Related papers: Asymptotic analysis of synchrosqueezing transform …
We study the volatility functional inference by Fourier transforms. This spectral framework is advantageous in that it harnesses the power of harmonic analysis to handle missing data and asynchronous observations without any artificial time…
Due to the increasing recording capability, functional data analysis has become an important research topic. For functional data the study of outlier detection and/or the development of robust statistical procedures has started recently.…
The current algorithms are based on linear model, for example, Precision Time Protocol (PTP) which requires frequent synchronization in order to handle the effects of clock frequency drift. This paper introduces a nonlinear approach to…
We introduce a statistical method to detect nonlinearity and nonstationarity in time series, that works even for short sequences and in presence of noise. The method has a discrimination power similar to that of the most advanced estimators…
We study asymptotic behaviour of stochastic approximation procedures with three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function.…
Most data processing techniques, applied to biomedical and sociological time series, are only valid for random fluctuations that are stationary in time. Unfortunately, these data are often non stationary and the use of techniques of…
In this paper we investigate how the bootstrap can be applied to time series regressions when the volatility of the innovations is random and non-stationary. The volatility of many economic and financial time series displays persistent…
This chapter discusses correlation analysis of stationary multivariate Gaussian time series in the spectral or Fourier domain. The goal is to identify the hub time series, i.e., those that are highly correlated with a specified number of…
We develop a variational optimization method for crystal analysis in atomic resolution images, which uses information from a 2D synchrosqueezed transform (SST) as input. The synchrosqueezed transform is applied to extract initial…
A class of Fourier based statistics for irregular spaced spatial data is introduced, examples include, the Whittle likelihood, a parametric estimator of the covariance function based on the $L_{2}$-contrast function and a simple…
In modern data analysis, statistical efficiency improvement is expected via effective collaboration among multiple data holders with non-shared data. In this article, we propose a collaborative score-type test (CST) for testing linear…
In this paper we propose a nonparametric procedure for validating the assumption of stationarity in multivariate locally stationary time series models. We develop a bootstrap assisted test based on a Kolmogorov-Smirnov type statistic, which…
Musical onset detection is a key component in any beat tracking system. Existing onset detection methods are based on temporal/spectral analysis, or methods that integrate temporal and spectral information together with statistical…
In this paper, a robust non-parametric measure of statistical dependence, or correlation, between two random variables is presented. The proposed coefficient is a permutation-like statistic that quantifies how much the observed sample S_n :…
We investigate the behavior of the Generalized Likelihood Ratio Test (GLRT) (Fan, Zhang and Zhang [Ann. Statist. 29 (2001) 153-193]) for time varying coefficient models where the regressors and errors are non-stationary time series and can…
In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to…
The spectrum of the evolution Operator associated with a nonlinear stochastic flow with additive noise is evaluated by diagonalization in a polynomial basis. The method works for arbitrary noise strength. In the weak noise limit we…
We study stochastic perturbations of ODE with stable limit cycles -- referred to as stochastic oscillators -- and investigate the response of the asymptotic (in time) frequency of oscillations to changing noise amplitude. Unlike previous…
In this paper, we tackle the state transformation problem in non-strict full state-constrained systems by introducing an adaptive fixed-time control method, utilizing a one-to-one asymmetric nonlinear mapping auxiliary system. Additionally,…
Cognitive radio that supports a secondary and opportunistic access to licensed spectrum shows great potential to dramatically improve spectrum utilization. Spectrum sensing performed by secondary users to detect unoccupied spectrum bands,…