Zobrazeno 1 - 10
of 158
pro vyhledávání: '"Luati, Alessandra"'
High-dimensional panels of time series arise in many scientific disciplines such as neuroscience, finance, and macroeconomics. Often, co-movements within groups of the panel components occur. Extracting these groupings from the data provides a course
Externí odkaz:
http://arxiv.org/abs/2407.13314
A multivariate score-driven filter is developed to extract signals from noisy vector processes. By assuming that the conditional location vector from a multivariate Student's t distribution changes over time, we construct a robust filter which is abl
Externí odkaz:
http://arxiv.org/abs/2009.01517
Neuroimaging is the growing area of neuroscience devoted to produce data with the goal of capturing processes and dynamics of the human brain. We consider the problem of inferring the brain connectivity network from time dependent functional magnetic
Externí odkaz:
http://arxiv.org/abs/2005.11785
Autor:
Catania, Leopoldo, Luati, Alessandra
Publikováno v:
In Journal of Econometrics December 2023 237(2) Part B
Publikováno v:
In Journal of Econometrics August 2023 235(2):470-483
This paper derives the analytic form of the $h$-step ahead prediction density of a GARCH(1,1) process under Gaussian innovations, with a possibly asymmetric news impact curve. The contributions of the paper consists both in the derivation of the anal
Externí odkaz:
http://arxiv.org/abs/1812.08409
Autor:
Luati, Alessandra, Novelli, Marco
Publikováno v:
In Computational Statistics and Data Analysis June 2021 158
Autor:
Catania, Leopoldo, Luati, Alessandra
Publikováno v:
In Econometrics and Statistics August 2021
Autor:
Proietti, Tommaso, Luati, Alessandra
Publikováno v:
Statistica Sinica, 2019 Jan 01. 29(3), 1561-1583.
Externí odkaz:
https://www.jstor.org/stable/26706014
Publikováno v:
Econometric Reviews. 2023, Vol. 42 Issue 5, p441-470. 30p.