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03/24/2023
Clustering Multivariate Time Series using Energy Distance
A novel methodology is proposed for clustering multivariate time series ...
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11/23/2022
Kernel PCA for multivariate extremes
We propose kernel PCA as a method for analyzing the dependence structure...
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11/15/2021
Spectral learning of multivariate extremes
We propose a spectral clustering algorithm for analyzing the dependence ...
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08/06/2020
Modeling of time series using random forests: theoretical developments
In this paper we study asymptotic properties of random forests within th...
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04/17/2019
Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates
We estimate the parameter of a time series process by minimizing the int...
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03/02/2019
Goodness-of-Fit Testing for Time Series Models via Distance Covariance
In many statistical modeling frameworks, goodness-of-fit tests are typic...
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12/20/2017
Extreme Value Analysis Without the Largest Values: What Can Be Done?
In this paper we are concerned with the analysis of heavy-tailed data wh...
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12/19/2017