Zobrazeno 1 - 10
of 180
pro vyhledávání: '"Kirch, Claudia"'
This paper considers a semiparametric approach within the general Bayesian linear model where the innovations consist of a stationary, mean zero Gaussian time series. While a parametric prior is specified for the linear model coefficients, the autoco
Externí odkaz:
http://arxiv.org/abs/2409.16207
Anomaly detection in random fields is an important problem in many applications including the detection of cancerous cells in medicine, obstacles in autonomous driving and cracks in the construction material of buildings. Such anomalies are often vis
Externí odkaz:
http://arxiv.org/abs/2311.09961
Publikováno v:
Electron. J. Statist. 18 (2) 3021 - 3106, 2024
Statistical depth functions provide measures of the outlyingness, or centrality, of the elements of a space with respect to a distribution. It is a nonparametric concept applicable to spaces of any dimension, for instance, multivariate and functional
Externí odkaz:
http://arxiv.org/abs/2308.09869
This paper presents a novel approach to Bayesian nonparametric spectral analysis of stationary multivariate time series. Starting with a parametric vector-autoregressive model, the parametric likelihood is nonparametrically adjusted in the frequency
Externí odkaz:
http://arxiv.org/abs/2306.04966
Based on a novel dynamic Whittle likelihood approximation for locally stationary processes, a Bayesian nonparametric approach to estimating the time-varying spectral density is proposed. This dynamic frequency-domain based likelihood approximation is
Externí odkaz:
http://arxiv.org/abs/2303.11561
Autor:
Kirch, Claudia, Reckruehm, Kerstin
In this paper we propose new methodology for the data segmentation, also known as multiple change point problem, in a general framework including classic mean change scenarios, changes in linear regression but also changes in the time series structur
Externí odkaz:
http://arxiv.org/abs/2207.07396
Publikováno v:
In Computational Statistics and Data Analysis November 2024 199
Autor:
Cho, Haeran, Kirch, Claudia
The problem of quantifying uncertainty about the locations of multiple change points by means of confidence intervals is addressed. The asymptotic distribution of the change point estimators obtained as the local maximisers of moving sum statistics i
Externí odkaz:
http://arxiv.org/abs/2106.12844
Autor:
Cho, Haeran, Kirch, Claudia
Publikováno v:
In Econometrics and Statistics April 2024 30:76-95
Various nonparametric approaches for Bayesian spectral density estimation of stationary time series have been suggested in the literature, mostly based on the Whittle likelihood approximation. A generalization of this approximation has been proposed
Externí odkaz:
http://arxiv.org/abs/2103.01357