4 papers · 1 filter
Trend estimation for time series with polynomial-tailed noise
Michael H. Neumann, Anne Leucht
For time series data observed at non-random and possibly non-equidistant time points, we estimate the trend function nonparametrically. Under the assumption of a bounded total vari…
Gaussian Approximation for Lag-Window Estimators and the Construction of Confidence bands for the Spectral Density
Jens-Peter Kreiss, Anne Leucht, Efstathios Paparoditis
In this paper we consider the construction of simultaneous confidence bands for the spectral density of a stationary time series using a Gaussian approximation for classical lag-wi…
A log-linear model for non-stationary time series of counts
Anne Leucht, Michael H. Neumann
We propose a new model for nonstationary integer-valued time series which is particularly suitable for data with a strong trend. In contrast to popular Poisson-INGARCH models, but…
A bootstrap functional central limit theorem for time-varying linear processes
Carina Beering, Anne Leucht
We provide a functional central limit theorem for a broad class of smooth functions for possibly noncausal multivariate linear processes with time-varying coefficients. Since the l…