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math.ST2021★ 5 cited
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…
math.ST2021
Sparse principal component analysis for high-dimensional stationary time series
Kou Fujimori, Yuichi Goto, Yan Liu +1
We consider the sparse principal component analysis for high-dimensional stationary processes. The standard principal component analysis performs poorly when the dimension of the p…