7 papers
Spatio-temporal probabilistic forecast using MMAF-guided learning
Leonardo Bardi, Imma Valentina Curato, Lorenzo Proietti
We present a theory-guided generalized Bayesian methodology for spatio-temporal raster data, which we use to train an ensemble of stochastic feed-forward neural networks with Gauss…
Mixed moving average field guided learning for spatio-temporal data
Imma Valentina Curato, Orkun Furat, Lorenzo Proietti +1
Influenced mixed moving average fields are a versatile modeling class for spatio-temporal data. However, their predictive distribution is not generally known. Under this modeling a…
Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
Imma Valentina Curato, Robert Stelzer, Bennet Ströh
We obtain central limit theorems for stationary random fields employing a novel measure of dependence called -lex weak dependence. We show that this dependence notion is more ge…
Inheritance of strong mixing and weak dependence under renewal sampling
Dirk-Philip Brandes, Imma Valentina Curato, Robert Stelzer
Let be a continuous-time strongly mixing or weakly dependent process and a renewal process independent of with inter-arrival times . We show general conditions under…
Stochastic leverage effect in high-frequency data: a Fourier based analysis
Imma Valentina Curato, Simona Sanfelici
The stochastic leverage effect, defined as the standardized covariation between the returns and their related volatility, is analyzed in a stochastic volatility model set-up. A nov…
Weak dependence and GMM estimation of supOU and mixed moving average processes
Imma Valentina Curato, Robert Stelzer
We consider a mixed moving average (MMA) process X driven by a Lévy basis and prove that it is weakly dependent with rates computable in terms of the moving average kernel and the…
On the sample autocovariance of a Lévy driven moving average process when sampled at a renewal sequence
Dirk-Philip Brandes, Imma Valentina Curato
We consider a Lévy driven continuous time moving average process sampled at random times which follow a renewal structure independent of . Asymptotic normality of the sample…