2 citations · 4 across the 5 of their papers we have counts for
5 papers
Prokhorov Metric Convergence of the Partial Sum Process for Reconstructed Functional Data
Tim Kutta, Piotr Kokoszka
Motivated by applications in functional data analysis, we study the partial sum process of sparsely observed, random functions. A key novelty of our analysis are bounds for the dis…
Detection of a structural break in intraday volatility pattern
Piotr Kokoszka, Tim Kutta, Neda Mohammadi +2
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Da…
Functional diffusion driven stochastic volatility model
Piotr Kokoszka, Neda Mohammadi, Haonan Wang +1
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday pric…
Change point detection in heteroscedastic time series
Tomasz Gorecki, Lajos Horvath, Piotr Kokoszka
Many time series exhibit changes both in level and in variability. Generally, it is more important to detect a change in the level, and changing or smoothly evolving variability ca…
Principal component analysis of periodically correlated functional time series
Łukasz Kidziński, Piotr Kokoszka, Neda Mohammadi Jouzdani
Within the framework of functional data analysis, we develop principal component analysis for periodically correlated time series of functions. We define the components of the abov…