Showing 1 - 10 of 38
Persistent link: https://www.econbiz.de/10009155239
Tests for shift detection in locally-stationary autoregressive time series are constructed which resist contamination by a substantial amount of outliers. Tests based on a comparison of local medians standardized by a highly robust estimate of the variability show reliable performance in a broad...
Persistent link: https://www.econbiz.de/10003835696
Abrupt shifts in the level of a time series represent important information and should be preserved in statistical signal extraction. We investigate rules for detecting level shifts that are resistant to outliers and which work with only a short time delay. The properties of robustified versions...
Persistent link: https://www.econbiz.de/10003581856
Methods of dimension reduction are very helpful and almost a necessity if we want to analyze high-dimensional time series since otherwise modelling affords many parameters because of interactions at various time-lags. We use a dynamic version of Sliced Inverse Regression (SIR; Li (1991)), which...
Persistent link: https://www.econbiz.de/10010316630
We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between...
Persistent link: https://www.econbiz.de/10010306285
Methods of dimension reduction are very helpful and almost a necessity if we want to analyze high-dimensional time series since otherwise modelling affords many parameters because of interactions at various time-lags. We use a dynamic version of Sliced Inverse Regression (SIR; Li (1991)), which...
Persistent link: https://www.econbiz.de/10010955462
We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between...
Persistent link: https://www.econbiz.de/10009295191
Persistent link: https://www.econbiz.de/10001813634
Persistent link: https://www.econbiz.de/10001788629
Persistent link: https://www.econbiz.de/10002363269