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Wasserstein autoregressive models for density time series

  • Published:2021-05-07 Issue:1 Volume:43 Page:30-52
  • ISSN:0143-9782
  • Container-title:Journal of Time Series Analysis
  • language:en
  • Short-container-title:Journal Time Series Analysis

Author:

Zhang Chao1ORCID,Kokoszka Piotr2ORCID,Petersen Alexander13ORCID

Affiliation:

1. Department of Statistics and Applied Probability University of California Santa Barbara Santa Barbara CA USA

2. Department of Statistics Colorado State University Fort Collins CO USA

3. Department of Statistics Brigham Young University Provo UT USA

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference39 articles.

1. A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns

2. Detecting changes in the mean of functional observations

3. Geodesic PCA in the Wasserstein space by convex PCA;Bigot J;Annales de l'Institut Henri Poincaré B: Probability and Statistics,2017

4. Linear Processes in Function Spaces

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