Under-reported time-varying MINAR(1) process for modeling multivariate count series.

A time-varying multivariate integer-valued autoregressive of order one (tvMINAR(1)) model is introduced for the non-stationary time series of correlated counts when under-reporting is likely present. A non-diagonal autoregression probability network is structured to preserve the cross-correlation of multivariate series, provide a necessary condition to ease model-fittings computations, and derive the full likelihood using the Viterbi algorithm. The motivating construction applies to fully under-reported counts that rely on a mixture presentation of the random thinning operator. Simulation studies are conducted to examine the proposed model, and the analysis of COVID-19 daily cases is accomplished to highlight its usefulness in applications. Finally, the comparison of models is presented using the posterior predictive checking method.

Forecasting COVID-19 pandemic using optimal singular spectrum analysis.

Coronavirus disease 2019 (COVID-19) is a pandemic that has affected all countries in the world. The aim of this study is to examine the potential advantages of Singular Spectrum Analysis (SSA) for forecasting the number of daily confirmed cases, deaths, and recoveries caused by COVID-19, which are the three main variables of interest. This paper contributes to the literature on forecasting COVID-19 pandemic in several ways. Firstly, an algorithm is proposed to calculate the optimal parameters of SSA including window length and the number of leading components. Secondly, the results of two forecasting approaches in the SSA, namely vector and recurrent forecasting, are compared to those from other commonly used time series forecasting techniques. These include Autoregressive Integrated Moving Average (ARIMA), Fractional ARIMA (ARFIMA), Exponential Smoothing, TBATS, and Neural Network Autoregression (NNAR). Thirdly, the best forecasting model is chosen based on the accuracy measure Root Mean Squared Error (RMSE), and it is applied to forecast 40 days ahead. These forecasts can help us to predict the future behaviour of this disease and make better decisions. The dataset of Center for Systems Science and Engineering (CSSE) at Johns Hopkins University is adopted to forecast the number of daily confirmed cases, deaths, and recoveries for top ten affected countries until October 29, 2020. The findings of this investigation show that no single model can provide the best model for any of the countries and forecasting horizons considered here. However, the SSA technique is found to be viable option for forecasting the number of daily confirmed cases, deaths, and recoveries caused by COVID-19 based on the number of times that it outperforms the competing models.

A grouped beta process model for multivariate resting-state EEG microstate analysis on twins.

EEG microstate analysis investigates the collection of distinct temporal blocks that characterize the electrical activity of the brain. Brain activity within each microstate is stable, but activity switches rapidly between different microstates in a nonrandom way. We propose a Bayesian nonparametric model that concurrently estimates the number of microstates and their underlying behaviour. We use a Markov switching vector autoregressive (VAR) framework, where a hidden Markov model (HMM) controls the nonrandom state switching dynamics of the EEG activity and a VAR model defines the behaviour of all time points within a given state. We analyze the resting-state EEG data from twin pairs collected through the Minnesota Twin Family Study, consisting of 70 epochs per participant, where each epoch corresponds to 2 s of EEG data. We fit our model at the twin pair level, sharing information within epochs from the same participant and within epochs from the same twin pair. We capture within twin-pair similarity, using an Indian buffet process, to consider an infinite library of microstates, allowing each participant to select a finite number of states from this library. The state spaces of highly similar twins may completely overlap while dissimilar twins could select distinct state spaces. In this way, our Bayesian nonparametric model defines a sparse set of states that describe the EEG data. All epochs from a single participant use the same set of states and are assumed to adhere to the same state switching dynamics in the HMM model, enforcing within-participant similarity.

L'analyse des micro-états d'un électroencéphalogramme (EEG) porte sur une collection de différents blocs temporels caractérisant l'activité électrique du cerveau. L'activité cérébrale est stable à l'intérieur de chaque bloc, mais elle varie rapidement entre les différents micro-états de façon non aléatoire. Les auteurs proposent un modèle bayésien non paramétrique qui estime simultanément le nombre de micro-états et leur comportement sous-jacent. Ils utilisent le cadre de vecteurs autorégressifs (VAR) markoviens commutants où un modèle de Markov caché (MMC) contrôle les dynamiques de commutations non aléatoires de l'activité de l'EEG et le modèle de VAR définit le comportement à travers le temps pour un état donné. Ils analysent des données d'EEG au repos de paires de jumeaux collectées dans l'étude des jumeaux du Minnesota comportant 70 époques de deux secondes d'EEG chacune pour chaque participant. Les auteurs ajustent leur modèle au niveau des paires de jumeaux, partageant les informations d'un participant et de son jumeau pour une même époque. Ils capturent les similarités dans la paire de jumeaux avec un processus du buffet indien afin de constituer une bibliothèque infinie de micro-états et de permettre à chaque participant de choisir un ensemble fini d'états provenant de celle-ci. L'espace d'états de jumeaux très semblables peut se chevaucher entièrement alors que des jumeaux différents pourraient avoir des espaces distincts. Le modèle bayésien non paramétrique des auteurs définit ainsi un ensemble creux d'états qui décrivent les données d'EEG. Toutes les époques d'un même participant utilisent le même ensemble d'états, et elles doivent adhérer au même régime de changement d'état pour leur dynamique de commutation selon le MMC, forçant ainsi une similarité intra-participant.

Estimation of the linear mixed integrated Ornstein-Uhlenbeck model.

The linear mixed model with an added integrated Ornstein-Uhlenbeck (IOU) process (linear mixed IOU model) allows for serial correlation and estimation of the degree of derivative tracking. It is rarely used, partly due to the lack of available software. We implemented the linear mixed IOU model in Stata and using simulations we assessed the feasibility of fitting the model by restricted maximum likelihood when applied to balanced and unbalanced data. We compared different (1) optimization algorithms, (2) parameterizations of the IOU process, (3) data structures and (4) random-effects structures. Fitting the model was practical and feasible when applied to large and moderately sized balanced datasets (20,000 and 500 observations), and large unbalanced datasets with (non-informative) dropout and intermittent missingness. Analysis of a real dataset showed that the linear mixed IOU model was a better fit to the data than the standard linear mixed model (i.e. independent within-subject errors with constant variance).

Enhancing stock market trend reversal prediction using feature-enriched neural networks.

According to several previous studies, neural network-based stock price predictors perform better for plunging patterns of stock prices than normal stock price patterns. Focusing on this issue, this study proposes a novel method that uses a neural network-based stock price predictor to predict the upward trend-reversal of the plunging market itself. To achieve more consistent prediction results for plunging patterns, newly designed input features are added to improve the performance of traditionally used neural network-based predictors. The statistics of the prediction scores for past plunging markets and analyzed, and the results are used to predict the upward trend-reversal in the plunging market that occurred during the test period. We demonstrate the superiority of the proposed method through the simulation results of 3-year trading on KOSDAQ, a representative stock market in South Korea.

GARTFIMA process and its empirical spectral density based estimation.

In this article, we introduce a Gegenbauer autoregressive tempered fractionally integrated moving average process. We work on the spectral density and autocovariance function for the introduced process. The parameter estimation is done using the empirical spectral density with the help of the nonlinear least square technique and the Whittle likelihood estimation technique. The performance of the proposed estimation techniques is assessed on simulated data. Further, the introduced process is shown to better model the real-world data in comparison to other time series models.

Full Bayesian analysis of double seasonal autoregressive models with real applications.

We present a full Bayesian analysis of multiplicative double seasonal autoregressive (DSAR) models in a unified way, considering identification (best subset selection), estimation, and prediction problems. We assume that the DSAR model errors are normally distributed and introduce latent variables for the model lags, and then we embed the DSAR model in a hierarchical Bayes normal mixture structure. By employing the Bernoulli prior for each latent variable and the mixture normal and inverse gamma priors for the DSAR model coefficients and variance, respectively, we derive the full conditional posterior and predictive distributions in closed form. Using these derived conditional posterior and predictive distributions, we present the full Bayesian analysis of DSAR models by proposing the Gibbs sampling algorithm to approximate the posterior and predictive distributions and provide multi-step-ahead predictions. We evaluate the efficiency of the proposed full Bayesian analysis of DSAR models using an extensive simulation study, and we then apply our work to several real-world hourly electricity load time series datasets in 16 European countries.

Epidemic change-point detection in general integer-valued time series.

In this paper, we consider the structural change in a class of discrete valued time series, where the true conditional distribution of the observations is assumed to be unknown. The conditional mean of the process depends on a parameter θ∗ which may change over time. We provide sufficient conditions for the consistency and the asymptotic normality of the Poisson quasi-maximum likelihood estimator (QMLE) of the model. We consider an epidemic change-point detection and propose a test statistic based on the QMLE of the parameter. Under the null hypothesis of a constant parameter (no change), the test statistic converges to a distribution obtained from increments of a Browninan bridge. The test statistic diverges to infinity under the epidemic alternative, which establishes that the proposed procedure is consistent in power. The effectiveness of the proposed procedure is illustrated by simulated and real data examples.

Clustering regions with dynamic time warping to model obesity prevalence disparities in the United States.

Current methods for clustering adult obesity prevalence by state focus on creating a single map of obesity prevalence for a given year in the United States. Comparing these maps for different years may limit our understanding of the progression of state and regional obesity prevalence over time for the purpose of developing targeted regional health policies. In this application note, we adopt the non-parametric Dynamic Time Warping method for clustering longitudinal time series of obesity prevalence by state. This method captures the lead and lag relationship between the time series as part of the temporal alignment, allowing us to produce a single map that captures the regional and temporal clusters of obesity prevalence from 1990 to 2019 in the United States. We identify six regions of obesity prevalence in the United States and forecast future estimates of obesity prevalence based on ARIMA models.

Capturing asymmetry in COVID-19 counts using an improved skewness measure for time series data.

Capturing asymmetry among time series is an important area of research as it provides a range of information regarding the behaviour and distribution of the underlying series, which in turn proves to be useful for prediction. Classically, this can be achieved by modeling the skewness of the underlying series, usually using the standard measure. We present here an improved measure of skewness for time series which are integrated by a certain order, which is easy to calculate and proves to be advantageous over the existing one. We complement our methodology by implementing it to represent the heavy asymmetry among the daily COVID-19 case counts of several countries.•Improved skewness measure proves to be better than the usual skewness measure for time series data•This new measure is applied on COVID-19 daily counts to capture the asymmetry appropriately.

Adaptive Clustering and Feature Selection for Categorical Time Series Using Interpretable Frequency-Domain Features.

This article presents a novel approach to clustering and feature selection for categorical time series via interpretable frequency-domain features. A distance measure is introduced based on the spectral envelope and optimal scalings, which parsimoniously characterize prominent cyclical patterns in categorical time series. Using this distance, partitional clustering algorithms are introduced for accurately clustering categorical time series. These adaptive procedures offer simultaneous feature selection for identifying important features that distinguish clusters and fuzzy membership when time series exhibit similarities to multiple clusters. Clustering consistency of the proposed methods is investigated, and simulation studies are used to demonstrate clustering accuracy with various underlying group structures. The proposed methods are used to cluster sleep stage time series for sleep disorder patients in order to identify particular oscillatory patterns associated with sleep disruption.

MULTI-TARGET DETECTION WITH ROTATIONS.

We consider the multi-target detection problem of estimating a two-dimensional target image from a large noisy measurement image that contains many randomly rotated and translated copies of the target image. Motivated by single-particle cryo-electron microscopy, we focus on the low signal-to-noise regime, where it is difficult to estimate the locations and orientations of the target images in the measurement. Our approach uses autocorrelation analysis to estimate rotationally and translationally invariant features of the target image. We demonstrate that, regardless of the level of noise, our technique can be used to recover the target image when the measurement is sufficiently large.

Spike detection for calcium activity.

We present in this paper a global methodology for the spike detection in a biological context of fluorescence recording of GnRH-neurons calcium activity. For this purpose we first propose a simple stochastic model that could mimic experimental time series by considering an autoregressive AR(1) process with a linear trend and specific innovations involving spiking times. Estimators of parameters with asymptotic normality are established and used to set up a statistical test on estimated innovations in order to detect spikes. We compare several procedures and illustrate on biological data the performance of our procedure.

Testing for correlation between two time series using a parametric bootstrap.

We study the problem of determining if two time series are correlated in the mean and variance. Several test statistics, originally designed for determining the correlation between two mean processes or goodness-of-fit testing, are explored and formally introduced for determining cross-correlation in variance. Simulations demonstrate the theoretical asymptotic distribution can be ineffective in finite samples. Parametric bootstrapping is shown to be an effective tool in such an enterprise. A large simulation study is provided demonstrating the efficacy of the bootstrapping method. Lastly, an empirical example explores a correlation between the Standard & Poor's 500 index and the Euro/US dollar exchange rate while also demonstrating a level of robustness for the proposed method.

A dependent counting INAR model with serially dependent innovation.

To provide a more flexible model of count data, we extend the first-order integer-valued autoregressive model with serially dependent innovations based on the dependent thinning operator. This model is appropriate for modelling the number of dependent random events affecting each other when the number of new cases depend on the previous count through a linear functional relationship. Several statistical properties of the model are determined, parameters are estimated by some methods and their properties are studied via simulations. This study was carried out to investigate the efficiency of the new model by two real count data sets, the number of contagious diseases and robbery.

A statistical framework for measuring the temporal stability of human mobility patterns.

Despite the growing popularity of human mobility studies that collect GPS location data, the problem of determining the minimum required length of GPS monitoring has not been addressed in the current statistical literature. In this paper, we tackle this problem by laying out a theoretical framework for assessing the temporal stability of human mobility based on GPS location data. We define several measures of the temporal dynamics of human spatiotemporal trajectories based on the average velocity process, and on activity distributions in a spatial observation window. We demonstrate the use of our methods with data that comprise the GPS locations of 185 individuals over the course of 18 months. Our empirical results suggest that GPS monitoring should be performed over periods of time that are significantly longer than what has been previously suggested. Furthermore, we argue that GPS study designs should take into account demographic groups.

Generic and specific recurrent neural network models: Applications for large and small scale biopharmaceutical upstream processes.

The calculation of temporally varying upstream process outcomes is a challenging task. Over the last years, several parametric, semi-parametric as well as non-parametric approaches were developed to provide reliable estimates for key process parameters. We present generic and product-specific recurrent neural network (RNN) models for the computation and study of growth and metabolite-related upstream process parameters as well as their temporal evolution. Our approach can be used for the control and study of single product-specific large-scale manufacturing runs as well as generic small-scale evaluations for combined processes and products at development stage. The computational results for the product titer as well as various major upstream outcomes in addition to relevant process parameters show a high degree of accuracy when compared to experimental data and, accordingly, a reasonable predictive capability of the RNN models. The calculated values for the root-mean squared errors of prediction are significantly smaller than the experimental standard deviation for the considered process run ensembles, which highlights the broad applicability of our approach. As a specific benefit for platform processes, the generic RNN model is also used to simulate process outcomes for different temperatures in good agreement with experimental results. The high level of accuracy and the straightforward usage of the approach without sophisticated parameterization and recalibration procedures highlight the benefits of the RNN models, which can be regarded as promising alternatives to existing parametric and semi-parametric methods.

A Matrix-Variate t Model for Networks.

Networks represent a useful tool to describe relationships among financial firms and network analysis has been extensively used in recent years to study financial connectedness. An aspect, which is often neglected, is that network observations come with errors from different sources, such as estimation and measurement errors, thus a proper statistical treatment of the data is needed before network analysis can be performed. We show that node centrality measures can be heavily affected by random errors and propose a flexible model based on the matrix-variate t distribution and a Bayesian inference procedure to de-noise the data. We provide an application to a network among European financial institutions.

Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy.

Traffic management authorities in metropolitan areas use real-time systems that analyze high-frequency measurements from fixed sensors, to perform short-term forecasting and incident detection for various locations of a road network. Published research over the last 20 years focused primarily on modeling and forecasting of traffic volumes and speeds. Traffic occupancy approximates vehicular density through the percentage of time a sensor detects a vehicle within a pre-specified time interval. It exhibits weekly periodic patterns and heteroskedasticity and has been used as a metric for characterizing traffic regimes (e.g. free flow, congestion). This article presents a Bayesian three-step model building procedure for parsimonious estimation of Threshold-Autoregressive (TAR) models, designed for location- day- and horizon-specific forecasting of traffic occupancy. In the first step, multiple regime TAR models reformulated as high-dimensional linear regressions are estimated using Bayesian horseshoe priors. Next, significant regimes are identified through a forward selection algorithm based on Kullback-Leibler (KL) distances between the posterior predictive distribution of the full reference model and TAR models with fewer regimes. Given the regimes, the forward selection algorithm can be implemented again to select significant autoregressive terms. In addition to forecasting, the proposed specification and model-building scheme, may assist in determining location-specific congestion thresholds and associations between traffic dynamics observed in different regions of a network. Empirical results applied to data from a traffic forecasting competition, illustrate the efficacy of the proposed procedures in obtaining interpretable models and in producing satisfactory point and density forecasts at multiple horizons.

New developments in the forecasting of monthly overnight stays in the North Region of Portugal.

The Tourism sector is of strategic importance to the North Region of Portugal and is growing. Forecasting monthly overnight stays in this region is, therefore, a relevant problem. In this paper, we analyze data more recent than those considered in previous studies and use them to develop and compare several forecasting models and methods. We conclude that the best results are achieved by models based on a non-parametric approach not considered so far for these data, the singular spectrum analysis.