Results 121 to 130 of about 6,398 (252)
Density‐Valued ARMA Models by Spline Mixtures
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley +1 more source
Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory [PDF]
This paper deals with the problem of estimating the level sets of an unknown distribution function $F$. A plug-in approach is followed. That is, given a consistent estimator $F_n$ of $F$, we estimate the level sets of $F$ by the level sets of $F_n$.
Clémentine Prieur +3 more
core
Robust Estimation and Inference for Time‐Varying Unconditional Volatility
Journal of Time Series Analysis, EarlyView.ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee +2 more
wiley +1 more source
Some Improvements in Nonparametric Multivariate Kernel Density Estimation
ATHENS JOURNAL OF SCIENCES, 2019 Michael Ogbeide, Joseph Osemwenkhae
openaire +1 more source
DPpackage: Bayesian Semi- and Nonparametric Modeling in R [PDF]
Data analysis sometimes requires the relaxation of parametric assumptions in order to gain modeling flexibility and robustness against mis-specification of the probability model.
Fernando A. Quintana +4 more
core +1 more source
Testing Distributional Granger Causality With Entropic Optimal Transport
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley +1 more source
Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities [PDF]
We propose a general bootstrap procedure to approximate the null distribution of nonparametric frequency domain tests about the spectral density matrix of a multivariate time series.
Paparoditis, Efstathios, Dette, Holger
core
Penalized Convex Estimation in Dynamic Location Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley +1 more source
Associations Between Body Composition and Metabolic Health in Children With Obesity
Maternal &Child Nutrition, EarlyView.ABSTRACT Childhood obesity is an increasing public health problem with heterogeneous metabolic health outcomes. In children, distinguishing differences in body composition between individuals with metabolically healthy obesity (MHO) and those with metabolic syndrome (MS) may be useful for understanding the impact of body composition on metabolic health.
Desiree Lopez‐Gonzalez +5 more
wiley +1 more source
Likelihood Estimation for Stochastic Differential Equations with Mixed Effects
Scandinavian Journal of Statistics, EarlyView.ABSTRACT Stochastic differential equations provide a powerful tool for modelling dynamic phenomena affected by random noise. When time series are observed for several experimental units, it is often the case that some of the parameters vary between the individual experimental units.
Fernando Baltazar‐Larios +2 more
wiley +1 more source