172 citations · 438 across the 33 of their papers we have counts for
35 papers
Clustering Multivariate Time Series using Energy Distance
Richard A. Davis, Leon Fernandes, Konstantinos Fokianos
A novel methodology is proposed for clustering multivariate time series data using energy distance defined in Székely and Rizzo (2013). Specifically, a dissimilarity matrix is form…
Kernel PCA for multivariate extremes
Marco Avella-Medina, Richard A. Davis, Gennady Samorodnitsky
We propose kernel PCA as a method for analyzing the dependence structure of multivariate extremes and demonstrate that it can be a powerful tool for clustering and dimension reduct…
Cauchy, normal and correlations versus heavy tails
Hui Xu, Joel Cohen, Richard Davis +1
A surprising result of Pillai and Meng (2016) showed that a transformation of two iid centered normal random vectors, and $(Y_1,\ldot…
Spectral learning of multivariate extremes
Marco Avella Medina, Richard A. Davis, Gennady Samorodnitsky
We propose a spectral clustering algorithm for analyzing the dependence structure of multivariate extremes. More specifically, we focus on the asymptotic dependence of multivariate…
Time Series Estimation of the Dynamic Effects of Disaster-Type Shock
Richard Davis, Serena Ng
This paper provides three results for SVARs under the assumption that the primitive shocks are mutually independent. First, a framework is proposed to accommodate a disaster-type v…
Modeling of time series using random forests: theoretical developments
Richard A. Davis, Mikkel S. Nielsen
In this paper we study asymptotic properties of random forests within the framework of nonlinear time series modeling. While random forests have been successfully applied in variou…