2 citations · 2 across the 11 of their papers we have counts for
5 papers · 1 filter
Sequential monitoring for distributional changepoints using degenerate U-statistics
B. Cooper Boniece, Lajos Horváth, Lorenzo Trapani
We investigate the online detection of changepoints in the distribution of a sequence of observations using a class of degenerate \textit{U}-statistic-type processes. We consider a…
Data-driven fixed-point tuning for truncated realized variations
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Many methods for estimating integrated volatility and related functionals of semimartingales in the presence of jumps require specification of tuning parameters for their use in pr…
Wavelet eigenvalue regression in high dimensions
Patrice Abry, B. Cooper Boniece, Gustavo Didier +1
In this paper, we construct the wavelet eigenvalue regression methodology in high dimensions. We assume that possibly non-Gaussian, finite-variance -variate measurements are mad…
On high-dimensional wavelet eigenanalysis
Patrice Abry, B. Cooper Boniece, Gustavo Didier +1
In this paper, we characterize the asymptotic and large scale behavior of the eigenvalues of wavelet random matrices in high dimensions. We assume that possibly non-Gaussian, finit…
Tempered fractional Brownian motion: wavelet estimation, modeling and testing
B. Cooper Boniece, Gustavo Didier, Farzad Sabzikar
The Davenport spectrum is a modification of the classical Kolmogorov spectrum for the inertial range of turbulence that accounts for non-scaling low frequency behavior. Like the cl…