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Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a…
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Understanding the processes that influence groundwater levels is crucial for forecasting and responding to hazards such as groundwater droughts. Mixed models, which combine a fixed mean, expressed using independent predictors, with…
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This article introduces a novel and computationally fast model to study the association between covariates and power spectra of replicated time series. A random covariate-dependent Cram\'{e}r spectral representation and a semiparametric…
Recently, time series classification has attracted the attention of a large number of researchers, and hundreds of methods have been proposed. However, these methods often ignore the spatial correlations among dimensions and the local…
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The final step of most large-scale structure analyses involves the comparison of power spectra or correlation functions to theoretical models. It is clear that the theoretical models have parameter dependence, but frequently the…
In this paper we propose a generalization of a class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter for long-range dependent multivariate time series. We generalize a known GSE-type estimator by…
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This paper studies a very flexible model that can be used widely to analyze the relation between a response and multiple covariates. The model is nonparametric, yet renders easy interpretation for the effects of the covariates. The model…
Multivariate regression model is a natural generalization of the classical univari- ate regression model for fitting multiple responses. In this paper, we propose a high- dimensional multivariate conditional regression model for…
In this paper we study the asymptotic behaviour of empirical processes when parameters are estimated, assuming that the underlying sequence of random variables is long-range dependent. We show completely different phenomena compared to…