Browsing by Author "Politis, Dimitris Nicolas"
Now showing items 120 of 167

Article
AAA Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support
Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2015)The asymptotic behaviour of nonparametric estimators of the stationary density and of the spectral density function of a stationary process have been studied in some detail in the last 5060years. Nevertheless, less is ...

Article
Adaptive bandwidth choice
Politis, Dimitris Nicolas (2003)In this paper, we consider the problem of bandwidth choice in the parallel settings of nonparametric kernel smoothed spectra] density and probability density estimation. We propose a new class of 'plugin' type bandwidth ...

Article
Aggregation of spectral density estimators
Chang, Christopher C.; Politis, Dimitris Nicolas (2014)Given stationary time series data, we study the problem of finding the best linear combination of a set of lag window spectral density estimators with respect to the mean squared risk. We present an aggregation procedure ...

Article
An algorithm for robust fitting of autoregressive models
Politis, Dimitris Nicolas (2009)An algorithm for robust fitting of AR models is given, based on a linear regression idea. The new method appears to outperform the YuleWalker estimator in a setting of data contaminated with outliers. © 2008 Elsevier B.V. ...

Article
Application of three bivariate timevarying volatility models
Vrontos, Ioannis D.; Giakoumatos, Stefanos G.; Dellaportas, Petros; Politis, Dimitris Nicolas (2001)The multivariate timevarying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCHGARCH models and a bivariate unobserved ARCH model to a series ...

Article
An application of three bivariate timevarying volatility models
Vrontos, Ioannis D.; Giakoumatos, Stefanos G.; Dellaportas, Petros; Politis, Dimitris Nicolas (2001)The multivariate timevarying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCHGARCH models and a bivariate unobserved ARCH model to a series ...

Article
ARM A Models, Prewhitening, and Minimum Gross Entropy
Politis, Dimitris Nicolas (1993)The problem of spectral estimation on the basis of observations from a finite stretch of a stationary time series is considered, in connection with knowledge of a prior estimate of the spectral density. In general, the ...

Article
The asymptotic size and power of the augmented Dickey–Fuller test for a unit root
Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2016)It is shown that the limiting distribution of the augmented Dickey–Fuller (ADF) test under the null hypothesis of a unit root is valid under a very general set of assumptions that goes far beyond the linear AR(∞) process ...

Article
The asymptotic size and power of the augmented Dickey–Fuller test for a unit rootAAA
Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2016)It is shown that the limiting distribution of the augmented Dickey–Fuller (ADF) test under the null hypothesis of a unit root is valid under a very general set of assumptions that goes far beyond the linear AR(∞) process ...

Article
Automatic BlockLength Selection for the Dependent Bootstrap
Politis, Dimitris Nicolas; White, H. (2004)We review the different block bootstrap methods for time series, and present them in a unified framework. We then revisit a recent result of Lahiri [Lahiri, S. N. (1999b). Theoretical comparisons of block bootstrap methods, ...

Article
Bagging multiple comparisons from microarray data
Politis, Dimitris Nicolas (2008)Bagging and subagging procedures are put forth with the purpose of improving the discovery power in the context of largescale simultaneous hypothesis testing. Bagging and subagging significantly improve discovery power ...

Article
Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
McMurry, T. L.; Politis, Dimitris Nicolas (2010)We address the problem of estimating the autocovariance matrix of a stationary process. Under short range dependence assumptions, convergence rates are established for a gradually tapered version of the sample autocovariance ...

Article
Baxter’s inequality for triangular arrays
Meyer, M.; McMurry, T.; Politis, Dimitris Nicolas (2015)A central problem in time series analysis is prediction of a future observation. The theory of optimal linear prediction has been well understood since the seminal work of A. Kolmogorov and N. Wiener during World War II. ...

Article
Bayesian analysis of the unobserved ARCH model
Giakoumatos, Stefanos G.; Dellaportas, Petros; Politis, Dimitris Nicolas (2005)The Unobserved ARCH model is a good description of the phenomenon of changing volatility that is commonly appeared in the financial time series. We study this model adopting Bayesian inference via Markov Chain Monte Carlo ...

Article
BIAS‐CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
Politis, Dimitris Nicolas; Romano, J. P. (1995)Abstract. The theory of nonparametric spectral density estimation based on an observed stretch X1,…, XN from a stationary time series has been studied extensively in recent years. However, the most popular spectral estimators, ...

Article
Block Bootstrap for Poisson‐Sampled Almost Periodic Processes
Dehay, Dominique; Dudek, Anna E.; Cavaliere, Giuseppe; Politis, Dimitris Nicolas; Rahbek, Anders (2015)

Article
Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
Jentsch, C.; Politis, Dimitris Nicolas; Paparoditis Efstathios, E. (2015)We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuouspath block bootstrap scheme ...

Article
Block bootstrap theory for multivariate integrated and cointegrated processes
Jentsch, Carsten; Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2014)We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuouspath block bootstrap scheme ...

Article
Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
Jentsch, Carsten; Politis, Dimitris Nicolas; Paparoditis Efstathios, E.; Cavaliere, Giuseppe; Politis, Dimitris Nicolas; Rahbek, Anders (2014)

Conference Object
Bootstrap confidence bands for spectra and crossspectra
Politis, Dimitris Nicolas; Romano, Joseph P.; Lai, TzeLeung (Publ by IEEE, 1989)Summary form only given. Nonparametric bootstrap confidence intervals and bands have been constructed from kernel and lagwindow spectral estimators. The results can be of use in a finite sample situation, especially when ...