3 papers
math.PR2020
Limit results for functionals of weighted CUSUM processes
Lajos Horváth, Gregory Rice
The cumulative sum (CUSUM) process is often used in change point analysis to detect changes in the mean of sequentially observed data. We provide a full description of the asymptot…
stat.ME2020
Evaluating real-time probabilistic forecasts with application to National Basketball Association outcome prediction
Chi-Kuang Yeh, Gregory Rice, Joel A. Dubin
Motivated by the goal of evaluating real-time forecasts of home team win probabilities in the National Basketball Association, we develop new tools for measuring the quality of con…
math.ST2014
Testing for independence between functional time series
Lajos Horvath, Greg Rice
Frequently econometricians are interested in verifying a relationship between two or more time series. Such analysis is typically carried out by causality and/or independence tests…