Change points in heavy‐tailed multivariate time series: Methods using precision matrices
Bibliographic record
Abstract
Abstract We propose two robust data‐driven techniques for detecting network structure change points between heavy‐tailed multivariate time series for situations where both the placement and number of change points are unknown. The first technique utilizes the graphical lasso method to estimate the change points, whereas the second technique utilizes the tlasso method. The techniques not only locate the change points but also estimate an undirected graph (or precision matrix) representing the relationship between the time series within each interval created by pairs of adjacent change points. An inference procedure on the edges is used in the graphs to effectively remove false‐positive edges, which are caused by the data deviating from normality. The techniques are compared using simulated multivariate t‐distributed (heavy‐tailed) time series data and the best method is applied to two financial returns data sets of stocks and indices. The results illustrate the method's ability to determine how the dependence structure of the returns changes over time. This information could potentially be used as a tool for portfolio optimization.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.009 | 0.046 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.004 | 0.003 |
| Science and technology studies | 0.001 | 0.002 |
| Scholarly communication | 0.002 | 0.003 |
| Open science | 0.003 | 0.002 |
| Research integrity | 0.002 | 0.003 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".