Understanding temporal aggregation effects on kurtosis in financial indices
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DOI: 10.1016/j.jeconom.2020.07.035
Abstract: Abstract Indices of financial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the sampling interval increases. This paper uses stochastic unit root (STUR) and continuous time analysis to explain the… read more here.
Keywords: kurtosis; financial indices; temporal aggregation; continuous time ... See more keywords
Recurrent Temporal Aggregation Framework for Deep Video Inpainting
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DOI: 10.1109/tpami.2019.2958083
Abstract: Video inpainting aims to fill in spatio-temporal holes in videos with plausible content. Despite tremendous progress on deep learning-based inpainting of a single image, it is still challenging to extend these methods to video domain… read more here.
Keywords: video; deep video; recurrent temporal; video inpainting ... See more keywords
The effect of temporal aggregation level in social network monitoring
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DOI: 10.1371/journal.pone.0209075
Abstract: Social networks have become ubiquitous in modern society, which makes social network monitoring a research area of significant practical importance. Social network data consist of social interactions between pairs of individuals that are temporally aggregated… read more here.
Keywords: aggregation; social network; network; network monitoring ... See more keywords
Conditional Temporal Aggregation for Time Series Forecasting Using Feature-Based Meta-Learning
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DOI: 10.3390/a16040206
Abstract: We present a machine learning approach for applying (multiple) temporal aggregation in time series forecasting settings. The method utilizes a classification model that can be used to either select the most appropriate temporal aggregation level… read more here.
Keywords: series; meta; temporal aggregation; time series ... See more keywords