The present thesis deals with asymptotic analysis of financial time series models with conditional heteroscedasticity. It is well-established within financial econometrics that most financial time series data exhibit time varying conditional volatility, as well as other types of non-linearities. Reflecting this, all four essays of this thesis consider models allowing for time varying conditiona...

Relational data—like graphs, networks, and matrices—is often dynamic, where the relational structure evolves over time. A fundamental problem in the analysis of time-varying network data is to extract a summary of the common structure and the dynamics of the underlying relations between the entities. Here we build on the intuition that changes in the network structure are driven by dynamics at ...

In this paper we examine the forecast accuracy of four univariate time series models for 47 macroeconomic variables of the G7 economies. The models considered are the linear autoregressive model, the smooth transition autoregressive model, and two neural network models. The two neural network models are different because they are specified using two different techniques. Forecast accuracy is as...

Compressive sensing-based synthetic aperture radar (SAR) imaging has shown its superior capability in high-resolution image formation. However, most of those works focus on the scenes that can be sparsely represented in fixed spaces. When dealing with complicated scenes, these fixed spaces lack adaptivity in characterizing varied image contents. To solve this problem, a new compressive sensing-...

The autoregressive HMM has been shown to provide efficient parameter estimation and high-quality synthesis, but in previous experiments decision trees derived from a non-autoregressive system were used. In this paper we investigate the use of autoregressive clustering for autoregressive HMM-based speech synthesis. We describe decision tree clustering for the autoregressive HMM and highlight dif...