arXiv subjects

Mika Meitz

Publications and source records attributed to Mika Meitz.

8 recordsLinked to original sources

arXiv2026

Generative Predictive Distributions for Time Series

We propose a flexible framework for modeling the predictive distributions of nonlinear, possibly multivariate time series. Our approach expresses a general predictive distribution in an appropriate generative representation that is based on a folklore result from measure theoretic probability. This representation provides a direct simulation-based approximation to the predictive distribution, enabling straightforward computation of forecasts for the conditional mean and variance, fan charts, value at risk, expected shortfall, joint tail risks, and other quantities of interest. We estimate this generative representation using a version of conditional generative adversarial networks and provide a formal statistical analysis of estimation under weak temporal dependence. Specifically, estimation is expressed as a particular minimax problem and we establish consistency of its approximate solutions in Hausdorff distance. The empirical relevance of the approach is illustrated using applications to equity returns, realized variance, and realized covariances. The proposed method is also computationally manageable, with estimation in our applications taking approximately one minute on a standard laptop.

econ.EM↗

arXiv2025

Minimax asymptotics

In this paper, we consider asymptotics of the optimal value and the optimal solutions of parametric minimax estimation problems. Specifically, we consider estimators of the optimal value and the optimal solutions in a sample minimax problem that approximates the true population problem and study the limiting distributions of these estimators as the sample size tends to infinity. The main technical tool we employ in our analysis is the theory of sensitivity analysis of parameterized mathematical optimization problems. Our results go well beyond the existing literature and show that these limiting distributions are highly non-Gaussian in general and normal in simple specific cases. These results open up the way for the development of statistical inference methods in parametric minimax problems.

math.ST↗

arXiv2022

Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity

In this paper, we consider subgeometric (specifically, polynomial) ergodicity of univariate nonlinear autoregressions with autoregressive conditional heteroskedasticity (ARCH). The notion of subgeometric ergodicity was introduced in the Markov chain literature in 1980s and it means that the transition probability measures converge to the stationary measure at a rate slower than geometric; this rate is also closely related to the convergence rate of $\beta$-mixing coefficients. While the existing literature on subgeometrically ergodic autoregressions assumes a homoskedastic error term, this paper provides an extension to the case of conditionally heteroskedastic ARCH-type errors, considerably widening the scope of potential applications. Specifically, we consider suitably defined higher-order nonlinear autoregressions with possibly nonlinear ARCH errors and show that they are, under appropriate conditions, subgeometrically ergodic at a polynomial rate. An empirical example using energy sector volatility index data illustrates the use of subgeometrically ergodic AR-ARCH models.

econ.EM↗

arXiv2021

Statistical inference for generative adversarial networks and other minimax problems

This paper studies generative adversarial networks (GANs) from the perspective of statistical inference. A GAN is a popular machine learning method in which the parameters of two neural networks, a generator and a discriminator, are estimated to solve a particular minimax problem. This minimax problem typically has a multitude of solutions and the focus of this paper are the statistical properties of these solutions. We address two key statistical issues for the generator and discriminator network parameters, consistent estimation and confidence sets. We first show that the set of solutions to the sample GAN problem is a (Hausdorff) consistent estimator of the set of solutions to the corresponding population GAN problem. We then devise a computationally intensive procedure to form confidence sets and show that these sets contain the population GAN solutions with the desired coverage probability. Small numerical experiments and a Monte Carlo study illustrate our results and verify our theoretical findings. We also show that our results apply in general minimax problems that may be non-convex, non-concave, and have multiple solutions.

math.ST↗

arXiv2019

Subgeometric ergodicity and $β$-mixing

It is well known that stationary geometrically ergodic Markov chains are $β$-mixing (absolutely regular) with geometrically decaying mixing coefficients. Furthermore, for initial distributions other than the stationary one, geometric ergodicity implies $β$-mixing under suitable moment assumptions. In this note we show that similar results hold also for subgeometrically ergodic Markov chains. In particular, for both stationary and other initial distributions, subgeometric ergodicity implies $β$-mixing with subgeometrically decaying mixing coefficients. Although this result is simple it should prove very useful in obtaining rates of mixing in situations where geometric ergodicity can not be established. To illustrate our results we derive new subgeometric ergodicity and $β$-mixing results for the self-exciting threshold autoregressive model.

econ.EM↗

arXiv2019

Subgeometrically ergodic autoregressions

In this paper we discuss how the notion of subgeometric ergodicity in Markov chain theory can be exploited to study stationarity and ergodicity of nonlinear time series models. Subgeometric ergodicity means that the transition probability measures converge to the stationary measure at a rate slower than geometric. Specifically, we consider suitably defined higher-order nonlinear autoregressions that behave similarly to a unit root process for large values of the observed series but we place almost no restrictions on their dynamics for moderate values of the observed series. Results on the subgeometric ergodicity of nonlinear autoregressions have previously appeared only in the first-order case. We provide an extension to the higher-order case and show that the autoregressions we consider are, under appropriate conditions, subgeometrically ergodic. As useful implications we also obtain stationarity and $\beta$-mixing with subgeometrically decaying mixing coefficients.

econ.EM↗

arXiv2018

A mixture autoregressive model based on Student's $t$-distribution

A new mixture autoregressive model based on Student's $t$-distribution is proposed. A key feature of our model is that the conditional $t$-distributions of the component models are based on autoregressions that have multivariate $t$-distributions as their (low-dimensional) stationary distributions. That autoregressions with such stationary distributions exist is not immediate. Our formulation implies that the conditional mean of each component model is a linear function of past observations and the conditional variance is also time varying. Compared to previous mixture autoregressive models our model may therefore be useful in applications where the data exhibits rather strong conditional heteroskedasticity. Our formulation also has the theoretical advantage that conditions for stationarity and ergodicity are always met and these properties are much more straightforward to establish than is common in nonlinear autoregressive models. An empirical example employing a realized kernel series based on S&P 500 high-frequency data shows that the proposed model performs well in volatility forecasting.

econ.EM↗

arXiv2017

Testing for observation-dependent regime switching in mixture autoregressive models

Testing for regime switching when the regime switching probabilities are specified either as constants (`mixture models') or are governed by a finite-state Markov chain (`Markov switching models') are long-standing problems that have also attracted recent interest. This paper considers testing for regime switching when the regime switching probabilities are time-varying and depend on observed data (`observation-dependent regime switching'). Specifically, we consider the likelihood ratio test for observation-dependent regime switching in mixture autoregressive models. The testing problem is highly nonstandard, involving unidentified nuisance parameters under the null, parameters on the boundary, singular information matrices, and higher-order approximations of the log-likelihood. We derive the asymptotic null distribution of the likelihood ratio test statistic in a general mixture autoregressive setting using high-level conditions that allow for various forms of dependence of the regime switching probabilities on past observations, and we illustrate the theory using two particular mixture autoregressive models. The likelihood ratio test has a nonstandard asymptotic distribution that can easily be simulated, and Monte Carlo studies show the test to have satisfactory finite sample size and power properties.

econ.EM↗