Quantile Regression for Multivariate Time Series Models with Functional Coefficients

具有函数系数的多元时间序列模型的分位数回归

• 批准号: 0906482
• 负责人: Jiancheng Jiang
• 金额: $ 10万
• 依托单位: University of North Carolina at Charlotte
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2009
• 资助国家: 美国
• 起止时间: 2009-07-15 至 2012-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0906482&HistoricalAwards=false
• 关键词: Quantile; Regression; Multivariate; Time; Series

This award is funded under the American Recovery and Reinvestment Act of 2009 (Public Law 111-5)Quantile regression receives increasing attention in econometrics and statistics for its advantages over mean regression. For multivariate nonlinear time series, there is little solid mathematical theory on quantile regression in the literature, although much work has been contributed using the maximum likelihood or least squares estimation. In this research project the investigator develops spatial quantile regression modeling theory of multivariate nonlinear time series data with multivariate exogeneous variables. Several multivariate functional-coefficient models and associated estimation methods are proposed. From a theoretical perspective, the investigator and his colleagues study asymptotic properties of the estimators, variable selection, and parametric and nonparametric hypothesis testing for the proposed models, based on the global/local spatial quantile regression. The novel modeling approaches open a prosperous avenue of research in the multivariate nonlinear realm and are expected to stimulate others to address a number of problems which remain beyond the reach of existing models and techniques. The computational method for implementation of the proposed methodology is also considered. In financial markets, multiple time series are usually related. For example, the yields of three-month, six-month and twelve-month Treasury bills are highly related and exhibit co-movement. For such multivariate time series data, one should use multivariate models. Although univariate models for each time series may be employed, they are not able to capture the relationship among different time series and may not be efficient. Since nonlinear features widely exist in economic data, it is important to develop some multivariate nonlinear modeling techniques. The investigator proposes flexible multivariate nonlinear models and introduces cutting edge techniques to refine the models and to achieve robustness and efficiency of estimation. This is very important because it relaxes restrictive assumptions frequently used in statistical and economic research and hence enables us to achieve more accurate and realistic results. The proposed variable selection method is important because economic data often include many variables. Which variables should be chosen for the problems of interest? Decisions in variable selection are often arbitrary. The research will provide elegant methods to identify those relevant variables and enable investigators to make reliable decisions. The proposed hypothesis testing methods are also important because they allow one to refine the models. After fitting a model, a relationship between variables is discovered. Is this discovery true in the real situations? With the aid of the proposed hypothesis testing methods, the question can be correctly answered with high probability, and hence the rate of error in discovery can be reduced.

该奖项是根据2009年美国复苏和再投资法案（公法111-5）资助的。对于多元非线性时间序列，分位数回归的数学理论在文献中很少，虽然已经有很多工作使用最大似然或最小二乘估计。本研究发展了具有多元外生变量的多元非线性时间序列数据的空间分位数回归建模理论。提出了几种多元函数系数模型及其估计方法。从理论的角度来看，研究者和他的同事研究的估计量，变量选择，参数和非参数假设检验提出的模型的渐近性质，基于全局/局部空间分位数回归。新的建模方法在多元非线性领域的研究开辟了一条繁荣的道路，预计将刺激他人解决一些问题，仍然超出了现有的模型和技术。所提出的方法的实施的计算方法也被认为是。 在金融市场中，多个时间序列通常是相关的。例如，3个月、6个月和12个月期国库券的收益率高度相关，表现出协同运动。 对于这样的多变量时间序列数据，应该使用多变量模型。虽然可以采用针对每个时间序列的单变量模型，但是它们不能捕获不同时间序列之间的关系，并且可能不是有效的。由于经济数据中广泛存在非线性特征，因此发展多元非线性建模技术具有重要意义。研究者提出了灵活的多元非线性模型，并引入了尖端技术来完善模型，并实现估计的鲁棒性和效率。 这是非常重要的，因为它放宽了统计和经济研究中经常使用的限制性假设，从而使我们能够获得更准确和更现实的结果。由于经济数据往往包含许多变量，因此所提出的变量选择方法很重要。对于感兴趣的问题，应该选择哪些变量？变量选择中的决定往往是任意的。该研究将提供优雅的方法来识别这些相关变量，并使调查人员能够做出可靠的决定。 所提出的假设检验方法也很重要，因为它们允许人们改进模型。在拟合模型之后，发现变量之间的关系。这个发现在真实的情况下是正确的吗？借助于所提出的假设检验方法，可以以高概率正确回答问题，从而可以降低发现中的错误率。