Zobrazeno 1 - 10
of 71
pro vyhledávání: '"Leucht, Anne"'
In this paper we consider the construction of simultaneous confidence bands for the spectral density of a stationary time series using a Gaussian approximation for classical lag-window spectral density estimators evaluated at the set of all positive
Externí odkaz:
http://arxiv.org/abs/2407.12316
This paper extends the Lee-Carter model for single- and multi-populations to account for pandemic jump effects of vanishing kind, allowing for a more comprehensive and accurate representation of mortality rates during a pandemic, characterised by a h
Externí odkaz:
http://arxiv.org/abs/2311.04920
Autor:
Leucht, Anne, Neumann, Michael H.
We propose a new model for nonstationary integer-valued time series which is particularly suitable for data with a strong trend. In contrast to popular Poisson-INGARCH models, but in line with classical GARCH models, we propose to pick the conditiona
Externí odkaz:
http://arxiv.org/abs/2307.01315
Autor:
Beering, Carina, Leucht, Anne
We provide a functional central limit theorem for a broad class of smooth functions for possibly noncausal multivariate linear processes with time-varying coefficients. Since the limiting processes depend on unknown quantities, we propose a local blo
Externí odkaz:
http://arxiv.org/abs/2209.15263
We derive mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we prove absolute regularity at a geometric rate not only for stationary Poisson-GARCH processe
Externí odkaz:
http://arxiv.org/abs/2011.05854
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:
http://arxiv.org/abs/2004.03412
The problem of testing equality of the entire second order structure of two independent functional linear processes is considered. A fully functional $L^2$-type test is developed which evaluates, over all frequencies, the Hilbert-Schmidt distance bet
Externí odkaz:
http://arxiv.org/abs/1804.03366
Publikováno v:
In Journal of Multivariate Analysis May 2022 189
We consider a general monotone regression estimation where we allow for independent and dependent regressors. We propose a modification of the classical isotonic least squares estimator and establish its rate of convergence for the integrated $L_1$-l
Externí odkaz:
http://arxiv.org/abs/1710.04813
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