Related papers: Assessing Time Series Correlation Significance: A …
A random coefficient autoregressive process is deeply investigated in which the coefficients are correlated. First we look at the existence of a strictly stationary causal solution, we give the second-order stationarity conditions and the…
We analyze how the choice of the sampling weight affects the efficiency of the Monte Carlo evaluation of classical time autocorrelation functions. Assuming uncorrelated sampling or sampling with constant correlation length, we propose a…
In this paper we employ methods from Statistical Mechanics to model temporal correlations in time series. We put forward a methodology based on the Maximum Entropy principle to generate ensembles of time series constrained to preserve part…
Recurrence entropy $(\cal S)$ is a novel time series complexity quantifier based on recurrence microstates. Here we show that $\mathsf{max}(\cal S)$ is a \textit{parameter-free} quantifier of time correlation of stochastic and chaotic…
We propose a novel method for testing serial independence of object-valued time series in metric spaces, which is more general than Euclidean or Hilbert spaces. The proposed method is fully nonparametric, free of tuning parameters, and can…
Correlation analysis is a fundamental step in uncovering meaningful insights from complex datasets. In this paper, we study the problem of detecting correlations between two random graphs following the Gaussian Wigner model with unlabeled…
Second-order characteristics including covariance and spectral density functions are fundamentally important for both statistical applications and theoretical analysis in functional time series. In the high-dimensional setting where the…
Graphical models describe associations between variables through the notion of conditional independence. Gaussian graphical models are a widely used class of such models where the relationships are formalized by non-null entries of the…
The sample correlation coefficient $R$ plays an important role in many statistical analyses. We study the moments of $R$ under the bivariate Gaussian model assumption, provide a novel approximation for its finite sample mean and connect it…
We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with…
A methodology for high dimensional causal inference in a time series context is introduced. It is assumed that there is a monotonic transformation of the data such that the dynamics of the transformed variables are described by a Gaussian…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
Assessing the predictive power of both data and models holds paramount significance in time-series machine learning applications. Yet, preparing time series data accurately and employing an appropriate measure for predictive power seems to…
We present a method to compensate statistical errors in the calculation of correlations on asynchronous time series. The method is based on the assumption of an underlying time series. We set up a model and apply it to financial data to…
Correlation coefficient is usually used to measure the correlation degree between two time signals. However, its performance will drop or even fail if the signals are noised. Based on the time-frequency phase spectrum (TFPS) provided by…
Discovering a correlation from one variable to another variable is of fundamental scientific and practical interest. While existing correlation measures are suitable for discovering average correlation, they fail to discover hidden or…
Measures of the direction and strength of the interdependence between two time series are evaluated and modified in order to reduce the bias in the estimation of the measures, so that they give zero values when there is no causal effect.…
This paper introduces a new method for testing the statistical significance of estimated parameters in predictive regressions. The approach features a new family of test statistics that are robust to the degree of persistence of the…
Detection of periodic patterns of interest within noisy time series data plays a critical role in various tasks, spanning from health monitoring to behavior analysis. Existing learning techniques often rely on labels or clean versions of…
Statistical analysis of high-dimensional functional times series arises in various applications. Under this scenario, in addition to the intrinsic infinite-dimensionality of functional data, the number of functional variables can grow with…