change point detection 1frequentist methods 1functional data analysis 1mean shift 1time series 1volatility 1
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math.ST2026
A Frequentist Approach to Change Point Detection: Methods and Applications
Debanjana Datta
The paper proposes a frequentist method for detecting change points in functional time series, handling both sparse and dense observation designs and addressing shifts in mean and…
math.ST2026
Measuring Tail Dependence in Linear Processes: Theory and Empirics
Debanjana Datta, Diganta Mukherjee
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and th…