Data-driven portmanteau tests for time series

Test ◽  
2022 ◽  
Author(s):  
Roberto Baragona ◽  
Francesco Battaglia ◽  
Domenico Cucina
Keyword(s):  
Time Series ◽  
Data Driven ◽  
Portmanteau Tests

scholarly journals QUANTILE DOUBLE AUTOREGRESSION

2021 ◽  
pp. 1-47
Author(s):  
Qianqian Zhu ◽  
Guodong Li
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Simulation Studies ◽  
Finite Sample ◽  
Conditional Quantile ◽  
New Model ◽  
Conditional Quantiles ◽  
Financial Time ◽  
Portmanteau Tests ◽  
Strict Stationarity

Many financial time series have varying structures at different quantile levels, and also exhibit the phenomenon of conditional heteroskedasticity at the same time. However, there is presently no time series model that accommodates both of these features. This paper fills the gap by proposing a novel conditional heteroskedastic model called “quantile double autoregression”. The strict stationarity of the new model is derived, and self-weighted conditional quantile estimation is suggested. Two promising properties of the original double autoregressive model are shown to be preserved. Based on the quantile autocorrelation function and self-weighting concept, three portmanteau tests are constructed to check the adequacy of the fitted conditional quantiles. The finite sample performance of the proposed inferential tools is examined by simulation studies, and the need for use of the new model is further demonstrated by analyzing the S&P500 Index.

scholarly journals Data-driven filtration and segmentation of mesoscale neural dynamics

2021 ◽  
Author(s):  
Sydney C. Weiser ◽  
Brian R. Mullen ◽  
Desiderio Ascencio ◽  
James B. Ackman
Keyword(s):  
Time Series ◽  
Information Flow ◽  
Background Noise ◽  
Activity Patterns ◽  
Data Driven ◽  
Neural Dynamics ◽  
Cortical Surface ◽  
Cerebral Function ◽  
Spatial Segmentation ◽  
Video Recordings

Recording neuronal group activity across the cortical hemispheres from awake, behaving mice is essential for understanding information flow across cerebral networks. Video recordings of cerebral function comes with challenges, including optical and movement-associated vessel artifacts, and limited references for time series extraction. Here we present a data-driven workflow that isolates artifacts from calcium activity patterns, and segments independent functional units across the cortical surface. Independent Component Analysis utilizes the statistical interdependence of pixel activation to completely unmix signals from background noise, given sufficient spatial and temporal samples. We also utilize isolated signal components to produce segmentations of the cortical surface, unique to each individual’s functional patterning. Time series extraction from these maps maximally represent the underlying signal in a highly compressed format. These improved techniques for data pre-processing, spatial segmentation, and time series extraction result in optimal signals for further analysis.

scholarly journals Estimating infection-related human mobility networks based on time series data of COVID-19 infection in Japan

2021 ◽  
Author(s):  
Tetsuya Yamada ◽  
Shoi Shi
Keyword(s):  
Time Series ◽  
Infectious Diseases ◽  
Time Series Data ◽  
Human Mobility ◽  
Emerging Infectious Diseases ◽  
Human Movement ◽  
Data Driven ◽  
Disease Spread ◽  
Series Data ◽  
Data Infrastructure

Comprehensive and evidence-based countermeasures against emerging infectious diseases have become increasingly important in recent years. COVID-19 and many other infectious diseases are spread by human movement and contact, but complex transportation networks in 21 century make it difficult to predict disease spread in rapidly changing situations. It is especially challenging to estimate the network of infection transmission in the countries that the traffic and human movement data infrastructure is not yet developed. In this study, we devised a method to estimate the network of transmission of COVID-19 from the time series data of its infection and applied it to determine its spread across areas in Japan. We incorporated the effects of soft lockdowns, such as the declaration of a state of emergency, and changes in the infection network due to government-sponsored travel promotion, and predicted the spread of infection using the Tokyo Olympics as a model. The models used in this study are available online, and our data-driven infection network models are scalable, whether it be at the level of a city, town, country, or continent, and applicable anywhere in the world, as long as the time-series data of infections per region is available. These estimations of effective distance and the depiction of infectious disease networks based on actual infection data are expected to be useful in devising data-driven countermeasures against emerging infectious diseases worldwide.

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