Jiti Gao: Nonlinear time series—semiparametric and nonparametric methods

An Improved Nonparametric Unit–Root Test Jiti Gao and Maxwell King An Improved Nonparametric Unit–Root Test

This paper proposes a simple and improved nonparametric unit–root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.

Nonlinear Time Series: Nonparametric and Parametric Methods

Nonlinear and Nonparametric Dynamical Methods in Economics and Finance

The objectives of the thesis which comprises six parts – can be summarized in i) implementing linear and nonlinear/nonparametric approaches toward detecting, measuring and analyzing the nature and directionality of causal relationships in financial markets, ii) elaborating on modern topics in financial investment analysis, iii) probing into the role of commodity futures in constructing optimal ...

Nonparametric Wavelet Methods for Nonstationary Time Series

This article gives an overview on nonparametric modelling of nonstationary time series and estimation of their time-changing spectral content by modern denoising (smoothing) methods. For the modelling aspect localized decompositions such as various local Fourier (spectral) representations are discussed, among which wavelet and local cosine bases are most prominent ones. For the estimation of th...

Comparison of nonparametric methods in nonlinear mixed effects models

During the drug development, nonlinear mixed effects models are routinely used to study the drug’s pharmacokinetics and pharmacodynamics. The distribution of random effects is of special interest because it allows to describe the heterogeneity of the drug’s kinetics or dynamics in the population of individuals studied. Parametric models are widely used, but they rely on a normality assumption w...