363 citations · 719 across the 20 of their papers we have counts for
23 papers
Two approaches to multiple canonical correlation analysis for repeated measures data
Tomasz Górecki, Mirosław Krzyśko, Felix Gnettner +1
In classical canonical correlation analysis (CCA), the goal is to determine the linear transformations of two random vectors into two new random variables that are most strongly co…
Extremal correlation coefficient for functional data
Mihyun Kim, Piotr Kokoszka
We propose a coefficient that measures dependence in paired samples of functions. It has properties similar to the Pearson correlation, but differs in significant ways: (i) it is d…
Estimation of the long-run variance of nonlinear time series with an application to change point analysis
Vaidotas Characiejus, Piotr Kokoszka, Xiangdong Meng
For a broad class of nonlinear time series known as Bernoulli shifts, we establish the asymptotic normality of the smoothed periodogram estimator of the long-run variance. This est…
Functional diffusion driven stochastic volatility model
Piotr Kokoszka, Neda Mohammadi, Haonan Wang +1
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday pric…
Testing normality of spatially indexed functional data
Thomas Kuenzer, Siegfried Hörmann, Piotr Kokoszka
We develop a test of normality for spatially indexed functions. The assumption of normality is common in spatial statistics, yet no significance tests, or other means of assessment…
Wasserstein Autoregressive Models for Density Time Series
Chao Zhang, Piotr Kokoszka, Alexander Petersen
Data consisting of time-indexed distributions of cross-sectional or intraday returns have been extensively studied in finance, and provide one example in which the data atoms consi…