Blar i Department of Mathematics på forfatter "Tjøstheim, Dag Bjarne"

Viser treff 1-8 av 8

    • Local Gaussian Cross-Spectrum Analysis 

      Jordanger, Lars Arne; Tjøstheim, Dag Bjarne (Journal article; Peer reviewed, 2023)
      The ordinary spectrum is restricted in its applications, since it is based on the second-order moments (auto- and cross-covariances). Alternative approaches to spectrum analysis have been investigated based on other measures ...

    • Local Lead–Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis 

      Otneim, Håkon; Berentsen, Geir Drage; Tjøstheim, Dag Bjarne (Journal article; Peer reviewed, 2022)
      The Granger causality test is essential for detecting lead–lag relationships between time series. Traditionally, one uses a linear version of the test, essentially based on a linear time series regression, itself being ...

    • Multivariate count autoregression 

      Fokianos, Konstantinos; Støve, Bård; Tjøstheim, Dag Bjarne; Doukhan, Paul (Journal article; Peer reviewed, 2020)
      We are studying linear and log-linear models for multivariate count time series data with Poisson marginals. For studying the properties of such processes we develop a novel conceptual framework which is based on copulas. ...

    • Nonlinear Spectral Analysis: A Local Gaussian Approach 

      Jordanger, Lars Arne; Tjøstheim, Dag Bjarne (Journal article; Peer reviewed, 2022)
      The spectral distribution f(ω) of a stationary time series {Yt}t∈Z can be used to investigate whether or not periodic structures are present in {Yt}t∈Z, but f(ω) has some limitations due to its dependence on the autocovariances ...

    • Pairwise local Fisher and naive Bayes: Improving two standard discriminants 

      Otneim, Håkon; Jullum, Martin; Tjøstheim, Dag Bjarne (Journal article; Peer reviewed, 2020)
      The Fisher discriminant is probably the best known likelihood discriminant for continuous data. Another benchmark discriminant is the naive Bayes, which is based on marginals only. In this paper we extend both discriminants ...

    • Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations 

      Sleire, Anders Daasvand; Støve, Bård; Otneim, Håkon; Berentsen, Geir Drage; Tjøstheim, Dag Bjarne; Haugen, Sverre Hauso (Journal article; Peer reviewed, 2021)
      It is well known that there are asymmetric dependence structures between financial returns. This paper describes a portfolio selection method rooted in the classical mean–variance framework that incorporates such asymmetric ...

    • Robust nonlinear regression estimation in null recurrent time series 

      Bravo, Francesco; Li, Degui; Tjøstheim, Dag Bjarne (Journal article; Peer reviewed, 2021)
      In this article, we study parametric robust estimation in nonlinear regression models with regressors generated by a class of non-stationary and null recurrent Markov processes. The nonlinear regression functions can be ...

    • Some notes on nonlinear cointegration: A partial review with some novel perspectives 

      Tjøstheim, Dag Bjarne (Journal article; Peer reviewed, 2020)
      Some recent work on the analysis of nonlinear and nonstationary time series models is reviewed. A couple of novel results are obtained in extending nonlinear cointegrating regression models to a time series situation. All ...