Conditionally specified stochastic processes for graphical modeling of stationary multivariate time series (with Anirban Bhattacharya and Jan Johannes) (2025). Preprint
The dual frequency spectral density function of periodic locally stationary processes with an application to testing for correlation between different frequency bands of a time series (with Pramita Bagchi, Noah Bolanos and Jaeseon Lee) (2025). To appear Journal of Time Series Analysis. Preprint and Appendix
Inverse covariance operators of multivariate nonstationary time series (with Jonas Krampe) (2024). Bernoulli (30) Pages 1177-1196. Paper
Graphical models for nonstationary time series (with Sumanta Basu) (2023). Annals of Statistics (51) Pages 1453 - 1483. Paper
A prediction perspective on the Wiener-Hopf equations for discrete time series (with Junho Yang) (2023). Journal of Time Series Analysis (44) Pages 23-42. Paper
Reconciling the Gaussian and Whittle likelihood with an application to estimating in the frequency domain (with Junho Yang) (2021). Annals of Statistics (49) Pages 2774-2081. Paper . Here is a summary of the paper Link (by Junho Yang) and Talk
Spectral methods for small sample time series: A complete periodogram approach (with Sourav Das and Junho Yang) (2021). Journal of Time Series Analysis (42) Pages 597-621. Paper and accompanying R package (written by Junho Yang)
Statistical inference for spatial statistics defined in the Fourier domain (2018). Annals of Statistics (46) Pages 469-499. Paper
Orthogonal samples for estimators in Time Series (2018) Journal of Time Series Analysis (39) Pages 313-337. Paper
A note on general quadratic forms of nonstationary time series (with Junbum Lee) (2017). Statistics (51), Pages 949-968. Paper
A spectral test for stationarity for spatio-temporal data (with Soutir Bandyopadhyay and Carsten Jentsch) (2017). Journal of Time Series Analysis (38) Pages 326-351. Paper
A test for stationarity of irregular spaced spatial data (2017) (with Soutir Bandyopadhyay). Journal of the Royal Statistical Society (Series B) (79), pages 95--123. Paper and Supplementary Material
A test for second order stationarity of a multivariate time series (with Carsten Jentsch) (2015). Journal of Econometrics (185), Pages 124-161. Paper
Multiple-change-point detection for autoregressive conditionally heteroscedastic processes (with Piotr Fryzlewicz) (2014). Journal of the Royal Statistical Society Series B (76), Pages 903--924. Paper
Statistical inference for Stochastic Coefficient Regression models (2011). Handbook of Statistics, vol 30. Paper
The quantile spectral density and comparison based tests for nonlinear time series (with Junbum Lee) (2012). Technical Report. Paper
A test for second order stationarity based on the discrete Fourier transform (with Yogesh Dwivedi) 2011). Journal of Time Series Analysis (32), pages 68-91. Paper
On mixing properties of ARCH and time-varying ARCH processes, (with Piotr Fryzlewicz) (2011) Bernoulli (17), Pages 320-346. Paper
Nonparametric estimation for dependent data (with Jan Johannes) (2011) Journal of Nonparametric Statistics (23), Pages 661-681. Paper
Statistical analysis of a spatio-temporal model with location dependent parameters and a test for spatial stationarity (2008) Journal of Time Series Analysis (29) Pages 673-694. Paper
Normalised least squares estimation in time-varying ARCH models (with Piotr Fryzlewicz and Theofanis Sapatinas) (2008) Annals of Statistics (36) Pages 742--786. Paper
A note on uniform convergence of an ARCH(infinity) estimator (2006). Sankhya (68) Pages 600-620. Paper
A recursive online algorithm for the estimation of time-varying ARCH parameters (with Rainer Dahlhaus) (2007) Bernoulli (13). Pages 389-422. Paper and Technical Report
Statistical analysis and time series models for minimum/maximum temperatures in the Antarctic Peninsula (with Gillian Hughes and Tata Subba Rao) (2007). Proceedings of the Royal Society A. (463) Pages 241-259. Paper
On some nonstationary, nonlinear random processes and their stationary approximations (2006) Advances in Applied Probability (38) Pages 1155--1172. Paper
Haar-Fisz technique for locally stationary volatility estimation with Piotr Fryzlewicz and Theofanis Sapatinas) (2006) Biometrika (93). Pages 687-704. Paper
Statistical Inference for time-varying ARCH processes. (with Rainer Dahlhaus) (2006). Annals of Statistics (34). Pages 1074-1114. Paper
On multiple regression models with nonstationary correlated errors (2004). Biometrika (91) Pages 645-659. Paper