Non-parametric determination of real-time lag structure between two time series: The “optimal thermal causal path” method with applications to economic data

2006 ◽  
Vol 28 (1) ◽  
pp. 195-224 ◽  
Author(s):  
Wei-Xing Zhou ◽  
Didier Sornette
2021 ◽  
Author(s):  
Ilya Kashnitsky ◽  
Alexei Raksha ◽  
José Manuel Aburto ◽  
Jonas Schöley ◽  
James W Vaupel

NOTE: this is an early registration of the research idea and findings in form of slides for a talk presented at EAPS Mort workshop on 2021-09-22 (video: https://youtu.be/rOndHnuajH4?t=2370)Period Life Expectancy is the key summary measure of current mortality. Elimination of the direct influence of population age structure allows to meaningfully compare mortality levels and changes across the populations and over time. Calculation of life expectancy demands high quality detailed data on death and population counts disaggregated by sex and age. Such data is only available for the more developed countries. Moreover, even in the most developed countries, it becomes available with a considerable time lag. And for the majority of countries across the world timely and high quality deaths statistics is not available. In situations of mortality shocks such as the COVID–19 pandemic near real time mortality level comparisons are crucial.Building on the studied regularities of human mortality, we offer a method of reliable life expectancy short-casting based only on the time series of its previous values and the time series of total deaths counts observed in the population, not disaggregated by sex and age. The radical simplicity of the method allows to monitor changes in life expectancy in near real time, if time disaggregated (daily, weekly, or monthly) total death counts are available.


Author(s):  
Mark Bognanni

Economic data are routinely revised after they are initially released. I examine the extent to which the real-time reliability of six monthly macroeconomic indicators important to policymakers has remained stable over time by studying the time-series properties of their short-term and long-term revisions. I show that the revisions to many monthly economic indicators display systematic behaviors that policymakers could build into their real-time assessments. I also find that some indicators’ revision series have varied substantially over time, suggesting that these indicators may now be less useful in real time than they once were. Lastly, I find that substantial revisions tend to occur indefinitely after the initial data release, a result which suggests a certain degree of caution is in order when using even thrice-revised monthly data in policymaking.


1996 ◽  
Vol 06 (01) ◽  
pp. 101-117 ◽  
Author(s):  
WILLFRIED WIENHOLT ◽  
BERNHARD SENDHOFF

The mutual information and the redundancy are used in the time series analysis as tools to determine the best possible time-lag for successful phase space reconstruction. The known methods exhibit difficulties and inaccuracy when applied to noisy and small data sets. In this paper, we will introduce two methods to make a more reliable determination of the redundancy possible. Firstly, we will modify the Θ-function used in the correlation intergrals and, secondly, we will use the "Neural Gas" algorithm to calculate reference vectors and local radii, which enter the redundancy calculations. A clear differentiation between the redundancy and the mutual information on information theoretical background provides the path along which the new methods can be introduced and applied to the Mackey–Glass and Lorenz systems.


Author(s):  
Sofia Caires

In order to assess their relative merits in the context of the determination of metocean extremes, the annual maxima (AM) and the peaks over threshold (POT) approaches are compared in terms of their accuracy in estimating exceedance probabilities on the basis of time series with various lengths and with characteristic that mimic those of real time series, such as nonstationarity and serial dependence. Based on the results of this study, the use of the POT approach is recommended. Furthermore, the method of probability weighted moments (PWMs) is recommended for the estimation of the parameters of the generalized Pareto distribution (GPD).


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