Zobrazeno 1 - 10
of 446
pro vyhledávání: '"Kokoszka, Piotr"'
Autor:
Kim, Mihyun, Kokoszka, Piotr
We propose a coefficient that measures dependence in paired samples of functions. It has properties similar to the Pearson correlation, but differs in significant ways: 1) it is designed to measure dependence between curves, 2) it focuses only on ext
Externí odkaz:
http://arxiv.org/abs/2405.17318
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Data Analysis. It is based on a model akin to the stochastic volatility
Externí odkaz:
http://arxiv.org/abs/2404.11813
For a broad class of nonlinear time series known as Bernoulli shifts, we establish the asymptotic normality of the smoothed periodogram estimator of the long-run variance. This estimator uses only a narrow band of Fourier frequencies around the origi
Externí odkaz:
http://arxiv.org/abs/2404.02643
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday price evolution. The curves are suitably normalized to stationary in a fun
Externí odkaz:
http://arxiv.org/abs/2305.04112
Publikováno v:
In Journal of Multivariate Analysis January 2025 205
We develop a test of normality for spatially indexed functions. The assumption of normality is common in spatial statistics, yet no significance tests, or other means of assessment, have been available for functional data. This paper aims at filling
Externí odkaz:
http://arxiv.org/abs/2106.15839
Data consisting of time-indexed distributions of cross-sectional or intraday returns have been extensively studied in finance, and provide one example in which the data atoms consist of serially dependent probability distributions. Motivated by such
Externí odkaz:
http://arxiv.org/abs/2006.12640
The paper is concerned with asymptotic properties of the principal components analysis of functional data. The currently available results assume the existence of the fourth moment. We develop analogous results in a setting which does not require thi
Externí odkaz:
http://arxiv.org/abs/1812.03108
Autor:
Kokoszka, Piotr, Kulik, Rafał
Publikováno v:
In Journal of Multivariate Analysis January 2023 193
Akademický článek
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