108 citations · 345 across the 44 of their papers we have counts for
12 papers · 1 filter
Simultaneous Sieve Inference for Time-Inhomogeneous Nonlinear Time Series Regression
Xiucai Ding, Zhou Zhou
In this paper, we consider the time-inhomogeneous nonlinear time series regression for a general class of locally stationary time series. On one hand, we propose sieve nonparametri…
Auto-Regressive Approximations to Non-stationary Time Series, with Inference and Applications
Xiucai Ding, Zhou Zhou
Understanding the time-varying structure of complex temporal systems is one of the main challenges of modern time series analysis. In this paper, we show that every uniformly-posit…
Statistical Inference for High Dimensional Panel Functional Time Series
Zhou Zhou, Holger Dette
In this paper we develop statistical inference tools for high dimensional functional time series. We introduce a new concept of physical dependent processes in the space of square…
Estimation and Inference of Time-Varying Auto-Covariance under Complex Trend: A Difference-based Approach
Yan Cui, Michael Levine, Zhou Zhou
We propose a difference-based nonparametric methodology for the estimation and inference of the time-varying auto-covariance functions of a locally stationary time series when it i…
Globally Optimal And Adaptive Short-Term Forecast of Locally Stationary Time Series And A Test for Its Stability
Xiucai Ding, Zhou Zhou
Forecasting the evolution of complex systems is one of the grand challenges of modern data science. The fundamental difficulty lies in understanding the structure of the observed s…
Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis
Matt Sourisseau, Hau-Tieng Wu, Zhou Zhou
We provide a statistical analysis of a tool in nonlinear-type time-frequency analysis, the synchrosqueezing transform (SST), for both the null and non-null cases. The intricate non…
Spectral Inference under Complex Temporal Dynamics
Jun Yang, Zhou Zhou
We develop unified theory and methodology for the inference of evolutionary Fourier power spectra for a general class of locally stationary and possibly nonlinear processes. In par…
Estimation and inference for precision matrices of non-stationary time series
Xiucai Ding, Zhou Zhou
In this paper, we consider the estimation and inference of precision matrices of a rich class of locally stationary and nonlinear time series assuming that only one realization of…
Nonparametric specification for non-stationary time series regression
Zhou Zhou
We investigate the behavior of the Generalized Likelihood Ratio Test (GLRT) (Fan, Zhang and Zhang [Ann. Statist. 29 (2001) 153-193]) for time varying coefficient models where the r…
Inference of weighted -statistics for nonstationary time series and its applications
Zhou Zhou
We investigate the behavior of Fourier transforms for a wide class of nonstationary nonlinear processes. Asymptotic central and noncentral limit theorems are established for a clas…
Nonparametric inference of quantile curves for nonstationary time series
Zhou Zhou
The paper considers nonparametric specification tests of quantile curves for a general class of nonstationary processes. Using Bahadur representation and Gaussian approximation res…
Local linear quantile estimation for nonstationary time series
Zhou Zhou, Wei Biao Wu
We consider estimation of quantile curves for a general class of nonstationary processes. Consistency and central limit results are obtained for local linear quantile estimates und…