51 citations · 82 across the 7 of their papers we have counts for
7 papers
Stein's method for the Wishart distribution
Gabriel Bailly, Robert E. Gaunt, Frédéric Ouimet +2
In this work, we develop Stein's method for the Wishart distribution on the cone of positive definite matrices. We establish the basic ingredients of a Wishart Stein framework: we…
Lag selection and estimation of stable parameters for multiple autoregressive processes through convex programming
Somnath Chakraborty, Johannes Lederer, Rainer von Sachs
Motivated by a variety of applications, high-dimensional time series have become an active topic of research. In particular, several methods and finite-sample theories for individu…
VC-PCR: A Prediction Method based on Supervised Variable Selection and Clustering
Rebecca Marion, Johannes Lederer, Bernadette Govaerts +1
Sparse linear prediction methods suffer from decreased prediction accuracy when the predictor variables have cluster structure (e.g. there are highly correlated groups of variables…
Nonparametric robust monitoring of time series panel data
Sophie Mathieu, Rainer von Sachs, Véronique Delouille +2
In many applications, a control procedure is required to detect potential deviations in a panel of serially correlated processes. It is common that the processes are corrupted by n…
Nonparametric Transient Classification using Adaptive Wavelets
Melvin M. Varughese, Rainer von Sachs, Michael Stephanou +1
Classifying transients based on multi band light curves is a challenging but crucial problem in the era of GAIA and LSST since the sheer volume of transients will make spectroscopi…
Locally adaptive estimation of evolutionary wavelet spectra
Sébastien Van Bellegem, Rainer von Sachs
We introduce a wavelet-based model of local stationarity. This model enlarges the class of locally stationary wavelet processes and contains processes whose spectral density functi…