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This document is an introduction to a special issue of the journal Econometrics, titled "High-Dimensional Time Series in Macroeconomics and Finance." The special issue was organized in relation to a workshop that took place in Vienna, which celebrated the 80th birthday of Manfred Deistler, a researcher who has made significant contributions to factor models and errors-in-variables models. The special issue includes papers that discuss Deistler's work, as well as papers on Bayesian factor analysis, regularity of multivariate stationary processes, modeling COVID-19 infection rates, and causal vector autoregression. The authors of the document declare no conflicts of interest. [Extracted from the article]

Spatial interaction models with spatial origin-destination (OD) filters are powerful tools to characterize trip flows in space, which is a classic and important problem in regional science. To the authors' knowledge, existing studies adopting OD filters mostly specify the spatial dependence as an autoregressive process, which may not be the full picture of spatial effects. To examine the problem, this paper proposes the hypotheses that 1) spatial OD dependences can take place in both the spatial autoregressive term and the spatial error term in a spatial interaction model. 2) Estimating a spatial autoregressive model with spatial autoregressive disturbances (SARAR) model with OD filters would disentangle where the spatial dependence exists and by how much. 3) The marginal effects obtained from SARAR models would be preferred to analysts when SARAR models outperform spatial autoregressive (SAR) models and spatial error models (SEM) from the statistical point of view. To assess these hypotheses, this paper specifies, estimates, and applies SARAR models with OD filters to investigate trip distributions. By comparing against alternative models, this paper investigates the estimation results in SAR, SEM and SARAR models using an empirical data collected from Hangzhou, China. The contribution of this paper is to be the first in developing an SARAR model with OD filters for trip distribution analyses and examining its performance. [ABSTRACT FROM AUTHOR]

The global economy experienced one of the most significant economic contractionsdue to the COVID-19 pandemic. The Romanian economy, which is strongly integrated into the European Union, contracted by over 10 percent in the second quarter of 2020, the strongest quarterly contraction in the last 25 years. Moreover, Romania's industrial structure still has to converge with that of the European Union, as it has a higher weight of low-technology manufacturing compared to other EU countries making it more vulnerable to the COVID-19 shock. In this context, this paper analyzes the dynamics of production and employment in the lowtechnology activities specific to the Romanian manufacturing industry and compares the dynamics in Romania with the main economies in the region and the EU average. The impact of the COVID-19 shock is also captured through an autoregressive vector model, which indicates a strong impact, especially for low-technology activities, which are more vulnerable to mobility restrictions and the acceleration of digitalization trends. [ABSTRACT FROM AUTHOR]

Sonar images have the characteristics of lower resolution and blurrier edges compared to optical images, which make the feature-matching method in underwater target tracking less robust. To solve this problem, we propose a particle filter (PF)-based underwater target-tracking method utilizing Zernike moment feature matching. Zernike moments are used to construct the feature-description vector for feature matching and contribute to the update of particle weights. In addition, the particle state transition method is optimized by using a first-order autoregressive model. In this paper, we compare Hu moments and Zernike moments, and we also compare whether to optimize the particle state transition on the tracking results or not based on the effects of each option. The experimental results based on the AUV (autonomous underwater vehicle) prove that the robustness and accuracy of this innovative method is better than the other combined methods mentioned in this paper. [ABSTRACT FROM AUTHOR]

In this paper, we are interested in the order estimation of an autoregressive model using the information criterion developed by El Matouat and Hallin (1996), which is based on stochastic complexity. This criterion is a generalization of the Hannan and Quinn criterion and provides a convergence of the model order estimator, but it depends on a parameter that is sensitive to the sample size. In order to select the exact order of the candidate model, we propose a method for identifying the values of this parameter from the sample using the information contained in sub-samples of increasing size. To study the performance of the proposed method in comparison with the usual criteria, we simulated samples from autoregressive models on which we applied our procedure. Simulation results support the relevance of our procedure when compared to the Akaike criterion, the Hannan and Quinn criterion, and the Schwarz criterion. [ABSTRACT FROM AUTHOR]

This paper proposed a multi-innovation Nesterov accelerated gradient (MNAG) parameter identification method for the autoregressive exogenous (ARX) model. First, a momentum acceleration term is added stochastic gradient descent (SGD) algorithm to increase the convergence rate of the SGD. Second, the parameter updating process is expanded from a single batch of current information iteration to the multiple batches of both previous and current information iteration, which extended the algorithm from single-innovation Nesterov accelerated gradient (NAG) to multi-innovation NAG parameter identification method. That enhances the algorithm's anti-noise and anti-abnormal data abilities, and its data utilization rate. Then, the convergence of the MNAG parameter identification method is proven. The effectiveness of the MNAG parameter identification method is verified by numerical simulation and the rotational speed system of a ring-pendulum double-sided polisher. [ABSTRACT FROM AUTHOR]

Deep learning technology has been successfully applied in more and more fields. In this paper, the application of deep neural networks in higher-order nonparametric spatial autoregressive models is studied. For spatial model, we propose the higher-order nonparametric spatial autoregressive neural network (HNSARNN) to fit the model. This method offers both good interpretability and prediction performance, and solves the black box problem in deep learning models to some degree. In various scenarios of spatial data distribution, the proposed method demonstrates superior performance compared to traditional approaches for handling nonparametric functions (such as the B-spline method). Simulation results show the effectiveness of the proposed model. [ABSTRACT FROM AUTHOR]

The network autoregressive model is a super high-dimensional time series model that can fully explain social relationships. This model can fully reflect the complex relationships in reality. Therefore, it plays a vital role in detecting the inflection point problem of this network autoregressive model for economics and finance. In this paper, we proposed the change-point problem of detecting network autoregressive models using empirical likelihood statistics based on the expected error term of the switching rule being 0, using the empirical likelihood method. Moreover, the asymptotic null distribution of the proposed empirical likelihood statistic was investigated. Simulation studies based on different settings were considered, and the results showed that the power of test statistics is significant. In the end, the Chinese stock market was investigated to demonstrate the significance of the proposed method. [ABSTRACT FROM AUTHOR]

Introduction: Functional magnetic resonance imaging (fMRI) has become a fundamental tool for studying brain function. However, the presence of serial correlations in fMRI data complicates data analysis, violates the statistical assumptions of analyses methods, and can lead to incorrect conclusions in fMRI studies. Methods: In this paper, we show that conventional whitening procedures designed for data with longer repetition times (TRs) (>2 s) are inadequate for the increasing use of short-TR fMRI data. Furthermore, we comprehensively investigate the shortcomings of existing whitening methods and introduce an iterative whitening approach named "IDAR" (Iterative Data-adaptive Autoregressivemodel) to address these shortcomings. IDAR employs high-order autoregressive (AR) models with flexible and data-driven orders, offering the capability to model complex serial correlation structures in both short-TR and long-TR fMRI datasets. Results: Conventional whiteningmethods, such as AR(1), ARMA(1,1), and higher-order AR, were effective in reducing serial correlation in long-TR data but were largely ineffective in even reducing serial correlation in short-TR data. In contrast, IDAR significantly outperformed conventional methods in addressing serial correlation, power, and Type-I error for both long-TR and especially short-TR data. However, IDAR could not simultaneously address residual correlations and inflated Type-I error effectively. Discussion: This study highlights the urgent need to address the problem of serial correlation in short-TR (<1 s) fMRI data, which are increasingly used in the field. Although IDAR can address this issue for a wide range of applications and datasets, the complexity of short-TR data necessitates continued exploration and innovative approaches. These efforts are essential to simultaneously reduce serial correlations and control Type-I error rates without compromising analytical power. [ABSTRACT FROM AUTHOR]

The vector autoregressive (VAR) model has been popularly employed in operational practice to study multivariate time series. Despite its usefulness in providing associated metrics such as the impulse response function (IRF) and forecast error variance decomposition (FEVD), the traditional VAR model estimated via the usual ordinary least squares is vulnerable to outliers. To handle potential outliers in multivariate time series, this paper investigates two robust estimation methods of the VAR model, the reweighted multivariate least trimmed squares and the multivariate MM-estimation. The robust information criteria are also proposed to select the appropriate number of temporal lags. Via extensive simulation studies, we show that the robust VAR models lead to much more accurate estimates than the original VAR in the presence of outliers. Our empirical results include logged daily realized volatilities of six common safe haven assets: futures of gold, silver, Brent oil and West Texas Intermediate (WTI) oil and currencies of Swiss Francs and Japanese Yen. Our sample covers July 2017–June 2020, which includes the history-writing price drop of WTI on April 20, 2020. Our baseline results suggest that the traditional VAR model may significantly overestimate some parameters, as well as IRF and FEVD metrics. In contrast, robust VAR models provide more reliable results, the validity of which is verified via various approaches. Empirical implications based on robust estimates are further illustrated. [ABSTRACT FROM AUTHOR]

The multivariate random coefficient autoregression (RCAR) process is widely used in time series modeling applications. Random autoregressive coefficients are usually assumed to be independent and identically distributed sequences of random variables. This paper investigates the issue of coefficient constancy testing in a class of static multivariate first-order random coefficient autoregressive models. We construct a new test statistic based on the locally most powerful-type test and derive its limiting distribution under the null hypothesis. The simulation compares the empirical sizes and powers of the LMP test and the empirical likelihood test, demonstrating that the LMP test outperforms the EL test in accuracy by 10.2%, 10.1%, and 30.9% under conditions of normal, Beta-distributed, and contaminated errors, respectively. We provide two sets of real data to illustrate the practical effectiveness of the LMP test. [ABSTRACT FROM AUTHOR]

This article examines the influence of specific time series attributes on the efficacy of fuel demand forecasting. By utilising autoregressive models and Markov chains, the research aims to determine the impact of these attributes on the effectiveness of specific models. The study also proposes modifications to these models to enhance their performance in the context of the fuel industry's unique fuel distribution. The research involves a comprehensive analysis, including identifying the impact of volatility, seasonality, trends, and sudden shocks within time series data on the suitability and accuracy of forecasting methods. The paper utilises ARIMA, SARIMA, and Markov chain models to assess their ability to integrate diverse time series features, improve forecast precision, and facilitate strategic logistical planning. The findings suggest that recognising and leveraging these time series characteristics can significantly enhance the management of fuel supplies, leading to reduced operational costs and environmental impacts. [ABSTRACT FROM AUTHOR]

Among several hydrological processes, river flow is an essential parameter that is vital for different water resources engineering activities. Although several methodologies have been adopted over the literature for modeling river flow, the limitation still exists in modeling the river flow time series curve. In this research, a functional quantile autoregressive of order one model was developed to characterize the entire conditional distribution of the river flow time series curve. Based on the functional principal component analysis, the regression parameter function was estimated using a multivariate quantile regression framework. For this purpose, hourly scale river flow collected from three rivers in Australia (Mary River, Lockyer Valley, and Albert River) were used to evaluate the finite‐sample performance of the proposed methodology. A series of Monte‐Carlo experiments and historical data sets were examined at three stations. Further, uncertainty analysis was adopted for the methodology evaluation. Compared with the existing methods, the proposed model provides more robust forecasts for outlying observations, non‐Gaussian and heavy‐tailed error distribution, and heteroskedasticity. Also, the proposed model has the merit of predicting the intervals of future realizations of river flow time series at the central and non‐central locations. The results confirmed the potential for predicting the river flow time series curve with a high level of accuracy in comparison with the benchmark existing functional time series methods. Plain Language Summary: This paper proposes a functional quantile autoregressive model of order one, which is used to predict the entire distribution of the realizations of river flow time series curve. The proposed model allows modeling the conditional quantiles of the response variable as a function of its past values of it. The proposed method for historical river flow curves is an excellent alternative to existing mean regression methods at the 0.5 quantile level (median regression). Also, as an advantage over existing methods, it offers a more thorough explanation of the connection among previous and future realizations of river flow curves at various quantile levels, providing a more extensive understanding of the relationship. Moreover, this feature of the proposed method allows for the effortless generation of pointwise prediction intervals for future realizations of river flow curves. The numerical results obtained by Monte Carlo experiments and empirical data analyses exhibit that, compared with existing methods, the proposed method produces competitive or even better forecasting results. The results also indicate that the future realizations of the river flow measurements are well covered by the prediction intervals constructed by the proposed method. Key Points: Predicting the mean and extreme values of the river flow curve is important for various applications in water resources managementThe FQAR(1) allows predicting the entire distribution of future realizations of the river flow curve as a function of its past values of itNumerical results based on river flow measurements collected from the Australia Continent confirmed the potential of the FQAR(1) [ABSTRACT FROM AUTHOR]

In this paper, a novel data-driven approach for the development of soft sensors (SSs) for multi-step-ahead prediction of industrial process variables is proposed. This method is based on the recent developments in Koopman operator theory and dynamic mode decomposition (DMD). It is derived from Hankel DMD with control (HDMDc) to deal with highly nonlinear dynamics using augmented linear models, exploiting input and output regressors. The proposed multi-step-ahead HDMDc (MSA-HDMDc) is designed to perform multi-step prediction and capture complex dynamics with a linear approximation for a highly nonlinear system. This enables the construction of SSs capable of estimating the output of a process over a long period of time and/or using the developed SSs for model predictive control purposes. Hyperparameter tuning and model order reduction are specifically designed to perform multi-step-ahead predictions. Two real-world case studies consisting of a sulfur recovery unit and a debutanizer column, which are widely used as benchmarks in the SS field, are used to validate the proposed methodology. Data covering multiple system operating points are used for identification. The proposed MSA-HDMDc outperforms currently adopted methods in the SSs domain, such as autoregressive models with exogenous inputs and finite impulse response models, and proves to be robust to the variability of systems operating points. [ABSTRACT FROM AUTHOR]

To address the limitations in predictive capabilities of thermal error models built from single-source, single-structure data, this paper proposes a thermal error prediction model based on decision-level fusion of multi-source heterogeneous information to enhance prediction accuracy. First, an experimental platform for multi-source heterogeneous information acquisition was constructed to collect thermal error data from different signal sources (multi-source) and different structures (heterogeneous). Next, based on the characteristics of the multi-source and heterogeneous data, relevant features were extracted to construct the feature set. Then, using the feature information set of the multi-source and heterogeneous data, thermal error prediction sub-models were established using Nonlinear Autoregressive models with exogenous inputs (NARX) and Gated Recurrent Units (GRUs) for a vertical machining center spindle. Finally, the entropy weight method was employed to assign the weights for the linear-weighted fusion rule, achieving decision-level fusion of multi-source heterogeneous information to obtain the final prediction result. This result was then compared with experimental results and the prediction results of single-source models. The findings indicate that the proposed thermal error prediction model closely matches the actual results and outperforms the single-source and single-structure data models in terms of Root-Mean-Square Error (RMSE), Coefficient of Determination (R2), and Mean Absolute Error (MAE). [ABSTRACT FROM AUTHOR]

This study developed a risk assessment tool for contract capacity optimization problems using the ant colony optimization and auto-regression model. Based on the historical data of demand consumption, the Least Square algorithm, the Recursive Levinson–Durbin algorithm, and the Burg algorithm were used to derive the auto-regression model. Then, ant colony optimization was used to search for the auto-regression model's best p-order parameters. To avoid the risk of setting the contract capacity, this paper designed the risk tolerance parameter β to correct the predicted value of the auto-regression model. Ant colony optimization was also used to search for the optimal contract capacity with risk assessment under the two-stage time-of-use and three-stage time-of-use. This study employed an industrial consumer with high voltage power in Taiwan as the research object, used the AR model to estimate the contract capacity under the risk assessment, and cut back electricity usage to reduce the operation cost. The results can be used as a basis to develop an efficient tool for industrial customers to select contract capacities with risks to obtain the best economic benefits. [ABSTRACT FROM AUTHOR]

Condition monitoring (CM) is the basis of prognostics and health management (PHM), which is gaining more and more importance in the industrial world. CM, which refers to the tracking of industrial equipment's state of health during operations, plays, in fact, a significant role in the reliability, safety, and efficiency of industrial operations. This paper proposes a data-driven CM approach based on the autoregressive (AR) modeling of the acquired sensor data and their analysis within frequency subbands. The number and size of the bands are determined with negligible human intervention, analyzing only the time–frequency representation of the signal of interest under normal system operating conditions. In particular, the approach exploits the synchrosqueezing transform to improve the signal energy distribution in the time–frequency plane, defining a multidimensional health indicator built on the basis of the AR power spectral density and the symmetric Itakura–Saito spectral distance. The described health indicator proved capable of detecting changes in the signal spectrum due to the occurrence of faults. After the initial definition of the bands and the calculation of the characteristics of the nominal AR spectrum, the procedure requires no further intervention and can be used for online condition monitoring and fault diagnosis. Since it is based on the comparison of spectra under different operating conditions, its applicability depends neither on the nature of the acquired signal nor on a specific system to be monitored. As an example, the effectiveness of the proposed method was favorably tested using real data available in the Case Western Reserve University (CWRU) Bearing Data Center, a widely known and used benchmark. [ABSTRACT FROM AUTHOR]

Many scholars have empirically tested the influence of geopolitical risk on economic activities and financial indicators. This paper attracts a new research strand by investigating the geopolitical risk determinants. More precisely, we examine if the international geopolitical risk of a selected group of countries spills over to Russia. Alternatively, it inspects if the geopolitical tension among nations is cointegrated. This group of countries includes the United States, Germany, China, and Ukraine. The current paper designed and computed an empirical model using the Autoregressive Distributed Lag model (ARDL) during the period 1993:01–2022:05. The results reveal that the international geopolitical risk of Russia is cointegrated with the other four nations. In the short run, the international geopolitical risk of the four nations spills over to Russia by increasing its international geopolitical risk. While in the long run, the same impacts persist. But the effect of the United States' geopolitical risk becomes statistically insignificant. The results also show that Germany has the largest effect on Russia's geopolitical risk in the long run. Moreover, the increase in oil prices overflows Russia by decreasing its international geopolitical risk. Thus, rival nations should reach a settlement to reduce the geopolitical tension. Otherwise, the world economic performance will deteriorate. [ABSTRACT FROM AUTHOR]

With the expansion and deployment of smart metering in power grid management and control, the need for security protection in the power system is continuously growing. However, the current construction of a comprehensive defense system for terminal data is inadequate. In this paper, we report a study on power loads to address the security challenges facing grid management, using the protection detection response recovery (PDRR) network security model as the basis. Firstly, we design an end-to-end security perception architecture using IoT technology and develop an optimization model for monitoring sensor information. In addition, we construct a data aggregation model that improves adversarial domain adaptation and incorporates deep convolutional neural networks to extract features. The proposed model enhances short-term load forecasting by combining linear predictions from autoregressive models with the nonlinear trend analysis capabilities of deep learning models. The performance of the proposed method is compared with those of the Adam and stochastic gradient descent (SGD) optimizers. Experimental results confirm that the proposed method ensures reliable data transmission, facilitates effective classification aggregation of heterogeneous data, and yields fast and accurate load forecasting results. Furthermore, the proposed method enhances the robustness of the model. [ABSTRACT FROM AUTHOR]

This paper develops a method for determining whether two vector time series originate from a common stochastic process. The stochastic process considered incorporates both serial correlations and multivariate annual cycles. Specifically, the process is modeled as a vector autoregressive model with periodic forcing, referred to as a VARX model (where X stands for exogenous variables). The hypothesis that two VARX models share the same parameters is tested using the likelihood ratio method. The resulting test can be further decomposed into a series of tests to assess whether disparities in the VARX models stem from differences in noise parameters, autoregressive parameters, or annual cycle parameters. A comprehensive procedure for compressing discrepancies between VARX models into a minimal number of components is developed based on discriminant analysis. Using this method, the realism of climate model simulations of monthly mean North Atlantic sea surface temperatures is assessed. As expected, different simulations from the same climate model cannot be distinguished stochastically. Similarly, observations from different periods cannot be distinguished. However, every climate model differs stochastically from observations. Furthermore, each climate model differs stochastically from every other model, except when they originate from the same center. In essence, each climate model possesses a distinct fingerprint that sets it apart stochastically from both observations and models developed by other research centers. The primary factor contributing to these differences is the difference in annual cycles. The difference in annual cycles is often dominated by a single component, which can be extracted and illustrated using discriminant analysis. [ABSTRACT FROM AUTHOR]

In this paper, we propose a new credibility model based on heterogeneous integer-valued self-exciting threshold autoregressive time series, in which the SETINAR(2,1) process is used to fit the claim numbers of policyholders for consecutive periods, and the unobservable heterogeneity is assumed to follow Gamma distribution. We obtain the Bayesian pricing formula for the proposed model and present some numerical examples to illustrate how the claim history affects the future premiums. We also apply the proposed model to a real panel dataset from the Wisconsin Local Government Property Insurance Fund. By comparing with some existing models, we find that our model can exploit the past information more efficiently and has better predictive performance. [ABSTRACT FROM AUTHOR]

This paper examines the macroeconomic effects of oil demand and supply shocks on an emerging market economy using a Bayesian vector autoregressive model combining zero and sign restrictions. The empirical analysis relies on a rich set of macroeconomic indicators mirroring the economic performance in Brazil. The effects on the Brazilian output of oil price changes driven by global demand shocks are much larger and more persistent than those driven by oil production. Oil price changes that are not related to changes in oil supply or global economic activity have a small impact on the Brazilian variables. The main policy implication of this study is that emerging market economies should identify correctly the source of oil price fluctuation for implementing the best economic policy. [ABSTRACT FROM AUTHOR]

In the present paper, a flexible skew version of the scale mixture of normal family is introduced based on the transmuted record type, called TRT-SMN, which seems suitable for handling any skewness and kurtosis in real data sets. Several properties of the TRT-SMN family are provided, including the moment generating function and r-th moments. The parameters of the new family are estimated through the ECME algorithm. Further to the elegant properties of the proposed family, the paper considers, in the time series context, a first-order autoregressive process with TRT-SMN distributed innovations. Some Monte Carlo simulation experiments are executed to assess the consistency of the ECME estimates. To further motivate its purpose, the proposed process is applied to analyze the series of COVID-19 incidence in Bavaria. The proposed AR(1) with TRT-SMN innovations yields superior fitting criteria compared to AR(1) process with Gaussian innovations. [ABSTRACT FROM AUTHOR]

The autoregressive model (AR) is one of the stochastic models in the time series that is used for forecasting. The AR model is affected by noise which has a distribution. The accuracy in choosing the noise distribution has an impact on the fit of the AR model to the data. This paper presents an AR model in which the noise has a Laplace distribution. And also, the Laplacian AR model is compared with the Gaussian AR model. The Bayesian approach was adopted to estimate the AR model parameters. The Binomial distribution was chosen as the prior distribution for the older model, the uniform distribution was chosen as the prior distribution for the AR model coefficients. The Bayesian estimator for the AR model parameters is calculated based on the posterior distribution with the help of the reversible jump algorithm Markov Chain Monte Carlo (MCMC). The results in this paper indicate that the reversible jump MCMC algorithm is categorized as valid in estimating the parameters of the AR model. Based on a simulation study, this paper shows that the Laplacian AR model can be used as an alternative to approximate an AR model that contains non-Gaussian noise. To support this finding, the research can be studied further from a theoretical point of view. With the help of the reversible jump MCMC algorithm, the Bayesian estimator for the AR model parameters is computed based on the posterior distribution. According to the findings of this paper, the reversible jump MCMC algorithm is suitable for estimating the parameters of the AR model. This research illustrates that the Laplacian AR model can be utilized as an alternative to approximate an AR model with non-Gaussian noise, based on a simulation analysis. The findings can be investigated further from a theoretical standpoint to support this finding. [ABSTRACT FROM AUTHOR]

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Rooted in dynamic systems theory, convergent cross mapping (CCM) has attracted increased attention recently due to its capability in detecting linear and nonlinear causal coupling in both random and deterministic settings. One limitation with CCM is that it uses both past and future values to predict the current value, which is inconsistent with the widely accepted definition of causality, where it is assumed that the future values of one process cannot influence the past of another. To overcome this obstacle, in our previous research, we introduced the concept of causalized convergent cross mapping (cCCM), where future values are no longer used to predict the current value. In this paper, we focus on the implementation of cCCM in causality analysis. More specifically, we demonstrate the effectiveness of cCCM in identifying both linear and nonlinear causal coupling in various settings through a large number of examples, including Gaussian random variables with additive noise, sinusoidal waveforms, autoregressive models, stochastic processes with a dominant spectral component embedded in noise, deterministic chaotic maps, and systems with memory, as well as experimental fMRI data. In particular, we analyze the impact of shadow manifold construction on the performance of cCCM and provide detailed guidelines on how to configure the key parameters of cCCM in different applications. Overall, our analysis indicates that cCCM is a promising and easy-to-implement tool for causality analysis in a wide spectrum of applications. [ABSTRACT FROM AUTHOR]

Diagnostic checking is an important predefined step before using autoregressive models. Although many portmanteau tests were proposed for diagnostic checking, they still struggle with the issue of significant size distortion. In this paper, we develop new diagnostic checking methods based on jackknife empirical likelihood. It is demonstrated that the suggested testing statistics asymptotically have a typical chi-squared distribution. To verify the performance of the finite sample, some simulations are constructed. Additionally, a real example of five agricultural futures is provided to illustrate the merits of our diagnostic checking procedure. [ABSTRACT FROM AUTHOR]

The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship between several market volatility drivers, such as daily leverage, signed volatility and jumps. Several known autoregressive model specifications are estimated over different market regimes, and results are compared to equity data as a reference benchmark of a more mature asset class. The panel estimations show that the positive market returns at the high-frequency level increase price volatility, contrary to what is expected from the classical financial literature. We attributed this effect to the price dynamics over the last year of the dataset (2022) by repeating the estimation on different time spans. Moreover, the positive signed volatility and negative daily leverage positively impact the cryptocurrencies' future volatility, unlike what emerges from the same study on a cross-section of stocks. This result signals a structural difference in a nascent cryptocurrency market that has to mature yet. Further individual-level analysis confirms the findings of the panel analysis and highlights that these effects are statistically significant and commonly shared among many components in the selected universe. [ABSTRACT FROM AUTHOR]

This paper examines the factors influencing Kosovo's economic growth from 2009 to 2022, specifically investigating the relationship between export, capital formation, consumption, and economic growth using co-integration analysis and the Vector Autoregressive Model (VAR). The findings indicate that exports of goods and services, as well as household consumption, negatively affect economic growth. Conversely, gross capital formation positively impacts economic growth. The study underscores the complexity of economic growth, highlighting the varied significance of different determinants in different contexts. Key findings reveal that while export and gross capital formation are significant contributors to economic growth, household consumption shows an insignificant relationship to GDP. This research contributes to the ongoing debate on the critical factors influencing economic growth, providing empirical evidence from the context of Kosovo and enhancing our understanding of these dynamics, thus offering new insights for policymakers. [ABSTRACT FROM AUTHOR]

Many semiparametric spatial autoregressive (SSAR) models have been used to analyze spatial data in a variety of applications; however, it is a common phenomenon that heteroscedasticity often occurs in spatial data analysis. Therefore, when considering SSAR models in this paper, it is allowed that the variance parameters of the models can depend on the explanatory variable, and these are called heterogeneous semiparametric spatial autoregressive models. In order to estimate the model parameters, a Bayesian estimation method is proposed for heterogeneous SSAR models based on B-spline approximations of the nonparametric function. Then, we develop an efficient Markov chain Monte Carlo sampling algorithm on the basis of the Gibbs sampler and Metropolis–Hastings algorithm that can be used to generate posterior samples from posterior distributions and perform posterior inference. Finally, some simulation studies and real data analysis of Boston housing data have demonstrated the excellent performance of the proposed Bayesian method. [ABSTRACT FROM AUTHOR]

In this paper, under some suitable assumptions, using the Taylor expansion, Borel–Cantelli lemma and the almost sure central limit theorem for independent random variables, the almost sure central limit theorem for error variance estimator in the pth-order nonlinear autoregressive processes with independent and identical distributed errors was established. Four examples, first-order autoregressive processes, self-exciting threshold autoregressive processes, threshold-exponential AR progresses and multilayer perceptrons progress, are given to verify the results. [ABSTRACT FROM AUTHOR]

The notion that investors shift to gold during economic market crises remains unverified for many cryptocurrency markets. This paper investigates the connectedness between the 10 most traded cryptocurrencies and gold as well as crude oil markets pre-COVID-19 and during COVID-19. Through the application of various statistical techniques, including cointegration tests, vector autoregressive models, vector error correction models, autoregressive distributed lag models, and Granger causality analyses, we explore the relationship between these markets and assess the safe-haven properties of gold and crude oil for cryptocurrencies. Our findings reveal that during the COVID-19 pandemic, gold is a strong safe-haven for Bitcoin, Litecoin, and Monero while demonstrating a weaker safe-haven potential for Bitcoin Cash, EOS, Chainlink, and Cardano. In contrast, gold only exhibits a strong safe-haven characteristic before the pandemic for Litecoin and Monero. Additionally, Brent crude oil emerges as a strong safe-haven for Bitcoin during COVID-19, while West Texas Intermediate and Brent crude oils demonstrate weaker safe-haven properties for Ether, Bitcoin Cash, EOS, and Monero. Furthermore, the Granger causality analysis indicates that before the COVID-19 pandemic, the causal relationship predominantly flowed from gold and crude oil toward the cryptocurrency markets; however, during the COVID-19 period, the direction of causality shifted, with cryptocurrencies exerting influence on the gold and crude oil markets. These findings provide subtle implications for policymakers, hedge fund managers, and individual or institutional cryptocurrency investors. Our results highlight the need to adapt risk exposure strategies during financial turmoil, such as the crisis precipitated by the COVID-19 pandemic. [ABSTRACT FROM AUTHOR]

This paper proposes the time‐heterogeneous Student's t autoregressive model as an alternative to the various volatility forecast models documented in the literature. The empirical results indicate that: (i) the proposed model has better forecasting performance than other commonly used models, and (ii) the problem of reliable risk measurement arises primarily from the model risk associated with risk forecast models rather than the particular risk measure for computing risk. Based on the results, the paper makes recommendations to regulators and practitioners. [ABSTRACT FROM AUTHOR]

This paper provides a computationally efficient and novel four-step methodological approach for predicting volatility estimators derived from bitcoin prices. In the first step, open, high, low, and close bitcoin prices are transformed into volatility estimators using Brownian motion assumptions and logarithmic transformations. The second step determines the optimal number of time-series lags required for converting the series into an autoregressive model. This selection process utilizes random forest regression, evaluating the importance of each lag using the Mean Decrease in Impurity (MDI) criterion and optimizing the number of lags considering an 85% cumulative importance threshold. The third step of the developed methodological approach fits the Elastic Net Regression (ENR) to the volatility estimator's dataset, while the final fourth step assesses the predictive accuracy of ENR, compared to decision tree (DTR), random forest (RFR), and support vector regression (SVR). The results reveal that the ENR prevails in its predictive accuracy for open and close prices, as these prices may be linear and less susceptible to sudden, non-linear shifts typically seen during trading hours. On the other hand, SVR prevails for high and low prices as these prices often experience spikes and drops driven by transient news and intra-day market sentiments, forming complex patterns that do not align well with linear modelling. [ABSTRACT FROM AUTHOR]

Recurrent neural network (RNN) models continue the theory of the autoregression integrated moving average (ARIMA) model class. In this paper, we consider the architecture of the RNN with embedded memory—«Process of Nonlinear Autoregressive Exogenous Model» (NARX). Though it is known that NN is a universal approximator, certain difficulties and restrictions in different NN applications are still topical and call for new approaches and methods. In particular, it is difficult for an NN to model noisy and significantly nonstationary time series. The paper suggests optimizing the modeling process for a complicated-structure time series by NARX networks involving wavelet filtering. The developed procedure of wavelet filtering includes the application of the construction of wavelet packets and stochastic thresholds. A method to estimate the thresholds to obtain a solution with a defined confidence level is also developed. We introduce the algorithm of wavelet filtering. It is shown that the proposed wavelet filtering makes it possible to obtain a more accurate NARX model and improves the efficiency of the forecasting process for a natural time series of a complicated structure. Compared to ARIMA, the suggested method allows us to obtain a more adequate model of a nonstationary time series of complex nonlinear structure. The advantage of the method, compared to RNN, is the higher quality of data approximation for smaller computation efforts at the stages of network training and functioning that provides the solution to the problem of long-term dependencies. Moreover, we develop a scheme of approach realization for the task of data modeling based on NARX and anomaly detection. The necessity of anomaly detection arises in different application areas. Anomaly detection is of particular relevance in the problems of geophysical monitoring and requires method accuracy and efficiency. The effectiveness of the suggested method is illustrated in the example of processing of ionospheric parameter time series. We also present the results for the problem of ionospheric anomaly detection. The approach can be applied in space weather forecasting to predict ionospheric parameters and to detect ionospheric anomalies. [ABSTRACT FROM AUTHOR]

The current paper empirically investigates the effect of environmental stress on economic growth in the Gulf Cooperation Council countries during 1995–2016. A panel cointegration analysis, specifically an autoregressive distributed lag model, is used to achieve the paper's goal. The present work is motivated by the high carbon dioxide emissions per capita and environmental stress in these countries relative to other countries, and it assumes that the income per capita is a function of the natural resource's rents and environmental stress. The findings show that environmental stress enhances economic growth, mainly in the long run. At the same time, the natural resources' rents improve it in the short run and impede it in the long run. These results are significant because they tell that the Gulf Cooperation Council countries' environmental stress did not reach critical levels that produce vast negative influences on the economy, and the resource curse hypothesis is valid in the long run. The current study's policy implication states that economic policymakers should monitor and evaluate future environmental stress outcomes in these countries. There is no guarantee that the positive influence prevails. Therefore, the Gulf Cooperation Council countries should adopt genuine procedures to diversify their economies. Besides, it should continue its initial steps to expand renewable energy resources, i.e., nuclear, wind, and solar. [ABSTRACT FROM AUTHOR]

In this paper, we introduce the concept of extended linear negative quadrant dependence (ELNQD, in short). We establish a new concentration inequalities and complete convergence for the distribution of sums of extended linear negative quadrant dependent random variables. Using these inequalities for proved the complete convergence of first autoregressive processes model generated by identically distributed ELNQD errors. [ABSTRACT FROM AUTHOR]

In this paper, we establish a new concentration inequality and almost complete convergence of the value of the process of autoregressive Hilbertian of order one (ARH (1)), which directly stems from works of Serge Guillas, Denis Bosq, that is defined by Xt = ρ(Xt-1) + ζt; t ε ... where the random variables are all Hilbertian, ρ is a linear operator on a space of separable Hilbert and ζt which constitute a widely orthant dependent error (WOD, in short) after recalling some results on the finite-dimensional model of this type, we introduce the mathematical and statistical tools which will be used afterwards. Then we build an estimator of the operator and we establish its asymptotic properties. [ABSTRACT FROM AUTHOR]

Financial technologies (fintechs) are continuously expanding, across different markets and financial services. While financial technologies bring many opportunities, such as reduced costs and extended inclusion, they also bring risks, among which include cyber risks, that are difficult to measure. One of the difficulties that arise in the measurement of cyber risks is the interdependence among cyber losses, a problem that has not yet been solved. To fill the gap, this paper proposes a multivariate model for cyber risks, based on their observed time series of counts. The time-varying intensity parameter of the model determines the probability that a cyber attack occurs, and its specification takes not only time but also sectorial interdependence into account. The effectiveness of the proposed model is demonstrated by means of a real cyber loss dataset, in which there exists time and sectorial dependence among different events. [ABSTRACT FROM AUTHOR]

This paper provides new insights into the growth-maximizing size of government in Turkey. Unlike previous studies that traditionally use the share of government spending in GDP as a proxy variable of government size, in this paper we consider a fairly large number of proxy variables ranging from the share of tax revenues in GDP to the share of public investment in total investment. After reviewing the potential non-linear relationship between government size and growth, we estimate various thresholds for government size that maximize growth. To this end, we use the threshold autoregressive model proposed by Hansen (1996: 413-430; 2000: 575-603)) and apply it to Turkey's annual time-series data for the period from 1974 to 2019. Overall, we arrive at the following main result: Government size is non-linearly related to growth, confirming the existence of a growth-maximizing threshold for any measure of government size, beyond which growth tends to slow down as government size continues to increase. More precisely, the results show that the estimated thresholds for government size lie within the range of 4.28–15.19%, depending on the definition or proxy variable representing government size. [ABSTRACT FROM AUTHOR]

The paper deals with Data Envelopment Analysis (DEA) models with advanced voting systems for ranking of candidates with penalties. The main aims of the system are to find a general winner and ranking of all candidates. Every voter gives the ranking of the first t-candidates and can give penalties to candidates who he/she surely does not want to vote for. Advanced voting systems are being used based on the use of data envelopment analysis models. The original contribution of the paper consists in the formulation of a new DEA/AR model with penalties. This model is derived from the DEA/AR model with penalties. The proposed models are illustrated on a simulated data set. This paper aims to compare DEA models with penalties. [ABSTRACT FROM AUTHOR]

In order to better demonstrate the relationship between agricultural economic structure growth and environmental pollution, an autoregressive model based on time-varying parameter vector was proposed. In the process of developing the research, this paper introduces the LDMI method, based on the time-varying parameter vector autoregression model, with the help of sampling formula calculation and other methods. Efforts were made to obtain credible conclusions. The experiment result shows that in this study, a total of 10,000 samples were taken. According to this value, 10000/116.15 = 86, which means that at least 86 unrelated samples can be obtained. Therefore, we can determine that each indicator mentioned in this paper has valid samples when it is introduced into the time-varying parameter vector autoregression (TVP-VAR) model for parameter estimation. After sampling detection image analysis and data calculation, the effect of energy structure, energy intensity industrial structure, and scale effect on the emission scale of environmental pollutants was obtained. It is proved that through the research of this paper, two main conclusions are finally obtained, and the influence of the five factors mentioned above is summarized. [ABSTRACT FROM AUTHOR]

This special issue of Business Systems Research (SI of BSR) is co-published by the Slovenian Society INFORMATIKA - Section for Operational Research (SSI-SOR) and highlights recent advances in operations research and management science (OR/MS), with a focus on linking OR/MS with other areas of quantitative and qualitative methods in a multidisciplinary framework. Nine papers that have been selected for this SI of BSR present improvements and new techniques (methodology) in operations research (OR) and their use in various fields of business, economics, spatial science and location. [ABSTRACT FROM AUTHOR]

To establish a safety monitoring method for the uplift pressure of concrete dams, spatiotemporal information from monitoring data is needed. In the present study, the method of ordering points to identify the clustering structure is employed to spatially cluster the uplift pressure measuring points at different locations on the dam; three distance indexes and two clustering evaluation indexes are used to realize clustering optimization and select the optimal clustering results. The Bayesian panel vector autoregressive model is used to establish the uplift stress safety monitoring model for each category of monitoring point. For a nonstationary sequence, the difference method is selected to ensure that the sequence is stable, and the prediction is carried out according to the presence or absence of exogenous variables. The result is that the addition of exogenous variables increases the accuracy of the model's forecast. Engineering examples show that the uplift pressure measurement points on the dam are divided into seven categories, and classification is based mainly on location and influencing factors. The multiple correlation coefficients of the training set and test set data of the BPVAR model are more than 0.80, and the prediction error of the validation set is lower than that of the Back Propagation neural network, XGBoost algorithm, and Support Vector Machines. The research in this paper provides some reference for seepage monitoring of concrete dams. [ABSTRACT FROM AUTHOR]