251 citations · 512 across the 26 of their papers we have counts for
12 papers · 1 filter
An operator-level ARCH Model
Alexander Aue, Sebastian Kühnert, Gregory Rice +1
AutoRegressive Conditional Heteroscedasticity (ARCH) models are standard for modeling time series exhibiting volatility, with a rich literature in univariate and multivariate setti…
Functional time series prediction under partial observation of the future curve
Shuhao Jiao, Alexander Aue, Hernando Ombao
This paper tackles one of the most fundamental goals in functional time series analysis which is to provide reliable predictions for future functions. Existing methods for predicti…
High-dimensional general linear hypothesis tests via non-linear spectral shrinkage
Haoran Li, Alexander Aue, Debashis Paul
We are interested in testing general linear hypotheses in a high-dimensional multivariate linear regression model. The framework includes many well-studied problems such as two-sam…
Structural break analysis for spectrum and trace of covariance operators?
Alexander Aue, Gregory Rice, Ozan Sönmez
This paper deals with analyzing structural breaks in the covariance operator of sequentially observed functional data. For this purpose, procedures are developed to segment an obse…
Bootstrapping spectral statistics in high dimensions
Miles Lopes, Andrew Blandino, Alexander Aue
Statistics derived from the eigenvalues of sample covariance matrices are called spectral statistics, and they play a central role in multivariate testing. Although bootstrap metho…
Estimating functional time series by moving average model fitting
Alexander Aue, Johannes Klepsch
Functional time series have become an integral part of both functional data and time series analysis. Important contributions to methodology, theory and application for the predict…