Greta Goracci
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View article: Strategic Play and Home Advantage: Coaches' Tactical Impact in Serie A
Strategic Play and Home Advantage: Coaches' Tactical Impact in Serie A Open
We analyze how coaching strategies affect goal difference and home win probabilities using hand-coded Serie A match commentary (2011/12--2013/14). Our dataset captures in-game dynamics, referee actions, and team behavior. Applying generali…
View article: Inference in matrix-valued time series with common stochastic trends and multifactor error structure
Inference in matrix-valued time series with common stochastic trends and multifactor error structure Open
We develop an estimation methodology for a factor model for high-dimensional matrix-valued time series, where common stochastic trends and common stationary factors can be present. We study, in particular, the estimation of (row and column…
View article: Testing for Threshold Effects in the Presence of Heteroskedasticity and Measurement Error With an Application to Italian Strikes
Testing for Threshold Effects in the Presence of Heteroskedasticity and Measurement Error With an Application to Italian Strikes Open
We address the issue of testing for threshold nonlinearity in the conditional mean in the presence of conditional heteroskedasticity. We propose a supremum Lagrange multiplier approach to test a linear ARMA‐GARCH model versus a TARMA‐GARCH…
View article: Information, Coding, and Biological Function: The Dynamics of Life
Information, Coding, and Biological Function: The Dynamics of Life Open
In the mid-20th century, two new scientific disciplines emerged forcefully: molecular biology and information-communication theory. At the beginning, cross-fertilization was so deep that the term genetic code was universally accepted for d…
View article: Testing for Threshold Effects in Presence of Heteroskedasticity and Measurement Error with an application to Italian Strikes
Testing for Threshold Effects in Presence of Heteroskedasticity and Measurement Error with an application to Italian Strikes Open
Many macroeconomic time series are characterised by nonlinearity both in the conditional mean and in the conditional variance and, in practice, it is important to investigate separately these two aspects. Here we address the issue of testi…
View article: tseriesTARMA: Analysis of Nonlinear Time Series Through Threshold Autoregressive Moving Average Models (TARMA) Models
tseriesTARMA: Analysis of Nonlinear Time Series Through Threshold Autoregressive Moving Average Models (TARMA) Models Open
description: Routines for nonlinear time series analysis based on Threshold Autoregressive Moving Average models. It provides functions and methods for: TARMA model fitting and forecasting, tests for threshold effects, unit-root tests base…
View article: Entropy-Based Tests for Complex Dependence in Economic and Financial Time Series with the R Package tseriesEntropy
Entropy-Based Tests for Complex Dependence in Economic and Financial Time Series with the R Package tseriesEntropy Open
Testing for complex serial dependence in economic and financial time series is a crucial task that bears many practical implications. However, the linear paradigm remains pervasive among practitioners as the autocorrelation function, becau…
View article: The validity of bootstrap testing for threshold autoregression
The validity of bootstrap testing for threshold autoregression Open
We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend to be biased in case of small, or even moderate sample sizes…
View article: Robust estimation for Threshold Autoregressive Moving-Average models
Robust estimation for Threshold Autoregressive Moving-Average models Open
Threshold autoregressive moving-average (TARMA) models are popular in time series analysis due to their ability to parsimoniously describe several complex dynamical features. However, neither theory nor estimation methods are currently ava…
View article: Testing for Threshold Regulation in Presence of Measurement Error
Testing for Threshold Regulation in Presence of Measurement Error Open
Regulation is an important feature of dynamic phenomena, and is commonly tested within the threshold autoregressive setting, with the null hypothesis being a global nonstationary process. Nonetheless, this setting is debatable, because dat…
View article: A multivariate extension of the Misspecification-Resistant Information Criterion
A multivariate extension of the Misspecification-Resistant Information Criterion Open
The Misspecification-Resistant Information Criterion (MRIC) proposed in [H.-L. Hsu, C.-K. Ing, H. Tong: On model selection from a finite family of possibly misspecified time series models. The Annals of Statistics. 47 (2), 1061--1087 (2019…
View article: The validity of bootstrap testing in the threshold framework
The validity of bootstrap testing in the threshold framework Open
We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend to be oversized in the case of small, or even moderate sampl…
View article: Testing for Threshold Effects in the TARMA Framework
Testing for Threshold Effects in the TARMA Framework Open
We present supremum Lagrange Multiplier tests to compare a linear ARMA specification against its threshold ARMA extension. We derive the asymptotic distribution of the test statistics both under the null hypothesis and contiguous local alt…
View article: A role for circular code properties in translation
A role for circular code properties in translation Open
Circular codes represent a form of coding allowing detection/correction of frameshift errors. Building on recent theoretical advances on circular codes, we provide evidence that protein coding sequences exhibit in-frame circular code marks…
View article: Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models Open
The class of threshold autoregressive models has been proven to be a powerful and appropriate tool to describe many dynamical phenomena in different fields. In this work, we deploy the threshold autoregressive moving-average framework to r…
View article: Unit-root test within a threshold ARMA framework
Unit-root test within a threshold ARMA framework Open
We propose a new unit-root test based on Lagrange Multipliers, where we extend the null hypothesis to an integrated moving-average process (IMA(1,1)) and the alternative to a first-order threshold autoregressive moving-average process (TAR…
View article: Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis
Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis Open
Regulation is an important feature characterising many dynamical phenomena and can be tested within the threshold autoregressive setting, with the null hypothesis being a global non-stationary process. Nonetheless, this setting is debatabl…
View article: Threshold Autoregressive Moving-Average models: probabilistic structure, statistical aspects and applications
Threshold Autoregressive Moving-Average models: probabilistic structure, statistical aspects and applications Open
The thesis analyses threshold autoregressive moving-average models (TARMA). They are an extension of threshold autoregressive models (TAR) as to allow serially dependent noise. TARMA models describe parsimoniously many non-linear phenomena…