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09/15/2023
A Random Graph-based Autoregressive Model for Networked Time Series
Contemporary time series data often feature objects connected by a socia...
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03/29/2023
Difference-based covariance matrix estimate in time series nonparametric regression with applications to specification tests
Long-run covariance matrix estimation is the building block of time seri...
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02/10/2023
Time-varying correlation network analysis of non-stationary multivariate time series with complex trends
This paper proposes a flexible framework for inferring large-scale time-...
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10/15/2021
Testing for long-range dependence in non-stationary time series time-varying regression
We consider the problem of testing for long-range dependence for time-va...
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09/08/2021
Confidence surfaces for the mean of locally stationary functional time series
The problem of constructing a simultaneous confidence band for the mean ...
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12/29/2020
Adaptive Estimation for Non-stationary Factor Models And A Test for Static Factor Loadings
This paper considers the estimation and testing of a class of high-dimen...
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11/12/2020
Shift identification in time varying regression quantiles
This article investigates whether time-varying quantile regression curve...
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07/28/2020
Tractably Modelling Dependence in Networks Beyond Exchangeability
We propose a general framework for modelling network data that is design...
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01/02/2020
Prediction in locally stationary time series
We develop an estimator for the high-dimensional covariance matrix of a ...
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09/13/2019
MACE: Multiscale Abrupt Change Estimation Under Complex Temporal Dynamics
We consider the problem of detecting abrupt changes in an otherwise smoo...
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08/12/2019
Identifying shifts between two regression curves
This article studies the problem whether two convex (concave) regression...
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01/30/2018
Change Point Analysis of Correlation in Non-stationary Time Series
A restrictive assumption in change point analysis is "stationarity under...
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01/30/2018
