Related papers: On the partial autocorrelation function for locall…
The spectral distribution $f(\omega)$ of a stationary time series $\{Y_t\}_{t\in\mathbb{Z}}$ can be used to investigate whether or not periodic structures are present in $\{Y_t\}_{t\in\mathbb{Z}}$, but $f(\omega)$ has some limitations due…
The analysis of nonstationary time series is of great importance in many scientific fields such as physics and neuroscience. In recent years, Gaussian process regression has attracted substantial attention as a robust and powerful method…
Temporal dependence and the resulting autocovariances in time series data can introduce bias into ANOVA test statistics, thereby affecting their size and power. This manuscript accounts for temporal dependence in ANOVA and develops a test…
We present a test for independence of two strictly stationary time series based on a bootstrap procedure for the distance covariance. Our test detects any kind of dependence between the two time series within an arbitrary maximum lag $L$.…
This paper considers the estimation and testing of a class of locally stationary time series factor models with evolutionary temporal dynamics. In particular, the entries and the dimension of the factor loading matrix are allowed to vary…
This paper investigates a partially linear spatial autoregressive panel data model that incorporates fixed effects, constant and time-varying regression coefficients, and a time-varying spatial lag coefficient. A two-stage least squares…
A time-domain test for the assumption of second order stationarity of a functional time series is proposed. The test is based on combining individual cumulative sum tests which are designed to be sensitive to changes in the mean, variance…
Understanding the time-varying structure of complex temporal systems is one of the main challenges of modern time series analysis. In this paper, we show that every uniformly-positive-definite-in-covariance and sufficiently short-range…
In this paper, we consider the time-inhomogeneous nonlinear time series regression for a general class of locally stationary time series. On one hand, we propose sieve nonparametric estimators for the time-varying regression functions which…
This article studies bootstrap inference for high dimensional weakly dependent time series in a general framework of approximately linear statistics. The following high dimensional applications are covered: (1) uniform confidence band for…
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…
This paper proposes a flexible framework for inferring large-scale time-varying and time-lagged correlation networks from multivariate or high-dimensional non-stationary time series with piecewise smooth trends. Built on a novel and unified…
Vector autoregressions (VARs) are a widely used tool for modelling multivariate time-series. It is common to assume a VAR is stationary; this can be enforced by imposing the stationarity condition which restricts the parameter space of the…
Accurate curve forecasting is of vital importance for policy planning, decision making and resource allocation in many engineering and industrial applications. In this paper we establish a theoretical foundation for the optimal short-term…
Learning causal graphs from multivariate time series is a ubiquitous challenge in all application domains dealing with time-dependent systems, such as in Earth sciences, biology, or engineering, to name a few. Recent developments for this…
Time series generation is critical for a wide range of applications, which greatly supports downstream analytical and decision-making tasks. However, the inherent temporal heterogeneous induced by localized perturbations present significant…
We present a generalised estimator for the autocorrelation function, S-ACF, which is an extended version of the standard estimator of the autocorrelation function (ACF). S-ACF is a versatile definition that can robustly and efficiently…
We consider the problem of testing for long-range dependence in time-varying coefficient regression models, where the covariates and errors are locally stationary, allowing complex temporal dynamics and heteroscedasticity. We develop KPSS,…
We provide a framework for empirical process theory of locally stationary processes using the functional dependence measure. Our results extend known results for stationary Markov chains and mixing sequences by another common possibility to…
In modeling multivariate time series, it is important to allow time-varying smoothness in the mean and covariance process. In particular, there may be certain time intervals exhibiting rapid changes and others in which changes are slow. If…