Results 231 to 240 of about 91,156 (303)

Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency

open access: yesJournal of Time Series Analysis, EarlyView.
ABSTRACT Expectile is a coherent and elicitable law‐invariant risk measure widely applied in risk management. Existing methods based on iteratively reweighted least squares (IWLS) are not computationally efficient for large‐scale sample sizes. To overcome the issue, we develop a direct nonparametric conditional expectile function estimator by inverting
Feipeng Zhang, Ping‐Shou Zhong
wiley   +1 more source

A Note on Local Polynomial Regression for Time Series in Banach Spaces

open access: yesJournal of Time Series Analysis, EarlyView.
ABSTRACT This work extends local polynomial regression to Banach space‐valued time series for estimating smoothly varying means and their derivatives in non‐stationary data. The asymptotic properties of both the standard and bias‐reduced Jackknife estimators are analyzed under mild moment conditions, establishing their convergence rates.
Florian Heinrichs
wiley   +1 more source

Sequential Outlier Detection in Nonstationary Time Series

open access: yesJournal of Time Series Analysis, EarlyView.
ABSTRACT A novel method for sequential outlier detection in nonstationary time series is proposed. The method tests the null hypothesis of “no outlier” at each time point, addressing the multiple testing problem by bounding the error probability of successive tests, using extreme‐value theory. The asymptotic properties of the test statistic are studied
Florian Heinrichs   +2 more
wiley   +1 more source

Assessing spillover effects: Handling missing outcomes in network-based studies. [PDF]

open access: yesStat Methods Med Res
Lee T   +5 more
europepmc   +1 more source

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