Zobrazeno 1 - 10
of 327
pro vyhledávání: '"Paparoditis∗, Efstathios"'
Change-points in functional time series can be detected using the CUSUM-statistic, which is a non-linear functional of the partial sum process. Various methods have been proposed to obtain critical values for this statistic. In this paper we use the
Externí odkaz:
http://arxiv.org/abs/2408.05071
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
Autor:
Krampe, Jonas, Paparoditis, Efstathios
Analyzing time series in the frequency domain enables the development of powerful tools for investigating the second-order characteristics of multivariate processes. Parameters like the spectral density matrix and its inverse, the coherence or the pa
Externí odkaz:
http://arxiv.org/abs/2206.02250
Strict stationarity is a common assumption used in the time series literature in order to derive asymptotic distributional results for second-order statistics, like sample autocovariances and sample autocorrelations. Focusing on weak stationarity, th
Externí odkaz:
http://arxiv.org/abs/2110.14067
Publikováno v:
In Stochastic Processes and their Applications July 2024 173
Fitting parametric models by optimizing frequency domain objective functions is an attractive approach of parameter estimation in time series analysis. Whittle estimators are a prominent example in this context. Under weak conditions and the (realist
Externí odkaz:
http://arxiv.org/abs/2107.11270
Autor:
Meyer, Marco, Paparoditis, Efstathios
For many relevant statistics of multivariate time series, no valid frequency domain bootstrap procedures exist. This is mainly due to the fact that the distribution of such statistics depends on the fourth-order moment structure of the underlying pro
Externí odkaz:
http://arxiv.org/abs/2102.01943
We investigate the problem of estimating the distribution of the individual reproduction number governing the COVID-19 pandemic. Under the assumption that this random variable follows a Negative Binomial distribution, we focus on constructing estimat
Externí odkaz:
http://arxiv.org/abs/2101.07919
We consider statistical inference for impulse responses in sparse, structural high-dimensional vector autoregressive (SVAR) systems. We introduce consistent estimators of impulse responses in the high-dimensional setting and suggest valid inference p
Externí odkaz:
http://arxiv.org/abs/2007.15535
Autor:
Krampe, Jonas, Paparoditis, Efstathios
High-dimensional vector autoregressive (VAR) models are important tools for the analysis of multivariate time series. This paper focuses on high-dimensional time series and on the different regularized estimation procedures proposed for fitting spars
Externí odkaz:
http://arxiv.org/abs/2006.05345