2 papers
stat.ME2024
On the use of the cumulant generating function for inference on time series
Alban Moor, Davide La Vecchia, Elvezio Ronchetti
We introduce innovative inference procedures for analyzing time series data. Our methodology enables density approximation and composite hypothesis testing based on Whittle's estim…
stat.ME2020
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data
Davide La Vecchia, Alban Moor, Olivier Scaillet
We develop and implement a novel fast bootstrap for dependent data. Our scheme is based on the i.i.d. resampling of the smoothed moment indicators. We characterize the class of par…