137 citations · 346 across the 10 of their papers we have counts for
10 papers
A note on Herglotz's theorem for time series on function spaces
Anne van Delft, Michael Eichler
In this article, we prove Herglotz's theorem for Hilbert-valued time series. This requires the notion of an operator-valued measure, which we shall make precise for our setting. He…
Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
Michael Eichler, Rainer Dahlhaus, Johannes Dueck
Hawkes (1971) introduced a powerful multivariate point process model of mutually exciting processes to explain causal structure in data. In this paper it is shown that the Granger…
Locally Stationary Functional Time Series
Anne van Delft, Michael Eichler
The literature on time series of functional data has focused on processes of which the probabilistic law is either constant over time or constant up to its second-order structure.…
Data-adaptive estimation of time-varying spectral densities
Anne van Delft, Michael Eichler
This paper introduces a data-adaptive non-parametric approach for the estimation of time-varying spectral densities from nonstationary time series. Time-varying spectral densities…
Fitting Graphical Interaction Models to Multivariate Time Series
Michael Eichler
Graphical interaction models have become an important tool for analysing multivariate time series. In these models, the interrelationships among the components of a time series are…
Causal Reasoning in Graphical Time Series Models
Michael Eichler, Vanessa Didelez
We propose a definition of causality for time series in terms of the effect of an intervention in one component of a multivariate time series on another component at some later poi…