• 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  

      On Locally Dyadic Stationary Processes 

      Moysiadis, Theodoros; Fokianos, Konstantinos (2017)
      We introduce the concept of local dyadic stationarity, to account for nonstationary time series, within the framework of Walsh-Fourier analysis. We define and study time-varying, dyadic, autoregressive, moving average ...
    • Conference Object  

      On the relation of nonanticipative rate distortion function and filtering theory 

      Charalambous, Charalambos D.; Stavrou, P. A. (2013)
      In this paper the relation between nonanticipative rate distortion function (RDF) and Bayesian filtering theory is investigated using the topology of weak convergence of probability measures on Polish spaces. The relation ...
    • Article  

      Series decomposition of fractional Brownian motion and its Lamperti transform 

      Baxevani, Anastassia; Podgórski, K. (2009)
      The Lamperti transformation of a self-similar process is a stationary process. In particular, the fractional Brownian motion transforms to the second order stationary Gaussian process. This process is represented as a ...
    • Article  

      Spectral estimation 

      Fokianos, Konstantinos (2010)
      Wereview spectral analysis and its application in inference for stationary processes. As can be seen from the list of references, the practice of spectral analysis is widespread in diverse scientific and engineering fields, ...