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Testing covariance separability for continuous functional data

open access: yesJournal of Time Series Analysis, Volume 46, Issue 3, Page 402-420, May 2025.
Analyzing the covariance structure of data is a fundamental task of statistics. While this task is simple for low‐dimensional observations, it becomes challenging for more intricate objects, such as multi‐variate functions. Here, the covariance can be so complex that just saving a non‐parametric estimate is impractical and structural assumptions are ...
Holger Dette   +2 more
wiley   +1 more source

Estimating lagged (cross‐)covariance operators of Lp‐m‐approximable processes in Cartesian product Hilbert spaces

open access: yesJournal of Time Series Analysis, Volume 46, Issue 3, Page 582-595, May 2025.
Estimating parameters of functional ARMA, GARCH and invertible processes requires estimating lagged covariance and cross‐covariance operators of Cartesian product Hilbert space‐valued processes. Asymptotic results have been derived in recent years, either less generally or under a strict condition.
Sebastian Kühnert
wiley   +1 more source

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