104 citations · 247 across the 19 of their papers we have counts for
8 papers · 1 filter
Asymptotic considerations in a Bayesian linear model with nonparametrically modelled time series innovations
Claudia Kirch, Alexander Meier, Renate Meyer +1
This paper considers a semiparametric approach within the general Bayesian linear model where the innovations consist of a stationary, mean zero Gaussian time series. While a param…
Symmetrisation of a class of two-sample tests by mutually considering depth ranks including functional spaces
Felix Gnettner, Claudia Kirch, Alicia Nieto-Reyes
Statistical depth functions provide measures of the outlyingness, or centrality, of the elements of a space with respect to a distribution. It is a nonparametric concept applicable…
Posterior consistency for the spectral density of non-Gaussian stationary time series
Yifu Tang, Claudia Kirch, Jeong Eun Lee +1
Various nonparametric approaches for Bayesian spectral density estimation of stationary time series have been suggested in the literature, mostly based on the Whittle likelihood ap…
Asymptotic delay times of sequential tests based on U-statistics for early and late change points
Claudia Kirch, Christina Stoehr
Sequential change point tests aim at giving an alarm as soon as possible after a structural break occurs while controlling the asymptotic false alarm error. For such tests it is of…
Sequential change point tests based on U-statistics
Claudia Kirch, Christina Stoehr
We propose a general framework of sequential testing procedures based on -statistics which contains as an example a sequential CUSUM test based on differences in mean but also i…
Efficiency of change point tests in high dimensional settings
John A. D. Aston, Claudia Kirch
While there is considerable work on change point analysis in univariate time series, more and more data being collected comes from high dimensional multivariate settings. This pape…
TFT-bootstrap: Resampling time series in the frequency domain to obtain replicates in the time domain
Claudia Kirch, Dimitris N. Politis
A new time series bootstrap scheme, the time frequency toggle (TFT)-bootstrap, is proposed. Its basic idea is to bootstrap the Fourier coefficients of the observed time series, and…
Bootstrapping confidence intervals for the change-point of time series
Marie Huskova, Claudia Kirch
We study an AMOC time series model with an abrupt change in the mean and dependent errors that fulfill certain mixing conditions. We obtain confidence intervals for the unknown cha…