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math.ST2019★ 2 cited
Strict Stationarity Testing and GLAD Estimation of Double Autoregressive Models
Shaojun Guo, Dong Li, Muyi Li
In this article we develop a tractable procedure for testing strict stationarity in a double autoregressive model and formulate the problem as testing if the top Lyapunov exponent…
math.ST2018★ 1 cited
A General Theory for Large-Scale Curve Time Series via Functional Stability Measure
Shaojun Guo, Xinghao Qiao
Modelling a large bundle of curves arises in a broad spectrum of real applications. However, existing literature relies primarily on the critical assumption of independent curve ob…
math.ST2015★ 1 cited
A Double AR Model Without Intercept: an Alternative to Modeling Nonstationarity and Heteroscedasticity
Dong Li, Shaojun Guo, Ke Zhu
This paper presents a double AR model without intercept (DARWIN model) and provides us a new way to study the non-stationary heteroskedastic time series. It is shown that the DARWI…