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Mathematics

D-Index
47
Citations
10709
World Ranking
1251
National Ranking
558

Overview

Piotr Kokoszka is affiliated with Colorado State University in the United States. Their research primarily focuses on the intersection of economics, econometrics, finance, and statistics, with a significant contribution to the analysis of financial risk and volatility as well as time series and complex systems.

The main fields of study for Kokoszka include:

  • Economics, Econometrics and Finance

The subfields of their research are diversified across:

  • Economics and Econometrics
  • Finance
  • Statistics and Probability
  • Artificial Intelligence
  • Global and Planetary Change

Key topics that characterize Kokoszka's work involve:

  • Financial Risk and Volatility Modeling
  • Complex Systems and Time Series Analysis
  • Statistical Methods and Inference
  • Soil Geostatistics and Mapping
  • Spatial and Panel Data Analysis
  • Market Dynamics and Volatility
  • Advanced Statistical Methods and Models

Piotr Kokoszka has published multiple recent papers in notable academic journals. Some selected works include:

  • "Modeling Probability Density Functions as Data Objects," 2021, Econometrics and Statistics
  • "Wasserstein autoregressive models for density time series," 2021, Journal of Time Series Analysis
  • "Principal Component Analysis of Spatially Indexed Functions," 2020, Journal of the American Statistical Association
  • "Monitoring for a change point in a sequence of distributions," 2021, The Annals of Statistics
  • "Neural network prediction of crude oil futures using B-splines," 2020, Energy Economics

The scientist's frequent publication venues include:

  • Journal of Time Series Analysis
  • arXiv (Cornell University)
  • Journal of Multivariate Analysis
  • Bernoulli
  • Econometrics and Statistics

Collaborations have been an important aspect of Kokoszka's work, with frequent co-authors including:

  • Shixuan Wang
  • Tim Kutta
  • Neda Mohammadi
  • Lajos Horváth
  • Alexander Petersen

Best Publications

  • Inference for Functional Data with Applications

    Lajos Horváth;Piotr Kokoszka

  • GARCH processes: structure and estimation

    Istv 'an Berkes;Lajos Horv 'ath;Piotr Kokoszka

  • Introduction to Functional Data Analysis

    Piotr Kokoszka;Matthew Reimherr

  • Rescaled variance and related tests for long memory in volatility and levels

    Liudas Giraitis;Piotr Kokoszka;Remigijus Leipus;Gilles Teyssière

  • Weakly dependent functional data

    Siegfried Hörmann;Piotr Kokoszka

  • STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

    Liudas Giraitis;Piotr Kokoszka;Remigijus Leipus

  • Change-point estimation in ARCH models

    Piotr Kokoszka;Remigijus Leipus

  • Monitoring changes in linear models

    Lajos Horváth;Marie Hušková;Piotr Kokoszka;Josef Steinebach

  • Testing stationarity of functional time series

    Lajos Horváth;Piotr Kokoszka;Gregory Rice

  • Fractional ARIMA with stable innovations

    Piotr S. Kokoszka;Murad S. Taqqu

  • Detecting changes in the mean of functional observations

    István Berkes;Robertas Gabrys;Lajos Horváth;Piotr Kokoszka

  • Estimation of the mean of functional time series and a two-sample problem

    Lajos Horváth;Piotr Kokoszka;Ron Reeder

  • On discriminating between long-range dependence and changes in mean

    István Berkes;Lajos Horváth;Piotr Kokoszka;Qi-Man Shao

  • SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

    István Berkes;Edit Gombay;Lajos Horváth;Piotr Kokoszka

  • Parameter estimation for infinite variance fractional ARIMA

    Piotr S. Kokoszka;Murad S. Taqqu

  • Change-point in the mean of dependent observations

    Piotr Kokoszka;Remigijus Leipus

  • Testing the Equality of Covariance Operators in Functional Samples

    Stefan Fremdt;Josef G. Steinebach;Lajos Horváth;Piotr Kokoszka

  • Change-point monitoring in linear models

    Alexander Aue;Lajos Horváth;Marie Hušková;Piotr Kokoszka

  • Testing for long memory in the presence of a general trend

    Liudas Giraitis;Piotr Kokoszka;Remigijus Leipus

  • Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes

    Lajos Horváth;Piotr Kokoszka;Josef Steinebach

  • Testing for parameter changes in ARCH models

    P. Kokoszka;R. Leipus;R. Leipus

Frequent Co-Authors

Lajos Horváth
Lajos Horváth University of Utah
Jan Josef Sojka
Jan Josef Sojka Utah State University
Murad S. Taqqu
Murad S. Taqqu Boston University
Liudas Giraitis
Liudas Giraitis Queen Mary University of London
Ričardas Zitikis
Ričardas Zitikis University of Western Ontario
Thomas Mikosch
Thomas Mikosch University of Copenhagen
Wolfgang Karl Härdle
Wolfgang Karl Härdle Humboldt-Universität zu Berlin
Frédéric Ferraty
Frédéric Ferraty University of Toulouse-Jean Jaurès
Byeong U. Park
Byeong U. Park Seoul National University
Dimitris N. Politis
Dimitris N. Politis University of California, San Diego

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