mailitics

Tag: predictors

  • Supervised Dynamic Dimension Reduction with Deep Neural Network

    Supervised Dynamic Dimension Reduction with Deep Neural Network arXiv:2508.03546v1 Announce Type: new Abstract: This paper studies the problem of dimension reduction, tailored to improving time series forecasting with high-dimensional predictors. We propose a novel Supervised Deep Dynamic Principal component analysis (SDDP) framework that incorporates the target variable and lagged observations into the factor extraction process.…

  • Causal vs. Anticausal merging of predictors

    Causal vs. Anticausal merging of predictors arXiv:2501.08426v1 Announce Type: cross Abstract: We study the differences arising from merging predictors in the causal and anticausal directions using the same data. In particular we study the asymmetries that arise in a simple model where we merge the predictors using one binary variable as target and two continuous…