Temporal aggregation of multivariate GARCH processes

This paper derives results for the temporal aggregation of multivariate GARCH processes in the general vector specification. It is shown that the class of weak multivariate GARCH processes is closed under temporal aggregation. Fourth moment characteristics turn out to be crucial for the low frequency dynamics for both stock and flow variables. The framework used in this paper can easily be extended to investigate joint temporal and contemporaneous aggregation. Discussing causality in volatility, I find that there is not much room for spurious instantaneous causality in multivariate GARCH processes, but that spurious Granger causality will be more common however numerically insignificant. Forecasting volatility, it is generally advisable to aggregate forecasts of the disaggregate series rather than forecasting the aggregated series directly, and unlike for VARMA processes the advantage does not diminish for large forecast horizons. Finally, results are derived for the distribution of multivariate realized volatility if the high frequency process follows multivariate GARCH. A numerical example illustrates some of the resultsmultivariate GARCH, temporal aggregation, causality in volatility, forecasting volatility, realized volatility

Multilevel ensemble Kalman filtering for spatio-temporal processes

We design and analyse the performance of a multilevel ensemble Kalman filter method (MLEnKF) for filtering settings where the underlying state-space model is an infinite-dimensional spatio-temporal process. We consider underlying models that needs to be simulated by numerical methods, with discretization in both space and time. The multilevel Monte Carlo (MLMC) sampling strategy, achieving variance reduction through pairwise coupling of ensemble particles on neighboring resolutions, is used in the sample-moment step of MLEnKF to produce an efficient hierarchical filtering method for spatio-temporal models. Under sufficient regularity, MLEnKF is proven to be more efficient for weak approximations than EnKF, asymptotically in the large-ensemble and fine-numerical-resolution limit. Numerical examples support our theoretical findings.Comment: Version 1: 39 pages, 4 figures.arXiv admin note: substantial text overlap with arXiv:1608.08558 . Version 2 (this version): 52 pages, 6 figures. Revision primarily of the introduction and the numerical examples sectio

The clustering of polarity reversals of the geomagnetic field

Often in nature the temporal distribution of inhomogeneous stochastic point processes can be modeled as a realization of renewal Poisson processes with a variable rate. Here we investigate one of the classical examples, namely the temporal distribution of polarity reversals of the geomagnetic field. In spite of the commonly used underlying hypothesis, we show that this process strongly departs from a Poisson statistics, the origin of this failure stemming from the presence of temporal clustering. We find that a Levy statistics is able to reproduce paleomagnetic data, thus suggesting the presence of long-range correlations in the underlying dynamo process.Comment: 4 pages, in press on PRL (31 march 2006?

State estimation for temporal point processes

This paper is concerned with combined inference for point processes on the real line observed in a broken interval. For such processes, the classic history-based approach cannot be used. Instead, we adapt tools from sequential spatial point processes. For a range of models, the marginal and conditional distributions are derived. We discuss likelihood based inference as well as parameter estimation using the method of moments, conduct a simulation study for the important special case of renewal processes and analyse a data set collected by Diggle and Hawtin

Hierarchy of Temporal Responses of Multivariate Self-Excited Epidemic Processes

We present the first exact analysis of some of the temporal properties of multivariate self-excited Hawkes conditional Poisson processes, which constitute powerful representations of a large variety of systems with bursty events, for which past activity triggers future activity. The term "multivariate" refers to the property that events come in different types, with possibly different intra- and inter-triggering abilities. We develop the general formalism of the multivariate generating moment function for the cumulative number of first-generation and of all generation events triggered by a given mother event (the "shock") as a function of the current time $t$. This corresponds to studying the response function of the process. A variety of different systems have been analyzed. In particular, for systems in which triggering between events of different types proceeds through a one-dimension directed or symmetric chain of influence in type space, we report a novel hierarchy of intermediate asymptotic power law decays $\sim 1/t^{1-(m+1)\theta}$ of the rate of triggered events as a function of the distance $m$ of the events to the initial shock in the type space, where $0 < \theta <1$ for the relevant long-memory processes characterizing many natural and social systems. The richness of the generated time dynamics comes from the cascades of intermediate events of possibly different kinds, unfolding via a kind of inter-breeding genealogy.Comment: 40 pages, 8 figure

Temporal Gillespie algorithm: Fast simulation of contagion processes on time-varying networks

Stochastic simulations are one of the cornerstones of the analysis of dynamical processes on complex networks, and are often the only accessible way to explore their behavior. The development of fast algorithms is paramount to allow large-scale simulations. The Gillespie algorithm can be used for fast simulation of stochastic processes, and variants of it have been applied to simulate dynamical processes on static networks. However, its adaptation to temporal networks remains non-trivial. We here present a temporal Gillespie algorithm that solves this problem. Our method is applicable to general Poisson (constant-rate) processes on temporal networks, stochastically exact, and up to multiple orders of magnitude faster than traditional simulation schemes based on rejection sampling. We also show how it can be extended to simulate non-Markovian processes. The algorithm is easily applicable in practice, and as an illustration we detail how to simulate both Poissonian and non-Markovian models of epidemic spreading. Namely, we provide pseudocode and its implementation in C++ for simulating the paradigmatic Susceptible-Infected-Susceptible and Susceptible-Infected-Recovered models and a Susceptible-Infected-Recovered model with non-constant recovery rates. For empirical networks, the temporal Gillespie algorithm is here typically from 10 to 100 times faster than rejection sampling.Comment: Minor changes and updates to reference

Temporal networks of face-to-face human interactions

The ever increasing adoption of mobile technologies and ubiquitous services allows to sense human behavior at unprecedented levels of details and scale. Wearable sensors are opening up a new window on human mobility and proximity at the finest resolution of face-to-face proximity. As a consequence, empirical data describing social and behavioral networks are acquiring a longitudinal dimension that brings forth new challenges for analysis and modeling. Here we review recent work on the representation and analysis of temporal networks of face-to-face human proximity, based on large-scale datasets collected in the context of the SocioPatterns collaboration. We show that the raw behavioral data can be studied at various levels of coarse-graining, which turn out to be complementary to one another, with each level exposing different features of the underlying system. We briefly review a generative model of temporal contact networks that reproduces some statistical observables. Then, we shift our focus from surface statistical features to dynamical processes on empirical temporal networks. We discuss how simple dynamical processes can be used as probes to expose important features of the interaction patterns, such as burstiness and causal constraints. We show that simulating dynamical processes on empirical temporal networks can unveil differences between datasets that would otherwise look statistically similar. Moreover, we argue that, due to the temporal heterogeneity of human dynamics, in order to investigate the temporal properties of spreading processes it may be necessary to abandon the notion of wall-clock time in favour of an intrinsic notion of time for each individual node, defined in terms of its activity level. We conclude highlighting several open research questions raised by the nature of the data at hand.Comment: Chapter of the book "Temporal Networks", Springer, 2013. Series: Understanding Complex Systems. Holme, Petter; Saram\"aki, Jari (Eds.

Modelling of Dynamic Spatial Processes

The paper is concerned with econometric modeling of the dynamic spatial processes on the example of the GDP per capita in selected European countries. The considerations of the paper are focused on investigations of the structure of components of the spatio-temporal process. As a result of the analysis some specifications of the dynamic spatial models have been obtained. Next the issues of the estimation and verification of the models are presented. The main conclusion from the analysis is that the econometric models of the spatio-temporal processes ought to be of the dynamic character, e.g. considering the spatial and spatio-temporal trends and spatial, temporal and spatio-temporal autodependence as well.spatio-temporal trend, autocorrelation, spatial lag model, dynamic spatial model.