15 citations · 32 across the 10 of their papers we have counts for
10 papers
Quantifying Long-Range Dependence in Object-Valued Time Series
Won-Ki Seo, Jiazhen Xu, Han Lin Shang
Object-valued time series, including distributions, covariance matrices, networks, and compositions, lack the linear structure required by conventional autocovariance-based definit…
Random trade timing and power-law tails in realized prices
Won-Ki Seo
This paper studies stochastic mechanisms under which light-tailed latent price dynamics yield realized prices with power-law tails. The realized price is modeled as ,…
Fredholm inversion around a singularity: application to autoregressive time series in Banach space
Won-Ki Seo
This paper consider inverting a holomorphic Fredholm operator pencil. Specifically, we provide necessary and sufficient conditions for the inverse of a holomorphic Fredholm operato…
Fractionally integrated curve time series with cointegration
Won-Ki Seo, Han Lin Shang
We introduce methods and theory for fractionally cointegrated curve time series. We develop a variance-ratio test to determine the dimensions associated with the nonstationary and…
Functional instrumental variable regression with an application to estimating the impact of immigration on native wages
Dakyung Seong, Won-Ki Seo
Functional linear regression gets its popularity as a statistical tool to study the relationship between function-valued response and exogenous explanatory variables. However, in p…
Functional Principal Component Analysis for Cointegrated Functional Time Series
Won-Ki Seo
Functional principal component analysis (FPCA) has played an important role in the development of functional time series analysis. This note investigates how FPCA can be used to an…
Tail behavior of stopped Lévy processes with Markov modulation
Brendan K. Beare, Won-Ki Seo, Alexis Akira Toda
This article concerns the tail probabilities of a light-tailed Markov-modulated Lévy process stopped at a state-dependent Poisson rate. The tails are shown to decay exponentially a…
Cointegration and Representation of Cointegrated Autoregressive Processes in Banach Spaces
Won-Ki Seo
We extend the notion of cointegration for time series taking values in a potentially infinite dimensional Banach space. Examples of such time series include stochastic processes in…
Cointegrated Density-Valued Linear Processes
Won-Ki Seo
In data rich environments we may sometimes deal with time series that are probability density-function valued, such as observations of cross-sectional income distributions over tim…
Representation of I(1) and I(2) autoregressive Hilbertian processes
Brendan K. Beare, Won-Ki Seo
We extend the Granger-Johansen representation theorems for I(1) and I(2) vector autoregressive processes to accommodate processes that take values in an arbitrary complex separable…