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stat.ME2026
Estimating the Conditional Forecast-Revision Scale in Sequential Models: Local-Smoothing Limits, Matched Models, and Cost--Accuracy Trade-offs
Hui-Mean Foo, Yuan-chin Ivan Chang
The \emph{conditional forecast-revision scale} $\It=\{\Var(\E[X_{t+1}\mid\F_t]\mid\F_{t-1})\}^{1/2}$ measures the history-specific size of the forecast update induced by observing…
stat.ME2025
PCA-Guided Quantile Sampling: Preserving Data Structure in Large-Scale Subsampling
Foo Hui-Mean, Yuan-chin Ivan Chang
We introduce Principal Component Analysis guided Quantile Sampling (PCA QS), a novel sampling framework designed to preserve both the statistical and geometric structure of large s…