3 papers
econ.EM2024
Estimation for conditional moment models based on martingale difference divergence
Kunyang Song, Feiyu Jiang, Ke Zhu
We provide a new estimation method for conditional moment models via the martingale difference divergence (MDD).Our MDD-based estimation method is formed in the framework of a cont…
stat.CO2024
SNSeg: An R Package for Time Series Segmentation via Self-Normalization
Shubo Sun, Zifeng Zhao, Feiyu Jiang +1
Time series segmentation aims to identify potential change-points in a sequence of temporally dependent data, so that the original sequence can be partitioned into several homogene…
stat.ME2023
Matrix GARCH Model: Inference and Application
Cheng Yu, Dong Li, Feiyu Jiang +1
Matrix-variate time series data are largely available in applications. However, no attempt has been made to study their conditional heteroskedasticity that is often observed in eco…