37 citations · 37 across the 2 of their papers we have counts for
2 papers
stat.ME2020★ 37 cited
Cluster-based dual evolution for multivariate time series: analyzing COVID-19
Nick James, Max Menzies
This paper proposes a cluster-based method to analyze the evolution of multivariate time series and applies this to the COVID-19 pandemic. On each day, we partition countries into…
q-fin.ST2019
Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series
Nick James, Roman Marchant, Richard Gerlach +1
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral te…