252 citations · 1.3k across the 41 of their papers we have counts for
3 papers · 2 filters
Monge-Kantorovich Depth, Quantiles, Ranks, and Signs
Victor Chernozhukov, Alfred Galichon, Marc Hallin +1
We propose new concepts of statistical depth, multivariate quantiles, ranks and signs, based on canonical transportation maps between a distribution of interest on and a refe…
Quantile Spectral Analysis for Locally Stationary Time Series
Stefan Birr, Stanislav Volgushev, Tobias Kley +2
Classical spectral methods are subject to two fundamental limitations: they only can account for covariance-related serial dependencies, and they require second-order stationarity.…
Quantile spectral processes: Asymptotic analysis and inference
Tobias Kley, Stanislav Volgushev, Holger Dette +1
Quantile- and copula-related spectral concepts recently have been considered by various authors. Those spectra, in their most general form, provide a full characterization of the c…