Feature matching in time series modeling

DOI10.1214/10-STS345MaRDI QIDQ635410zbMATH OpenOpenAlexFDO

Authors Yingcun Xia, Howell Tong

Publication date 19 August 2011

Published in Statistical Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.3073

zbMATH Keywords

data miningmaximum likelihoodnonlinear time seriesBayesian statisticsmisspecified modelscalibrationepidemiologymodel averagingleast squares estimationmeasurement errorsoptimal parameterperiodicityskeletonthreshold autoregressive modelsmeaslespopulation modelsACFobservation errorsfeature matchingblack-box modelsblowfliesBox's dictumcatch-all approachecological populationsfeature consistencymulti-step-ahead predictionsea levelsshort time seriesSIR epidemiological modelsubstantive modelssunspotsWhittle's likelihoodXT-likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Abstract: Using a time series model to mimic an observed time series has a long history. However, with regard to this objective, conventional estimation methods for discrete-time dynamical models are frequently found to be wanting. In fact, they are characteristically misguided in at least two respects: (i) assuming that there is a true model; (ii) evaluating the efficacy of the estimation as if the postulated model is true. There are numerous examples of models, when fitted by conventional methods, that fail to capture some of the most basic global features of the data, such as cycles with good matching periods, singularities of spectral density functions (especially at the origin) and others. We argue that the shortcomings need not always be due to the model formulation but the inadequacy of the conventional fitting methods. After all, all models are wrong, but some are useful if they are fitted properly. The practical issue becomes one of how to best fit the model to data. Thus, in the absence of a true model, we prefer an alternative approach to conventional model fitting that typically involves one-step-ahead prediction errors. Our primary aim is to match the joint probability distribution of the observable time series, including long-term features of the dynamics that underpin the data, such as cycles, long memory and others, rather than short-term prediction. For want of a better name, we call this specific aim feature matching.

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Cited in

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• Threshold models in time series analysis -- some reflections
• Generalized predictive information criteria for the analysis of feature events
• The variance profile
• Multi-step estimators and shrinkage effect in time series models
• Efficient nonparametric estimation of generalised autocovariances
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• Discussion of ``Feature matching in time series modeling by Y. Xia and H. Tong

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