239 citations · 387 across the 14 of their papers we have counts for
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stat.ME2018★ 5 cited
Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models
Balázs Csanád Csáji
A standard model of (conditional) heteroscedasticity, i.e., the phenomenon that the variance of a process changes over time, is the Generalized AutoRegressive Conditional Heteroske…
eess.SP2018★ 68 cited
Sign-Perturbed Sums: A New System Identification Approach for Constructing Exact Non-Asymptotic Confidence Regions in Linear Regression Models
Balázs Cs. Csáji, Marco C. Campi, Erik Weyer
We propose a new system identification method, called Sign-Perturbed Sums (SPS), for constructing non-asymptotic confidence regions under mild statistical assumptions. SPS is intro…