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stat.ME2023
A semi-parametric estimation method for quantile coherence with an application to bivariate financial time series clustering
Cristian F. Jiménez-Varón, Ying Sun, Ta-Hsin Li
In multivariate time series analysis, spectral coherence measures the linear dependency between two time series at different frequencies. However, real data applications often exhi…
stat.ME2019★ 1 cited
A Semi-Parametric Estimation Method for the Quantile Spectrum with an Application to Earthquake Classification Using Convolutional Neural Network
Tianbo Chen, Ying Sun, Ta-Hsin Li
In this paper, a new estimation method is introduced for the quantile spectrum, which uses a parametric form of the autoregressive (AR) spectrum coupled with nonparametric smoothin…