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math.ST2016
Identifying the Spectral Representation of Hilbertian Time Series
Eduardo Horta, Flavio Ziegelmann
We provide square-root n consistency results regarding estimation of the spectral representation of covariance operators of Hilbertian time series, in a setting with imperfect meas…
math.ST2016
Conjugate Processes: Theory and Application to Risk Forecasting
Eduardo Horta, Flavio Ziegelmann
Many dynamical phenomena display a cyclic behavior, in the sense that time can be partitioned into units within which distributional aspects of a process are homogeneous. In this p…