3 citations · 5 across the 4 of their papers we have counts for
4 papers
Estimating Value at Risk and Expected Shortfall: A Brief Review and Some New Developments
Kanon Kamronnaher, Andrew Bellucco, Whitney K. Huang +1
Value-at-risk (VaR) and expected shortfall (ES) are two commonly utilized metrics for quantifying financial risk. In this study, we review the widely employed Generalized Autoregre…
Autocovariance Estimation in the Presence of Changepoints
Colin Gallagher, Rebecca Killick, Robert Lund +1
This article studies estimation of a stationary autocovariance structure in the presence of an unknown number of mean shifts. Here, a Yule-Walker moment estimator for the autoregre…
A Comparison of Single and Multiple Changepoint Techniques for Time Series Data
Xueheng Shi, Colin Gallagher, Robert Lund +1
This paper describes and compares several prominent single and multiple changepoint techniques for time series data. Due to their importance in inferential matters, changepoint res…
Estimating Unknown Cycles in Geophysical data
Xueheng Shi, Colin Gallagher
Examples of cyclic (periodic) behavior in geophysical data abound. In many cases the primary period is known, such as in daily measurements of rain, temperature, and sea level. How…