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math.ST2026
Sequential monitoring for distributional changepoints using degenerate U-statistics
B. Cooper Boniece, Lajos Horváth, Lorenzo Trapani
We investigate the online detection of changepoints in the distribution of a sequence of observations using a class of degenerate \textit{U}-statistic-type processes. We consider a…
math.ST2024
Data-driven fixed-point tuning for truncated realized variations
B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Many methods for estimating integrated volatility and related functionals of semimartingales in the presence of jumps require specification of tuning parameters for their use in pr…
math.ST2024
On high-dimensional wavelet eigenanalysis
Patrice Abry, B. Cooper Boniece, Gustavo Didier +1
In this paper, we characterize the asymptotic and large scale behavior of the eigenvalues of wavelet random matrices in high dimensions. We assume that possibly non-Gaussian, finit…