-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …

over time and where possible serial correlation is modeled via stochastically time-varying intensities of the underlying … extension of numerically accelerated importance sampling techniques. We illustrate the new model by two empirical studies and …

-driven dynamics. The new models are highly flexible, scalable to high dimensions, and ensure positivity of covariance and correlation …

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of … daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by … appropriate distributional assumptions. The covariance matrix dynamics are formulated as a numerically efficient matrix recursion …

-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …

-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …