Description

Book Synopsis

- Part I Time Series and Econometrics.- Analysis of High-Frequency Seasonal Time Series.- Stochastic Volatility With Feedback.- Structural Breaks and Common Factors.- A Note About Calibration Tests for VaR and ES.- Dynamic Ordering Learning in Multivariate Forecasting.- A Generalization of the Ornstein-Uhlenbeck Process: Theoretical Results, Simulations and Estimation.- Does the Private Database Help to Explain Brazilian Inflation?.- Identifiability and Whittle Estimation of Periodic ARMA Models.- Dynamic Factor Copulas for Minimum-CVaR Portfolio Optimization.- Part II Wavelets.- Does White Noise Dream of Square Waves?: A Matching Pursuit Conundrum.- Robust Wavelet-based Assessment of Scaling with Applications.- An Overview of Spectral Graph Wavelets.- Statistical Inferences on Brain Functional Networks Using Graph Theory and Multivariate Wavestrapping: An fNIRS Hyperscanning Illustration.- UtilizingWavelet Transform in the Analysis of Scaling Dynamics for Milk Quality Evaluation.- Wavelet Estimation of Nonstationary Spatial Covariance Function.

Time Series and Wavelet Analysis

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    A Hardback by Chang Chiann

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      Publisher: Springer
      Publication Date: 12/20/2024
      ISBN13: 9783031663970, 978-3031663970
      ISBN10: 3031663977
      Also in:
      Probability and statistics

      Description

      Book Synopsis

      - Part I Time Series and Econometrics.- Analysis of High-Frequency Seasonal Time Series.- Stochastic Volatility With Feedback.- Structural Breaks and Common Factors.- A Note About Calibration Tests for VaR and ES.- Dynamic Ordering Learning in Multivariate Forecasting.- A Generalization of the Ornstein-Uhlenbeck Process: Theoretical Results, Simulations and Estimation.- Does the Private Database Help to Explain Brazilian Inflation?.- Identifiability and Whittle Estimation of Periodic ARMA Models.- Dynamic Factor Copulas for Minimum-CVaR Portfolio Optimization.- Part II Wavelets.- Does White Noise Dream of Square Waves?: A Matching Pursuit Conundrum.- Robust Wavelet-based Assessment of Scaling with Applications.- An Overview of Spectral Graph Wavelets.- Statistical Inferences on Brain Functional Networks Using Graph Theory and Multivariate Wavestrapping: An fNIRS Hyperscanning Illustration.- UtilizingWavelet Transform in the Analysis of Scaling Dynamics for Milk Quality Evaluation.- Wavelet Estimation of Nonstationary Spatial Covariance Function.

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