相关论文: Detecting deviations from second-order stationarit…
We describe two families of statistical tests to detect partial correlation in vectorial timeseries. The tests measure whether an observed timeseries Y can be predicted from a second series X, even after accounting for a third series Z…
This paper proposes some novel one-sided omnibus tests for independence between two multivariate stationary time series. These new tests apply the Hilbert-Schmidt independence criterion (HSIC) to test the independence between the…
This article proposes omnibus portmanteau tests for contrasting adequacy of time series models. The test statistics are based on combining the autocorrelation function of the conditional residuals, the autocorrelation function of the…
The curve time series framework provides a convenient vehicle to accommodate some nonstationary features into a stationary setup. We propose a new method to identify the dimensionality of curve time series based on the dynamical dependence…
In this article, we study whether the slope functions of two scalar-on-function regression models in two samples are associated with any arbitrary transformation along the vertical axis. The problem is formally stated as a statistical…
We estimate the parameter of a stationary time series process by minimizing the integrated weighted mean squared error between the empirical and simulated characteristic function, when the true characteristic functions cannot be explicitly…
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…
Detecting abrupt changes in the mean of a time series, so-called changepoints, is important for many applications. However, many procedures rely on the estimation of nuisance parameters (like long-run variance). Under the alternative (a…
Many experiments record sequential trajectories where each trajectory consists of oscillations and fluctuations around zero. Such trajectories can be viewed as zero-mean functional data. When there are structural breaks (on the sequence of…
The extremes of a stationary time series typically occur in clusters. A primary measure for this phenomenon is the extremal index, representing the reciprocal of the expected cluster size. Both a disjoint and a sliding blocks estimator for…
We construct a statistic and null test for examining the stationarity of time-series of discrete symbols: whether two data streams appear to originate from the same underlying unknown dynamical system, and if any difference is statistically…
The $K$ sample problem for high-dimensional vector time series is studied, especially focusing on sensor data streams, in order to analyze the second moment structure and detect changes across samples and/or across variables cumulated sum…
In this paper we propose using a nonparametric model specification test for parametric time series with long-range dependence (LRD). To establish asymptotic distributions of the proposed test statistic, we develop new central limit theorems…
We propose generalized portmanteau-type test statistics in the frequency domain to test independence between two stationary time series. The test statistics are formed analogous to the one in Chen and Deo (2004, Econometric Theory 20,…
We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…
This paper is motivated by medical studies in which the same patients with multiple sclerosis are examined at several successive visits and described by fractional anisotropy tract profiles, which can be represented as functions. Since the…
A common assumption in the spatial analysis of agricultural field trials is stationarity. In practice, however, this assumption is often violated due to unaccounted field effects. For instance, in plant breeding field trials, this can lead…
The analysis of seasonal or annual block maxima is of interest in fields such as hydrology, climatology or meteorology. In connection with the celebrated method of block maxima, we study several tests that can be used to assess whether the…
In this paper, we present an algorithm for learning time-correlated measurement covariances for application in batch state estimation. We parameterize the inverse measurement covariance matrix to be block-banded, which conveniently…
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the…