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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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4 results for “Variable-lag”
Variable-lag Granger Causality and Transfer Entropy for Time Series Analysiscs.LG

Develops variable-lag Granger causality and Transfer Entropy for time series analysis.

problem Fixed time delay assumption in Granger causality and Transfer Entropy does not hold in many applications.
method Variable-lag Granger causality and Transfer Entropy, using optimal warping path of Dynamic Time Warping (DTW).
result Proposed methods perform better than existing methods in both simulated and real-world datasets.
Granger causalityTransfer EntropyTime series analysisDynamic Time WarpingVariable-lag
2020-02-01abs ↗pdf ↗
Variable-lag Granger Causality for Time Series Analysiscs.LG

Develops variable-lag Granger causality for more accurate time series analysis.

problem Fixed time delay assumption in Granger causality does not fit many real-world applications.
method Variable-lag Granger causality, inferring with arbitrary time delays.
result Performs better than existing methods in coordinated collective behavior studies.
Granger causalitytime series analysisvariable-lagcausal inferencecoordinated behavior
2019-12-18abs ↗pdf ↗
Large Vector Auto Regressionsstat.ML

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine which variables and (their)…

2011-06-20abs ↗pdf ↗
A causal interactions indicator between two time series using extreme variations in the first eigenvalue of lagged correlation matricesq-fin.PM

Method identifies causal interactions between time series using extreme eigenvalue variability.

problem Detecting causal interactions between time series.
method Largest eigenvalue of lagged correlation matrices, measuring causal interactions through variability.
result The method outperforms traditional Granger causality tests in detecting structural changes.
time seriescausal interactionseigenvalueeigenvalue variabilitylagged correlation
2023-07-11abs ↗pdf ↗