363 citations · 719 across the 20 of their papers we have counts for
9 papers · 1 filter
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…
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…
Principal component analysis of periodically correlated functional time series
Łukasz Kidziński, Piotr Kokoszka, Neda Mohammadi Jouzdani
Within the framework of functional data analysis, we develop principal component analysis for periodically correlated time series of functions. We define the components of the abov…
Detection of periodicity in functional time series
Siegfried Hörmann, Piotr Kokoszka, Gilles Nisol
We derive several tests for the presence of a periodic component in a time series of functions. We consider both the traditional setting in which the periodic functional signal is…