Search Results for author: Dag Tjøstheim

Found 4 papers, 3 papers with code

Statistical embedding: Beyond principal components

no code implementations3 Jun 2021 Dag Tjøstheim, Martin Jullum, Anders Løland

Another type of data sets with a tremendous growth is very high-dimensional network data.

Local Gaussian cross-spectrum analysis

1 code implementation8 Aug 2017 Lars Arne Jordanger, Dag Tjøstheim

The local Gaussian cross-spectrum has the desirable property that it coincides with the ordinary cross-spectrum for Gaussian time series, which implies that it can be used to detect non-Gaussian traits in the time series under investigation.

Methodology

Nonlinear spectral analysis: A local Gaussian approach

1 code implementation7 Aug 2017 Lars Arne Jordanger, Dag Tjøstheim

Asymmetries between the upper and lower tails of a time series can be investigated by means of the local Gaussian autocorrelations $\gamma_{v}(h)$ introduced in Tj{\o}stheim and Hufthammer (2013), and these local measures of dependence can be used to construct the local Gaussian spectral density $f_{v}(\omega)$ that is presented in this paper.

Methodology

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