On detecting jumps in time series: nonparametric setting

A Survey on Nonparametric Time Series Analysis

Detecting Huntington Patient Using Chaotic Features of Gait Time Series

Huntington's disease (HD) is a congenital, progressive, neurodegenerative disorder characterized by cognitive, motor, and psychological disorders. Clinical diagnosis of HD relies on the manifestation of movement abnormalities. In this study, we introduce a mathematical method for HD detection using step spacing. We used 16 walking signals as control and 20 walking signals as HD. We took a s...

Confidence Bands in Nonparametric Time Series Regression

We consider nonparametric estimation of mean regression and conditional variance (or volatility) functions in nonlinear stochastic regression models. Simultaneous confidence bands are constructed and the coverage probabilities are shown to be asymptotically correct. The imposed dependence structure allows applications in many linear and nonlinear auto-regressive processes. The results are appli...

Nonparametric sequential prediction of time series

Time series prediction covers a vast field of every-day statistical applications in medical, environmental and economic domains. In this paper we develop nonparametric prediction strategies based on the combination of a set of “experts” and show the universal consistency of these strategies under a minimum of conditions. We perform an indepth analysis of real-world data sets and show that these...

Simultaneous Nonparametric Inference of Time Series

We consider kernel estimation of marginal densities and regression functions of stationary processes. It is shown that for a wide class of time series, with proper centering and scaling, the maximum deviations of kernel density and regression estimates are asymptotically Gumbel. Our results substantially generalize earlier ones which were obtained under independence or beta mixing assumptions. ...