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Abstract Series of univariate distributions indexed by equally spaced time points are ubiquitous in applications and their analysis constitutes one of the challenges of the emerging field of distributional data analysis. To quantify such distributional time series, we propose a class of intrinsic autoregressive models that operate in the space of optimal transport maps. The autoregressive transport models that we introduce here are based on regressing optimal transport maps on each other, where predictors can be transport maps from an overall barycenter to a current distribution or transport maps between past consecutive distributions of the distributional time series. Autoregressive transport models and their associated distributional regression models specify the link between predictor and response transport maps by moving along geodesics in Wasserstein space. These models emerge as natural extensions of the classical autoregressive models in Euclidean space. Unique stationary solutions of autoregressive transport models are shown to exist under a geometric moment contraction condition of Wu & Shao [(2004) Limit theorems for iterated random functions. Journal of Applied Probability 41, 425–436)], using properties of iterated random functions. We also discuss an extension to a varying coefficient model for first-order autoregressive transport models. In addition to simulations, the proposed models are illustrated with distributional time series of house prices across U.S. counties and annual summer temperature distributions.
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This content will become publicly available on February 13, 2026
On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting
ABSTRACT The prediction of extreme events in time series is a fundamental problem arising in many financial, scientific, engineering, and other applications. We begin by establishing a general Neyman–Pearson‐type characterization of optimal extreme event predictors in terms of density ratios. This yields new insights and several closed‐form optimal extreme event predictors for additive models. These results naturally extend to time series, where we study optimal extreme event prediction for both light‐ and heavy‐tailed autoregressive and moving average models. Using a uniform law of large numbers for ergodic time series, we establish the asymptotic optimality of an empirical version of the optimal predictor for autoregressive models. Using multivariate regular variation, we obtain an expression for the optimal extremal precision in heavy‐tailed infinite moving averages, which provides theoretical bounds on the ability to predict extremes in this general class of models. We address the important problem of predicting solar flares by applying our theory and methodology to a state‐of‐the‐art time series consisting of solar soft x‐ray flux measurements. Our results demonstrate the success and limitations in solar flare forecasting of long‐memory autoregressive models and long‐range‐dependent, heavy‐tailed FARIMA models.
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- PAR ID:
- 10620887
- Publisher / Repository:
- https://doi.org/10.1111/jtsa.12820
- Date Published:
- Journal Name:
- Journal of Time Series Analysis
- ISSN:
- 0143-9782
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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