Zobrazeno 1 - 10
of 41
pro vyhledávání: '"Efstathios Paparoditis"'
Autor:
Efstathios Paparoditis, Han Lin Shang
Publikováno v:
Journal of the American Statistical Association. :1-15
A bootstrap procedure for constructing prediction bands for a stationary functional time series is proposed. The procedure exploits a general vector autoregressive representation of the time-reversed series of Fourier coefficients appearing in the Ka
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fd6b3af718434eb2328f20f48d67523d
https://doi.org/10.1080/01621459.2021.1963262
https://doi.org/10.1080/01621459.2021.1963262
Autor:
Jonas Krampe, Efstathios Paparoditis
Publikováno v:
Journal of Time Series Analysis. 42:554-579
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ad8c18be389c2cccd2713b07dee3bc97
https://doi.org/10.1111/jtsa.12586
https://doi.org/10.1111/jtsa.12586
Publikováno v:
SSRN Electronic Journal.
We show that internationally diversified portfolios carry sizeable political risk premia. Using a portfolio selection model with tail risk, we obtain political efficient frontiers from skewed return distributions to manage political risk, and design
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e4a42dc605d999db57bb82e4bada1d56
https://doi.org/10.2139/ssrn.3891070
https://doi.org/10.2139/ssrn.3891070
Publikováno v:
Ann. Statist. 48, no. 4 (2020), 2404-2427
Existing frequency domain methods for bootstrapping time series have a limited range. Essentially, these procedures cover the case of linear time series with independent innovations, and some even require the time series to be Gaussian. In this paper
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5eae7fad0c9cb0cc2a08321bc7138e33
https://projecteuclid.org/euclid.aos/1597370678
https://projecteuclid.org/euclid.aos/1597370678
Autor:
Efstathios Paparoditis, Han Lin Shang
Publikováno v:
Springer Proceedings in Mathematics & Statistics ISBN: 9783030573058
A sieve bootstrap method that incorporates model uncertainty for constructing pointwise or simultaneous prediction intervals of stationary functional time series is proposed. The bootstrap method exploits a general backward vector autoregressive repr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::087870a02aa2d6f32391a69fe3d05e50
https://doi.org/10.1007/978-3-030-57306-5_37
https://doi.org/10.1007/978-3-030-57306-5_37
The problem of comparing the entire second order structure of two functional processes is considered and a $L^2$-type statistic for testing equality of the corresponding spectral density operators is investigated. The test statistic evaluates, over a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5c51eb5ca0a6cdc1e1a3e24fe89fa741
Publikováno v:
Journal of Time Series Analysis. 39:356-379
Two modifications of the autoregressive†sieve and of the autoregressive bootstrap are proposed. The first modification replaces the classical i.i.d. resampling scheme applied to the residuals of the autoregressive fit by the generation of i.i.d.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::72047eddc5c3e880abba238275ee2f7f
https://doi.org/10.1111/jtsa.12275
https://doi.org/10.1111/jtsa.12275
Autor:
Efstathios Paparoditis
Publikováno v:
Journal of Time Series Analysis. 43:154-154
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f5fce69e97947c2d9f41a904dca68317
https://doi.org/10.1111/jtsa.12581
https://doi.org/10.1111/jtsa.12581
Fitting sparse models to high-dimensional time series is an important area of statistical inference. In this paper, we consider sparse vector autoregressive models and develop appropriate bootstrap methods to infer properties of such processes. Our b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e722df2b5b9a78ab5c184e1576794f14
Publikováno v:
Journal of Time Series Analysis. 36:416-441
We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme applied to a full rank integrat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::74a48edbf9144fa221e81e70567f86c1
https://doi.org/10.1111/jtsa.12088
https://doi.org/10.1111/jtsa.12088