Search Results - "Davis, Richard A."

Clustering multivariate time series using energy distance by Davis, Richard A., Fernandes, Leon, Fokianos, Konstantinos

“…A novel methodology is proposed for clustering multivariate time series data using energy distance defined in Székely and Rizzo (2013). Specifically, a…”
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Structural Break Estimation for Nonstationary Time Series Models by Davis, Richard A, Lee, Thomas C. M, Rodriguez-Yam, Gabriel A

“…This article considers the problem of modeling a class of nonstationary time series using piecewise autoregressive (AR) processes. The number and locations of…”
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Towards estimating extremal serial dependence via the bootstrapped extremogram by Davis, Richard A., Mikosch, Thomas, Cribben, Ivor

“…Davis and Mikosch (2009a) introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time…”
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The pairwise beta distribution: A flexible parametric multivariate model for extremes by Cooley, Daniel, Davis, Richard A., Naveau, Philippe

“…We present a new parametric model for the angular measure of a multivariate extreme value distribution. Unlike many parametric models that are limited to the…”
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Sparse Vector Autoregressive Modeling by Davis, Richard A., Zang, Pengfei, Zheng, Tian

“…The vector autoregressive (VAR) model has been widely used for modeling temporal dependence in a multivariate time series. For large (and even moderate)…”
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Goodness-of-fit testing for time series models via distance covariance by Wan, Phyllis, Davis, Richard A.

“…In many statistical modeling frameworks, goodness-of-fit tests are typically administered to the estimated residuals. In the time series setting, whiteness of…”
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Count Time Series: A Methodological Review by Davis, Richard A., Fokianos, Konstantinos, Holan, Scott H., Joe, Harry, Livsey, James, Lund, Robert, Pipiras, Vladas, Ravishanker, Nalini

“…A growing interest in non-Gaussian time series, particularly in series comprised of nonnegative integers (counts), is taking place in today's statistics…”
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COVID-19 cases and deaths in the United States follow Taylor's law for heavy-tailed distributions with infinite variance by Cohen, Joel E, Davis, Richard A, Samorodnitsky, Gennady

“…The spatial and temporal patterns of severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) cases and COVID-19 deaths in the United States are poorly…”
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Noncausal vector AR processes with application to economic time series by Davis, Richard A., Song, Li

“…Inference procedures for noncausal autoregressive (AR) models have been well studied and applied in a variety of applications from environmental to financial…”
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Stratigraphy of washover deposits in Florida: implications for recognition in the stratigraphic record by Sedgwick, Peter E, Davis, Richard A

“…Twelve washover deposits were cored on the west-central Gulf Coast of Florida to provide data to permit development of a model to help identify washover facies…”
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A Characterization of Multivariate Regular Variation by Basrak, Bojan, Davis, Richard A., Mikosch, Thomas

“…We establish the equivalence between the multivariate regular variation of a random vector and the univariate regular variation of all linear combinations of…”
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The extremogram: A correlogram for extreme events by DAVIS, RICHARD A., MIKOSCH, THOMAS

“…We consider a strictly stationary sequence of random vectors whose finite-dimensional distributions are jointly regularly varying with some positive index…”
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Applications of distance correlation to time series by DAVIS, RICHARD A., MATSUI, MUNEYA, MIKOSCH, THOMAS, WAN, PHYLLIS

“…The use of empirical characteristic functions for inference problems, including estimation in some special parametric settings and testing for goodness of fit,…”
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Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes by Brockwell, Peter J., Davis, Richard A., Yang, Yu

“…Continuous-time autoregressive moving average (CARMA) processes with a nonnegative kernel and driven by a nondecreasing Lévy process constitute a very general…”
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Self-Excited Threshold Poisson Autoregression by Wang, Chao, Liu, Heng, Yao, Jian-Feng, Davis, Richard A, Li, Wai Keung

“…This article studies theory and inference of an observation-driven model for time series of counts. It is assumed that the observations follow a Poisson…”
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Statistical inference for max-stable processes in space and time by Davis, Richard A., Klüppelberg, Claudia, Steinkohl, Christina

“…Max-stable processes have proved to be useful for the statistical modelling of spatial extremes. Several families of max-stable random fields have been…”
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Inference on the tail process with application to financial time series modeling by Davis, Richard A., Drees, Holger, Segers, Johan, Warchoł, Michał

“…To draw inference on serial extremal dependence within heavy-tailed Markov chains, Drees et al., (2015) proposed nonparametric estimators of the spectral tail…”
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Chemical Engineering Analysis through Systematic Modeling and Optimization by Xie, Weiguo, Davis, Richard A

“…A chemical engineering analysis course was modified to include analytics with advanced numerical methods. The course uses the MATLAB computational environment…”
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Maximum Likelihood Estimation for α-Stable Autoregressive Processes by Andrews, Beth, Calder, Matthew, Davis, Richard A.

“…We consider maximum likelihood estimation for both causal and noncausal autoregressive time series processes with non-Gaussian α-stable noise. A nondegenerate…”
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Threshold selection for multivariate heavy-tailed data by Wan, Phyllis, Davis, Richard A.

“…Regular variation is often used as the starting point for modeling multivariate heavy-tailed data. A random vector is regularly varying if and only if its…”
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