1 citations · 2 across the 2 of their papers we have counts for
2 papers
math.ST2023★ 1 cited
Transformed-Linear Innovations Algorithm for Modeling and Forecasting of Time Series Extremes
Nehali Mhatre, Daniel Cooley
The innovations algorithm is a classical recursive forecasting algorithm used in time series analysis. We develop the innovations algorithm for a class of nonnegative regularly var…
stat.ME2020★ 1 cited
Transformed-Linear Models for Time Series Extremes
Nehali Mhatre, Daniel Cooley
In order to capture the dependence in the upper tail of a time series, we develop non-negative regularly-varying time series models that are constructed similarly to classical non-…