94 citations · 133 across the 33 of their papers we have counts for
5 papers · 1 filter
Simulation-based inference via telescoping ratio estimation for trawl processes
Dan Leonte, Raphaël Huser, Almut E. D. Veraart
The growing availability of large and complex datasets has increased interest in temporal stochastic processes that can capture stylized facts such as marginal skewness, non-Gaussi…
Causal tail coefficient for compound extremes in multivariate time series
Cathy Yin, Adam M. Sykulski, Almut E. D. Veraart
Extreme events are often multivariate in nature. A compound extreme occurs when a combination of variables jointly produces a significant impact, even if individual components are…
Learning with Expected Signatures: Theory and Applications
Lorenzo Lucchese, Mikko S. Pakkanen, Almut E. D. Veraart
The expected signature maps a collection of data streams to a lower dimensional representation, with a remarkable property: the resulting feature tensor can fully characterize the…
The Markov approximation of the periodic multivariate Poisson autoregression
Mahmoud Khabou, Edward A. K. Cohen, Almut E. D. Veraart
This paper introduces a periodic multivariate Poisson autoregression with potentially infinite memory, with a special focus on the network setting. Using contraction techniques, we…
Statistical inference for Levy-driven graph supOU processes: From short- to long-memory in high-dimensional time series
Shreya Mehta, Almut E. D. Veraart
This article introduces Levy-driven graph supOU processes, a parsimonious parametrisation for high-dimensional time series in which dependence between components is governed by a g…