523 citations · 1.6k across the 17 of their papers we have counts for
3 papers · 2 filters
Analysis of nonstationary modulated time series with applications to oceanographic flow measurements
Arthur P. Guillaumin, Adam M. Sykulski, Sofia C. Olhede +2
We propose a new class of univariate nonstationary time series models, using the framework of modulated time series, which is appropriate for the analysis of rapidly-evolving time…
The De-Biased Whittle Likelihood
Adam M. Sykulski, Sofia C. Olhede, Arthur P. Guillaumin +2
The Whittle likelihood is a widely used and computationally efficient pseudo-likelihood. However, it is known to produce biased parameter estimates for large classes of models. We…
Fractional Brownian motion, the Matern process, and stochastic modeling of turbulent dispersion
J. M. Lilly, A. M. Sykulski, J. J Early +1
Stochastic process exhibiting power-law slopes in the frequency domain are frequently well modeled by fractional Brownian motion (fBm). In particular, the spectral slope at high fr…