Related papers: T-statistic for Autoregressive process
In this paper, we study non-asymptotic deviation bounds of the least squares estimator in Gaussian AR($n$) processes. By relying on martingale concentration inequalities and a tail-bound for $\chi^2$ distributed variables, we provide a…
We derive a variational representation for the log-normalizing constant of the posterior distribution in Bayesian linear regression with a uniform spherical prior and an i.i.d. Gaussian design. We work under the "proportional" asymptotic…
The robust detection of statistical dependencies between the components of a complex system is a key step in gaining a network-based understanding of the system. Because of their simplicity and low computation cost, pairwise statistics are…
Asymptotic distribution for the proportional covariance model under multivariate normal distributions is derived. To this end, the parametrization of the common covariance matrix by its Cholesky root is adopted. The derivations are made in…
This paper derives the asymptotic distribution of variance weighted Kolmogorov-Smirnov statistics for conditional moment inequality models for the case of a one dimensional covariate. The asymptotic distribution depends on the data…
We consider a one-dimensional stationary time series of fixed duration $T$. We investigate the time $t_{\rm m}$ at which the process reaches the global maximum within the time interval $[0,T]$. By using a path-decomposition technique, we…
Strict stationarity is a common assumption used in the time series literature in order to derive asymptotic distributional results for second-order statistics, like sample autocovariances and sample autocorrelations. Focusing on weak…
Compositional data find broad application across diverse fields due to their efficacy in representing proportions or percentages of various components within a whole. Spatial dependencies often exist in compositional data, particularly when…
The Karhunen-Lo\`eve expansion and the Fredholm determinant formula are used to derive an asymptotic Rosenblatt-type distribution of a sequence of integrals of quadratic functions of Gaussian stationary random fields on R^d displaying…
In this article we consider L\'evy driven continuous time moving average processes observed on a lattice, which are stationary time series. We show asymptotic normality of the sample mean, the sample autocovariances and the sample…
We consider an RCAR$(p)$ process and we establish that the standard estimation lacks consistency as soon as there exists a nonzero serial correlation in the coefficients. We give the correct asymptotic behavior and some simulations come to…
In this paper, a new statistic feature of the discrete short-time amplitude spectrum is discovered by experiments for the signals of unvoiced pronunciation. For the random-varying short-time spectrum, this feature reveals the relationship…
Bayesian graphical modeling provides an appealing way to obtain uncertainty estimates when inferring network structures, and much recent progress has been made for Gaussian models. These models have been used extensively in applications to…
This technical report describes the derivation of the asymptotic eigenvalue distribution for causal 2D-AR models under an upscaling scenario. Specifically, it tackles the analytical derivation of the asymptotic eigenvalue distribution of…
Using a proper model to characterize a time series is crucial in making accurate predictions. In this work we use time-varying autoregressive process (TVAR) to describe non-stationary time series and model it as a mixture of multiple stable…
We develop a hierarchical Gaussian process model for forecasting and inference of functional time series data. Unlike existing methods, our approach is especially suited for sparsely or irregularly sampled curves and for curves sampled with…
We consider a nonparametric Bayesian approach to estimate the diffusion coefficient of a stochastic differential equation given discrete time observations over a fixed time interval. As a prior on the diffusion coefficient, we employ a…
Contemporary time series data often feature objects connected by a social network that naturally induces temporal dependence involving connected neighbours. The network vector autoregressive model is useful for describing the influence of…
The distribution of the spin directions of galaxies has been a question in the past decade, with numerous Earth-based and space-based experiments showing that the distribution is not necessarily random. These experiments were based on…
This study delves into the domain of dynamical systems, specifically the forecasting of dynamical time series defined through an evolution function. Traditional approaches in this area predict the future behavior of dynamical systems by…