分数驱动的时空数据建模。

IF 3 1区 数学 Q1 STATISTICS & PROBABILITY Journal of the American Statistical Association Pub Date : 2023-04-03 DOI:10.1080/01621459.2021.1970571
Francesca Gasperoni, Alessandra Luati, Lucia Paci, Enzo D'Innocenzo
{"title":"分数驱动的时空数据建模。","authors":"Francesca Gasperoni,&nbsp;Alessandra Luati,&nbsp;Lucia Paci,&nbsp;Enzo D'Innocenzo","doi":"10.1080/01621459.2021.1970571","DOIUrl":null,"url":null,"abstract":"<p><p>A simultaneous autoregressive score-driven model with autoregressive disturbances is developed for spatio-temporal data that may exhibit heavy tails. The model specification rests on a signal plus noise decomposition of a spatially filtered process,where the signal can be approximated by a nonlinear function of the past variables and a set of explanatory variables, while the noise follows a multivariate Student-t distribution. The key feature of the model is that the dynamics of the space-time varying signal are driven by the score of the conditional likelihood function.When the distribution is heavy-tailed, the score provides a robust update of the space-time varying location. Consistency and asymptotic normality ofmaximum likelihood estimators are derived along with the stochastic properties of the model. The motivating application of the proposed model comes from brain scans recorded through functional magnetic resonance imaging when subjects are at rest and not expected to react to any controlled stimulus. We identify spontaneous activations in brain regions as extreme values of a possibly heavy-tailed distribution, by accounting for spatial and temporal dependence.</p>","PeriodicalId":17227,"journal":{"name":"Journal of the American Statistical Association","volume":"118 542","pages":"1066-1077"},"PeriodicalIF":3.0000,"publicationDate":"2023-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7614622/pdf/","citationCount":"5","resultStr":"{\"title\":\"Score-Driven Modeling of Spatio-Temporal Data.\",\"authors\":\"Francesca Gasperoni,&nbsp;Alessandra Luati,&nbsp;Lucia Paci,&nbsp;Enzo D'Innocenzo\",\"doi\":\"10.1080/01621459.2021.1970571\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p><p>A simultaneous autoregressive score-driven model with autoregressive disturbances is developed for spatio-temporal data that may exhibit heavy tails. The model specification rests on a signal plus noise decomposition of a spatially filtered process,where the signal can be approximated by a nonlinear function of the past variables and a set of explanatory variables, while the noise follows a multivariate Student-t distribution. The key feature of the model is that the dynamics of the space-time varying signal are driven by the score of the conditional likelihood function.When the distribution is heavy-tailed, the score provides a robust update of the space-time varying location. Consistency and asymptotic normality ofmaximum likelihood estimators are derived along with the stochastic properties of the model. The motivating application of the proposed model comes from brain scans recorded through functional magnetic resonance imaging when subjects are at rest and not expected to react to any controlled stimulus. We identify spontaneous activations in brain regions as extreme values of a possibly heavy-tailed distribution, by accounting for spatial and temporal dependence.</p>\",\"PeriodicalId\":17227,\"journal\":{\"name\":\"Journal of the American Statistical Association\",\"volume\":\"118 542\",\"pages\":\"1066-1077\"},\"PeriodicalIF\":3.0000,\"publicationDate\":\"2023-04-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7614622/pdf/\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of the American Statistical Association\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1080/01621459.2021.1970571\",\"RegionNum\":1,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of the American Statistical Association","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/01621459.2021.1970571","RegionNum":1,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 5

摘要

针对可能出现重尾的时空数据,建立了具有自回归扰动的同步自回归分数驱动模型。模型规范依赖于空间滤波过程的信号加噪声分解,其中信号可以通过过去变量的非线性函数和一组解释变量来近似,而噪声则遵循多变量Student-t分布。该模型的关键特征是时空变化信号的动力学是由条件似然函数的分数驱动的。当分布是重尾分布时,分数提供了时空变化位置的鲁棒更新。导出了极大似然估计的相合性和渐近正态性,并给出了模型的随机性质。所提出的模型的激励应用来自于通过功能性磁共振成像记录的大脑扫描,当受试者处于休息状态,并且不期望对任何受控刺激做出反应时。通过考虑空间和时间依赖性,我们将大脑区域的自发激活识别为可能的重尾分布的极端值。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

摘要图片

摘要图片

摘要图片

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Score-Driven Modeling of Spatio-Temporal Data.

A simultaneous autoregressive score-driven model with autoregressive disturbances is developed for spatio-temporal data that may exhibit heavy tails. The model specification rests on a signal plus noise decomposition of a spatially filtered process,where the signal can be approximated by a nonlinear function of the past variables and a set of explanatory variables, while the noise follows a multivariate Student-t distribution. The key feature of the model is that the dynamics of the space-time varying signal are driven by the score of the conditional likelihood function.When the distribution is heavy-tailed, the score provides a robust update of the space-time varying location. Consistency and asymptotic normality ofmaximum likelihood estimators are derived along with the stochastic properties of the model. The motivating application of the proposed model comes from brain scans recorded through functional magnetic resonance imaging when subjects are at rest and not expected to react to any controlled stimulus. We identify spontaneous activations in brain regions as extreme values of a possibly heavy-tailed distribution, by accounting for spatial and temporal dependence.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
7.50
自引率
8.10%
发文量
168
审稿时长
12 months
期刊介绍: Established in 1888 and published quarterly in March, June, September, and December, the Journal of the American Statistical Association ( JASA ) has long been considered the premier journal of statistical science. Articles focus on statistical applications, theory, and methods in economic, social, physical, engineering, and health sciences. Important books contributing to statistical advancement are reviewed in JASA . JASA is indexed in Current Index to Statistics and MathSci Online and reviewed in Mathematical Reviews. JASA is abstracted by Access Company and is indexed and abstracted in the SRM Database of Social Research Methodology.
期刊最新文献
Identifiability and Consistent Estimation for Gaussian Chain Graph Models Data Science and Predictive Analytics: Biomedical and Health Applications using R, 2nd ed. Extremal Random Forests Quantitative Methods for Precision Medicine: Pharmacogenomics in Action. Graphical Principal Component Analysis of Multivariate Functional Time Series
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1