Independent block identification in multivariate time series

DOI10.1111/JTSA.12553MaRDI QIDQ4997685zbMATH OpenOpenAlexWikidataFDO

Authors Matías Lopez-Rosenfeld, Daniela Rodriguez, Magno T. F. Severino, Mariela Sued, Florencia Leonardi

Publication date 30 June 2021

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12553

zbMATH Keywords

dimensionality reductionmodel selectionregularized estimatorstructure estimation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to environmental and related topics (62P12)

Recommendations

• A Unified Approach to Identifying Multivariate Time Series Models
• Multiple block sizes and overlapping blocks for multivariate time series extremes
• IDENTIFYING MULTIVARIATE TIME SERIES MODELS
• Identification of block-oriented systems: nonparametric and semiparametric inference
• Decomposition of the multi-dimensional time series identification problem
• scientific article; zbMATH DE number 3761255
• Nonparametric instrumental variables for identification of block-oriented systems
• The block-block bootstrap for time series

Cites work

• A model selection approach for multiple sequence segmentation and dimensionality reduction
• An asymptotic decomposition for multivariate distribution-free tests of independence
• Brownian distance covariance
• Concentration inequalities and model selection. Ecole d'Eté de Probabilités de Saint-Flour XXXIII -- 2003.
• Consistent nonparametric tests of independence
• From Distance Correlation to Multiscale Graph Correlation
• scientific article; zbMATH DE number 3622780 (Why is no real title available?)
• Kernel methods for measuring independence
• Large-scale typicality of Markov sample paths and consistency of MDL order estimators
• Measuring and testing dependence by correlation of distances
• Tail behaviour for suprema of empirical processes
• Tests of independence and randomness based on the empirical copula process
• Uniform convergence of Vapnik-Chervonenkis classes under ergodic sampling

Cited in

(2)

• Structure recovery for partially observed discrete Markov random fields on graphs under not necessarily positive distributions
• Model selection for Markov random fields on graphs under a mixing condition

This page was built for publication: Independent block identification in multivariate time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4997685)