Structural breaks in time series
A Aue, L Horváth - Journal of Time Series Analysis, 2013 - Wiley Online Library
This paper gives an account of some of the recent work on structural breaks in time series
models. In particular, we show how procedures based on the popular cumulative sum …
models. In particular, we show how procedures based on the popular cumulative sum …
Springer series in statistics
The idea for this book came from the time the authors spent at the Statistics and Applied
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …
Gaussian approximation for high dimensional time series
D Zhang, WB Wu - 2017 - projecteuclid.org
Gaussian approximation for high dimensional time series Page 1 The Annals of Statistics 2017,
Vol. 45, No. 5, 1895–1919 DOI: 10.1214/16-AOS1512 © Institute of Mathematical Statistics …
Vol. 45, No. 5, 1895–1919 DOI: 10.1214/16-AOS1512 © Institute of Mathematical Statistics …
Extensions of some classical methods in change point analysis
A common goal in modeling and data mining is to determine, based on sample data,
whether or not a change of some sort has occurred in a quantity of interest. The study of …
whether or not a change of some sort has occurred in a quantity of interest. The study of …
Fourier analysis of stationary time series in function space
VM Panaretos, S Tavakoli - 2013 - projecteuclid.org
Fourier analysis of stationary time series in function space Page 1 The Annals of Statistics 2013,
Vol. 41, No. 2, 568–603 DOI: 10.1214/13-AOS1086 © Institute of Mathematical Statistics, 2013 …
Vol. 41, No. 2, 568–603 DOI: 10.1214/13-AOS1086 © Institute of Mathematical Statistics, 2013 …
Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
Factor models, all particular cases of the Generalized Dynamic Factor Model (GDFM)
introduced in Forni et al.,(2000), have become extremely popular in the theory and practice …
introduced in Forni et al.,(2000), have become extremely popular in the theory and practice …
[PDF][PDF] Asymptotic theory for stationary processes
WB Wu - Stat. Interface, 2011 - economics.yale.edu
We present a systematic asymptotic theory for statistics of stationary time series. In particular,
we consider properties of sample means, sample covariance functions, covariance matrix …
we consider properties of sample means, sample covariance functions, covariance matrix …
Covariance matrix estimation for stationary time series
Covariance matrix estimation for stationary time series Page 1 The Annals of Statistics 2012,
Vol. 40, No. 1, 466–493 DOI: 10.1214/11-AOS967 © Institute of Mathematical Statistics, 2012 …
Vol. 40, No. 1, 466–493 DOI: 10.1214/11-AOS967 © Institute of Mathematical Statistics, 2012 …
Inference of time-varying regression models
T Zhang, WB Wu - The Annals of Statistics, 2012 - projecteuclid.org
We consider parameter estimation, hypothesis testing and variable selection for partially
time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow …
time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow …
Quantile spectral processes: Asymptotic analysis and inference
Quantile spectral processes: Asymptotic analysis and inference Page 1 Bernoulli 22(3),
2016, 1770–1807 DOI: 10.3150/15-BEJ711 Quantile spectral processes: Asymptotic …
2016, 1770–1807 DOI: 10.3150/15-BEJ711 Quantile spectral processes: Asymptotic …