4 papers
Self-normalization for Spectral Density Integrals
Holger Dette, Sebastian Kühnert
Integrals of spectral densities are frequently used to summarize spectral characteristics of linear processes. This work studies self-normalization for estimators of such integrals…
A spectral based coefficient of determination for the fit of an MA(q) model
Holger Dette, Sebastian Kühnert
We develop a spectral based coefficient of determination to measure how well the spectral density of a stationary linear process is represented by the class of MA() models. Usin…
Estimating invertible processes in Hilbert spaces, with applications to functional ARMA processes
Sebastian Kühnert, Gregory Rice, Alexander Aue
Invertible processes are central to functional time series analysis, making the estimation of their defining operators a key problem. While asymptotic error bounds have been establ…
Estimating Lagged (Cross-)Covariance Operators of --approximable Processes in Cartesian Product Hilbert Spaces
Sebastian Kühnert
Estimating parameters of functional ARMA, GARCH and invertible processes requires estimating lagged covariance and cross-covariance operators of Cartesian product Hilbert space-val…