4 citations · 4 across the 1 of their papers we have counts for
8 papers
Explicit Gamma-Stein Bounds for Satterthwaite's Approximation
Gabriel Bailly, Ferdinand Rapin, Yvik Swan +1
We derive explicit Gamma--Stein bounds for the Satterthwaite approximation of weighted sums of independent chi-square random variables and, more generally, of independent Gamma ran…
Nonparametric monitoring of sunspot number observations: a case study
Sophie Mathieu, Laure Lefèvre, Rainer von Sachs +3
Solar activity is an important driver of long-term climate trends and must be accounted for in climate models. Unfortunately, direct measurements of this quantity over long periods…
Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage
Ansgar Steland, Rainer von Sachs
We establish large sample approximations for an arbitray number of bilinear forms of the sample variance-covariance matrix of a high-dimensional vector time series using -…
Intrinsic data depth for Hermitian positive definite matrices
Joris Chau, Hernando Ombao, Rainer von Sachs
Nondegenerate covariance, correlation and spectral density matrices are necessarily symmetric or Hermitian and positive definite. The main contribution of this paper is the develop…
Large-sample approximations for variance-covariance matrices of high-dimensional time series
Ansgar Steland, Rainer von Sachs
Distributional approximations of (bi--) linear functions of sample variance-covariance matrices play a critical role to analyze vector time series, as they are needed for various p…
Time-frequency analysis of locally stationary Hawkes processes
François Roueff, Rainer Von Sachs
Locally stationary Hawkes processes have been introduced in order to generalise classical Hawkes processes away from stationarity by allowing for a time-varying second-order struct…