6 papers
Multiscale Dynamic Dependence Estimation over Networks
Cristian F. Jiménez-Varón, Cristian F. Jiménez-Varón, Marina I. Knight +1
In many settings, observed multivariate time series are often nonstationary in nature, i.e., their second order properties vary over time. An additional feature is that their cross…
Frequency-Domain Analysis of Time Series with Network-Structured Dependence: Application to Global Bank Connectedness
Cristian F. Jiménez-Varón, Marina I. Knight
Financial spillovers in interconnected systems, such as global banking networks, require tools that capture temporal and frequency dynamics, while incorporating the underlying netw…
Network Estimation for Stationary Time Series
Madeline A. Shelley, Chiara Boetti, Marina I. Knight +1
High-dimensional multivariate time series are common in many scientific and industrial applications, where the interest lies in identifying key dependence structure within the data…
Long memory network time series
Chiara Boetti, Matthew A. Nunes, Marina I. Knight
Many scientific areas, from computer science to the environmental sciences and finance, give rise to multivariate time series which exhibit long memory, or loosely put, a slow deca…
Continuous Time Locally Stationary Wavelet Processes
Henry Antonio Palasciano, Marina I. Knight, Guy P. Nason
This article introduces the class of continuous time locally stationary wavelet processes. Continuous time models enable us to properly provide scale-based time series models for i…
A multiscale method for data collected from network edges via the line graph
Dingjia Cao, Marina I. Knight, Guy P. Nason
Data collected over networks can be modelled as noisy observations of an unknown function over the nodes of a graph or network structure, fully described by its nodes and their con…