108 citations · 345 across the 44 of their papers we have counts for
6 papers · 1 filter
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…
Multiscale Jump Testing and Estimation Under Complex Temporal Dynamics
Weichi Wu, Zhou Zhou
We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and ab…
Robust no arbitrage and the solvability of vector-valued utility maximization problems
Andreas H Hamel, Birgit Rudloff, Zhou Zhou
A market model with assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a numèrai…
Optimal Bookmaking
Matthew Lorig, Zhou Zhou, Bin Zou
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the pri…
State-domain Change Point Detection for Nonlinear Time Series Regression
Yan Cui, Jun Yang, Zhou Zhou
Change point detection in time series has attracted substantial interest, but most of the existing results have been focused on detecting change points in the time domain. This pap…
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…