Concept
Autocovariance
Publications associées (34)
Transportation-based functional ANOVA and PCA for covariance operators
Victor Panaretos, Yoav Zemel, Valentina Masarotto
We consider the problem of comparing several samples of stochastic processes with respect to their second-order structure, and describing the main modes of variation in this second order structure, if present. These tasks can be seen as an Analysis of Vari ...
Inst Mathematical Statistics-Ims2024Detecting whether a stochastic process is finitely expressed in a basis
Victor Panaretos, Neda Mohammadi Jouzdani
Is it possible to detect if the sample paths of a stochastic process almost surely admit a finite expansion with respect to some/any basis? The determination is to be made on the basis of a finite collection of discretely/noisily observed sample paths. We ...
ACADEMIC PRESS INC ELSEVIER SCIENCE2023Testing For The Rank Of A Covariance Operator
How can we discern whether the covariance operator of a stochastic pro-cess is of reduced rank, and if so, what its precise rank is? And how can we do so at a given level of confidence? This question is central to a great deal of methods for functional dat ...
INST MATHEMATICAL STATISTICS-IMS2022