79 citations · 145 across the 9 of their papers we have counts for
13 papers
Change point analysis with irregular signals
Tobias Kley, Yuhan Philip Liu, Hongyuan Cao +1
This paper considers the problem of testing and estimation of change point where signals after the change point can be highly irregular, which departs from the existing literature…
Detection and inference of changes in high-dimensional linear regression with non-sparse structures
Haeran Cho, Tobias Kley, Housen Li
For data segmentation in high-dimensional linear regression settings, the regression parameters are often assumed to be sparse segment-wise, which enables many existing methods to…
Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross-covariances under non-stationarity and stationarity
Andreas Anastasiou, Tobias Kley
The autocovariance and cross-covariance functions naturally appear in many time series procedures (e.g., autoregression or prediction). Under assumptions, empirical versions of the…
The integrated copula spectrum
Yuichi Goto, Tobias Kley, Ria Van Hecke +3
Frequency domain methods form a ubiquitous part of the statistical toolbox for time series analysis. In recent years, considerable interest has been given to the development of new…
A new approach for open-end sequential change point monitoring
Josua Gösmann, Tobias Kley, Holger Dette
We propose a new sequential monitoring scheme for changes in the parameters of a multivariate time series. In contrast to procedures proposed in the literature which compare an est…
Model assessment for time series dynamics using copula spectral densities: a graphical tool
Stefan Birr, Tobias Kley, Stanislav Volgushev
Finding parametric models that accurately describe the dependence structure of observed data is a central task in the analysis of time series. Classical frequency domain methods pr…
On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities
Stefan Birr, Holger Dette, Marc Hallin +2
The unicity of the time-varying quantile-based spectrum proposed in Birr et al. (2016) is established via an asymptotic representation result involving Wigner-Ville spectra.
Predictive, finite-sample model choice for time series under stationarity and non-stationarity
Tobias Kley, Philip Preuß, Piotr Fryzlewicz
In statistical research there usually exists a choice between structurally simpler or more complex models. We argue that, even if a more complex, locally stationary time series mod…
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables
Jozef Baruník, Tobias Kley
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of depen…
Quantile-Based Spectral Analysis in an Object-Oriented Framework and a Reference Implementation in R: The quantspec Package
Tobias Kley
Quantile-based approaches to the spectral analysis of time series have recently attracted a lot of attention. Despite a growing literature that contains various estimation proposal…
Quantile Spectral Analysis for Locally Stationary Time Series
Stefan Birr, Stanislav Volgushev, Tobias Kley +2
Classical spectral methods are subject to two fundamental limitations: they only can account for covariance-related serial dependencies, and they require second-order stationarity.…
Quantile spectral processes: Asymptotic analysis and inference
Tobias Kley, Stanislav Volgushev, Holger Dette +1
Quantile- and copula-related spectral concepts recently have been considered by various authors. Those spectra, in their most general form, provide a full characterization of the c…
Of copulas, quantiles, ranks and spectra: An -approach to spectral analysis
Holger Dette, Marc Hallin, Tobias Kley +1
In this paper, we present an alternative method for the spectral analysis of a univariate, strictly stationary time series . We define a "new" spectrum…