相关论文: The quantile spectral density and comparison based…

Temporal data are increasingly prevalent in modern data science. A fundamental question is whether two time series are related or not. Existing approaches often have limitations, such as relying on parametric assumptions, detecting only…

Using cumulative residual processes, we propose joint goodness-of-fit tests for conditional means and variances functions in the context of nonlinear time series with martingale difference innovations. The main challenge comes from the fact…

Symmetry plays a central role in the sciences, machine learning, and statistics. While statistical tests for the presence of distributional invariance with respect to groups have a long history, tests for conditional symmetry in the form of…

Considering a regression model, we address the question of testing the nullity of the regression function. The testing procedure is available when the variance of the observations is unknown and does not depend on any prior information on…

We provide a limit theory for a general class of kernel smoothed U-statistics that may be used for specification testing in time series regression with nonstationary data. The test framework allows for linear and nonlinear models with…

When a quantum system is monitored in continuous time, the result of the measurement is a stochastic process. When the output process is stationary, at least in the long run, the spectrum of the process can be introduced and its properties…

The Whittle likelihood is widely used for Bayesian nonparametric estimation of the spectral density of stationary time series. However, the loss of efficiency for non-Gaussian time series can be substantial. On the other hand, parametric…

In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We…

Discrete time trawl processes constitute a large class of time series parameterized by a trawl sequence (a j) j$\in$N and defined though a sequence of independent and identically distributed (i.i.d.) copies of a continuous time process…

We establish a novel approach to probing spatially resolved multi-time correlation functions of interacting many-body systems, with scalable experimental overhead. Specifically, designing nonlinear measurement protocols for multidimensional…

This paper shows that the problem of testing hypotheses in moment condition models without any assumptions about identification may be considered as a problem of testing with an infinite-dimensional nuisance parameter. We introduce a…

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…

A novel nonparametric test for the equality of the covariance matrices of two Gaussian stationary processes, possibly of different lengths, is proposed. The test translates to testing the equality of two spectral densities and is shown to…

We introduce a data-based approach to estimating key quantities which arise in the study of nonlinear control systems and random nonlinear dynamical systems. Our approach hinges on the observation that much of the existing linear theory may…

The aim of sequential change-point detection is to issue an alarm when it is thought that certain probabilistic properties of the monitored observations have changed. This work is concerned with nonparametric, closed-end testing procedures…

Missingness and measurement frequency are two sides of the same coin. How frequent should we measure clinical variables and conduct laboratory tests? It depends on many factors such as the stability of patient conditions, diagnostic…

Financial spillovers in interconnected systems, such as global banking networks, require tools that capture temporal and frequency dynamics, while incorporating the underlying network topology. While current network time series models are…

We investigate the stochastic resonance phenomenon in a physical system based on a tunnel diode. The experimental control parameters are set to allow the control of the frequency and amplitude of the deterministic modulating signal over an…

When building linear or nonlinear models one is faced with the problem of selecting the best set of variable with which to predict the future dynamics. In nonlinear time series analysis the problem is to select the correct time delays in…

We propose a kernel-based nonparametric test of relative goodness of fit, where the goal is to compare two models, both of which may have unobserved latent variables, such that the marginal distribution of the observed variables is…