172 citations · 438 across the 33 of their papers we have counts for
14 papers · 1 filter
Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates
Richard A. Davis, Thiago do Rêgo Sousa, Claudia Klüppelberg
We estimate the parameter of a stationary time series process by minimizing the integrated weighted mean squared error between the empirical and simulated characteristic function,…
Goodness-of-Fit Testing for Time Series Models via Distance Covariance
Phyllis Wan, Richard A. Davis
In many statistical modeling frameworks, goodness-of-fit tests are typically administered to the estimated residuals. In the time series setting, whiteness of the residuals is asse…
Extreme Value Analysis Without the Largest Values: What Can Be Done?
Jingjing Zou, Richard A. Davis, Gennady Samorodnitsky
In this paper we are concerned with the analysis of heavy-tailed data when a portion of the extreme values is unavailable. This research was motivated by an analysis of the degree…
Discrete Extremes
Adrien Hitz, Richard Davis, Gennady Samorodnitsky
Our contribution is to widen the scope of extreme value analysis applied to discrete-valued data. Extreme values of a random variable are commonly modeled using the generalized…
Threshold Selection for Multivariate Heavy-Tailed Data
Phyllis Wan, Richard A. Davis
Regular variation is often used as the starting point for modeling multivariate heavy-tailed data. A random vector is regularly varying if and only if its radial part is regula…
Applications of Distance Correlation to Time Series
Richard A. Davis, Muneya Matsui, Thomas Mikosch +1
The use of empirical characteristic functions for inference problems, including estimation in some special parametric settings and testing for goodness of fit, has a long history d…