26 citations · 45 across the 6 of their papers we have counts for
7 papers
A Robust Score-Driven Filter for Multivariate Time Series
Enzo D'Innocenzo, Alessandra Luati, Mario Mazzocchi
A multivariate score-driven filter is developed to extract signals from noisy vector processes. By assuming that the conditional location vector from a multivariate Student's t dis…
Fused graphical lasso for brain networks with symmetries
Saverio Ranciati, Alberto Roverato, Alessandra Luati
Neuroimaging is the growing area of neuroscience devoted to produce data with the goal of capturing processes and dynamics of the human brain. We consider the problem of inferring…
GARCH density and functional forecasts
Karim M. Abadir, Alessandra Luati, Paolo Paruolo
This paper derives the analytic form of the -step ahead prediction density of a GARCH(1,1) process under Gaussian innovations, with a possibly asymmetric news impact curve. The…
An approximate quantum Cramér--Rao bound based on skew information
Alessandra Luati
A closed-form expression for Wigner-Yanase skew information in mixed-state quantum systems is derived. It is shown that limit values of the mixing coefficients exist such that Wign…
Real time estimation in local polynomial regression, with application to trend-cycle analysis
Tommaso Proietti, Alessandra Luati
The paper focuses on the adaptation of local polynomial filters at the end of the sample period. We show that for real time estimation of signals (i.e., exactly at the boundary of…
On the Spectral Properties of Matrices Associated with Trend Filters
Alessandra Luati, Tommaso Proietti
This paper is concerned with the spectral properties of matrices associated with linear filters for the estimation of the underlying trend of a time series. The interest lies in th…