Now showing items 1-4 of 4

• Nonlinear cross-spectrum analysis via the local Gaussian correlation ﻿

(Journal article, 2017)
Spectrum analysis can detect frequency related structures in a time series $\{Y_t\}_{t\in\mathbb{Z}}$, but may in general be an inadequate tool if asymmetries or other nonlinear phenomena are present. This limitation is ...
• Nonlinear spectral analysis via the local Gaussian correlation ﻿

(Journal article, 2017)
The spectral distribution $f(\omega)$ of a stationary time series $\{Y_t\}_{t\in\mathbb{Z}}$ can be used to investigate whether or not periodic structures are present in $\{Y_t\}_{t\in\mathbb{Z}}$, but $f(\omega)$ ...
• Nonlinear Spectrum Analysis based on the Local Gaussian Correlation and Model Selection for Copulas ﻿

(Doctoral thesis, 2017-11-20)
• Semiparametric model selection for copulas ﻿

(Master thesis, 2013-06-03)
This thesis will consider the performance of the cross-validation copula information criterion, xv-CIC, in the realm of finite samples. The theory leading to the xv-CIC will be outlined, and an analysis will be conducted ...