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stat.ME2023
A semi-parametric estimation method for quantile coherence with an application to bivariate financial time series clustering
Cristian F. Jiménez-Varón, Ying Sun, Ta-Hsin Li
In multivariate time series analysis, spectral coherence measures the linear dependency between two time series at different frequencies. However, real data applications often exhi…
stat.ME2023
Forecasting high-dimensional functional time series: Application to sub-national age-specific mortality
Cristian F. Jiménez-Varón, Ying Sun, Han Lin Shang
We study the modeling and forecasting of high-dimensional functional time series (HDFTS), which can be cross-sectionally correlated and temporally dependent. We introduce a decompo…