In the paper, a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independentl...In the paper, a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common deterministic and stochastic factors. Monte Carlo results strongly support the proposed methodology, validating its use also for relatively small cross-sectional and temporal samples.展开更多
Network autoregression and factor model are effective methods for modeling network time series data.In this study,we propose a network autoregression model with a factor structure that incorporates a latent group stru...Network autoregression and factor model are effective methods for modeling network time series data.In this study,we propose a network autoregression model with a factor structure that incorporates a latent group structure to address nodal heterogeneity within the network.An iterative algorithm is employed to minimize a least-squares objective function,allowing for simultaneous estimation of both the parameters and the group structure.To determine the unknown number of groups and factors,a PIC criterion is introduced.Additionally,statistical inference of the estimated parameters is presented.To assess the validity of the proposed estimation and inference procedures,we conduct extensive numerical studies.We also demonstrate the utility of our model using a stock dataset obtained from the Chinese A-Share stock market.展开更多
Structural health monitoring(SHM)is a vast,interdisciplinary research field whose literature spans several decades with focusing on condition assessment of different types of structures including aerospace,mechanical ...Structural health monitoring(SHM)is a vast,interdisciplinary research field whose literature spans several decades with focusing on condition assessment of different types of structures including aerospace,mechanical and civil structures.The need for quantitative global damage detection methods that can be applied to complex structures has led to vibration-based inspection.Statistical time series methods for SHM form an important and rapidly evolving category within the broader vibration-based methods.In the literature on the structural damage detection,many time series-based methods have been proposed.When a considered time series model approximates the vibration response of a structure and model coefficients or residual error are obtained,any deviations in these coefficients or residual error can be inferred as an indication of a change or damage in the structure.Depending on the technique employed,various damage sensitive features have been proposed to capture the deviations.This paper reviews the application of time series analysis for SHM.The different types of time series analysis are described,and the basic principles are explained in detail.Then,the literature is reviewed based on how a damage sensitive feature is formed.In addition,some investigations that have attempted to modify and/or combine time series analysis with other approaches for better damage identification are presented.展开更多
Issues concerning spatial dependence among cross-sectional units in econometrics have received more and more attention,while in statistical modeling,rarely can the analysts have a priori knowledge of the dependency re...Issues concerning spatial dependence among cross-sectional units in econometrics have received more and more attention,while in statistical modeling,rarely can the analysts have a priori knowledge of the dependency relationship of the response variable with respect to independent variables.This paper proposes an automatic structure identification and variable selection procedure for semiparametric spatial autoregressive model,based on the generalized method of moments and the smooth-threshold estimating equations.The novel method is easily implemented without solving any convex optimization problems.Model identification consistency is theoretically established in the sense that the proposed method can automatically separate the linear and zero components from the varying ones with probability approaching to one.Detailed issues on computation and turning parameter selection are discussed.Some Monte Carlo simulations are conducted to demonstrate the finite sample performance of the proposed procedure.Two empirical applications on Boston housing price data and New York leukemia data are further considered.展开更多
The wave iterative method is a numerical method used in the electromagnetic modeling of high frequency electronic circuits. The object of the authors＇ study is to improve the convergence speed of this method by addin...The wave iterative method is a numerical method used in the electromagnetic modeling of high frequency electronic circuits. The object of the authors＇ study is to improve the convergence speed of this method by adding a new algorithm based on filtering techniques. This method requires a maximum number of iterations, noted Nmax, to achieve the convergence to the optimal value. This number wilt be reduced in order to reduce the computing time. The remaining iterations until Nmax will be calculated by the new algorithm which ensures a rapid convergence to the optimal result.展开更多
文摘In the paper, a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common deterministic and stochastic factors. Monte Carlo results strongly support the proposed methodology, validating its use also for relatively small cross-sectional and temporal samples.
基金Supported by National Natural Science Foundation of China(72222009,71991472)。
文摘Network autoregression and factor model are effective methods for modeling network time series data.In this study,we propose a network autoregression model with a factor structure that incorporates a latent group structure to address nodal heterogeneity within the network.An iterative algorithm is employed to minimize a least-squares objective function,allowing for simultaneous estimation of both the parameters and the group structure.To determine the unknown number of groups and factors,a PIC criterion is introduced.Additionally,statistical inference of the estimated parameters is presented.To assess the validity of the proposed estimation and inference procedures,we conduct extensive numerical studies.We also demonstrate the utility of our model using a stock dataset obtained from the Chinese A-Share stock market.
文摘Structural health monitoring(SHM)is a vast,interdisciplinary research field whose literature spans several decades with focusing on condition assessment of different types of structures including aerospace,mechanical and civil structures.The need for quantitative global damage detection methods that can be applied to complex structures has led to vibration-based inspection.Statistical time series methods for SHM form an important and rapidly evolving category within the broader vibration-based methods.In the literature on the structural damage detection,many time series-based methods have been proposed.When a considered time series model approximates the vibration response of a structure and model coefficients or residual error are obtained,any deviations in these coefficients or residual error can be inferred as an indication of a change or damage in the structure.Depending on the technique employed,various damage sensitive features have been proposed to capture the deviations.This paper reviews the application of time series analysis for SHM.The different types of time series analysis are described,and the basic principles are explained in detail.Then,the literature is reviewed based on how a damage sensitive feature is formed.In addition,some investigations that have attempted to modify and/or combine time series analysis with other approaches for better damage identification are presented.
基金supported by the Natural Science Foundation of Hunan Province(Grant 2022JJ30368)the National Natural Science Foundation of China(Grants 11801168,11801169,12071124)the Discovery Grants(RG/PIN261567-2013)from National Science and Engineering Council of Canada.
文摘Issues concerning spatial dependence among cross-sectional units in econometrics have received more and more attention,while in statistical modeling,rarely can the analysts have a priori knowledge of the dependency relationship of the response variable with respect to independent variables.This paper proposes an automatic structure identification and variable selection procedure for semiparametric spatial autoregressive model,based on the generalized method of moments and the smooth-threshold estimating equations.The novel method is easily implemented without solving any convex optimization problems.Model identification consistency is theoretically established in the sense that the proposed method can automatically separate the linear and zero components from the varying ones with probability approaching to one.Detailed issues on computation and turning parameter selection are discussed.Some Monte Carlo simulations are conducted to demonstrate the finite sample performance of the proposed procedure.Two empirical applications on Boston housing price data and New York leukemia data are further considered.
文摘The wave iterative method is a numerical method used in the electromagnetic modeling of high frequency electronic circuits. The object of the authors＇ study is to improve the convergence speed of this method by adding a new algorithm based on filtering techniques. This method requires a maximum number of iterations, noted Nmax, to achieve the convergence to the optimal value. This number wilt be reduced in order to reduce the computing time. The remaining iterations until Nmax will be calculated by the new algorithm which ensures a rapid convergence to the optimal result.
