistical method for estimating functional connectivity
between neurophysiological signals represented by a multivariate time series.
We use partial coherence as the measure of functional connectivity. Partial
coherence identifies the frequency bands that drive the direct linear
association between any pair of channels. To estimate partial coherence, one
would first need an estimate of the spectral density matrix of the multivariate
time series. Parametric estimators of the spectral density matrix provide good
frequency resolution but could be sensitive when the parametric model is
misspecified. Smoothing-based nonparametric estimators are robust to model
misspecification and are consistent but may have poor frequency resolution. In
this work, we develop the generalized shrinkage estimator, which is a weighted
average of a parametric estimator and a nonparametric estimator. The optimal
weights are frequency-specific and derived under the quadratic risk criterion
so that the estimator, either the parametric estimator or the nonparametric
estimator, that performs better at a particular frequency receives heavier
weight. We validate the proposed estimator in a simulation study and apply it
on electroencephalogram recordings from a visual-motor experiment.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS396 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Conditional Spectral Analysis of Replicated Multiple Time Series with Application to Nocturnal Physiology
This article considers the problem of analyzing associations between power
spectra of multiple time series and cross-sectional outcomes when data are
observed from multiple subjects. The motivating application comes from sleep
medicine, where researchers are able to non-invasively record physiological
time series signals during sleep. The frequency patterns of these signals,
which can be quantified through the power spectrum, contain interpretable
information about biological processes. An important problem in sleep research
is drawing connections between power spectra of time series signals and
clinical characteristics; these connections are key to understanding biological
pathways through which sleep affects, and can be treated to improve, health.
Such analyses are challenging as they must overcome the complicated structure
of a power spectrum from multiple time series as a complex positive-definite
matrix-valued function. This article proposes a new approach to such analyses
based on a tensor-product spline model of Cholesky components of
outcome-dependent power spectra. The approach flexibly models power spectra as
nonparametric functions of frequency and outcome while preserving geometric
constraints. Formulated in a fully Bayesian framework, a Whittle likelihood
based Markov chain Monte Carlo (MCMC) algorithm is developed for automated
model fitting and for conducting inference on associations between outcomes and
spectral measures. The method is used to analyze data from a study of sleep in
older adults and uncovers new insights into how stress and arousal are
connected to the amount of time one spends in bed
Smoothing -penalized estimators for high-dimensional time-course data
When a series of (related) linear models has to be estimated it is often
appropriate to combine the different data-sets to construct more efficient
estimators. We use -penalized estimators like the Lasso or the Adaptive
Lasso which can simultaneously do parameter estimation and model selection. We
show that for a time-course of high-dimensional linear models the convergence
rates of the Lasso and of the Adaptive Lasso can be improved by combining the
different time-points in a suitable way. Moreover, the Adaptive Lasso still
enjoys oracle properties and consistent variable selection. The finite sample
properties of the proposed methods are illustrated on simulated data and on a
real problem of motif finding in DNA sequences.Comment: Published in at http://dx.doi.org/10.1214/07-EJS103 the Electronic
Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Multivariate exponential smoothing for forecasting tourist arrivals to Australia and New Zealand
In this paper we propose a new set of multivariate stochastic models that capture time varying seasonality within the vector innovations structural time series (VISTS) framework. These models encapsulate exponential smoothing methods in a multivariate setting. The models considered are the local level, local trend and damped trend VISTS models with an additive multivariate seasonal component. We evaluate their performances for forecasting international tourist arrivals from eleven source countries to Australia and New Zealand.Holt-Wintersâ method, Stochastic seasonality, Vector innovations state space models.
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