2 papers
math.ST2025
Gaussian Approximation for Lag-Window Estimators and the Construction of Confidence bands for the Spectral Density
Jens-Peter Kreiss, Anne Leucht, Efstathios Paparoditis
In this paper we consider the construction of simultaneous confidence bands for the spectral density of a stationary time series using a Gaussian approximation for classical lag-wi…
math.ST2025
Trend estimation for time series with polynomial-tailed noise
Michael H. Neumann, Anne Leucht
For time series data observed at non-random and possibly non-equidistant time points, we estimate the trend function nonparametrically. Under the assumption of a bounded total vari…