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20172026
most citedRepresentation of I(1) and I(2) autoregressive Hilbertian processes

15 citations · 32 across the 10 of their papers we have counts for

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Showing 2020Show all

2 papers · 1 filter

stat.ME2020

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…

math.PR2020★ 11 cited

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…