← All authors Alexander Aue University of California, Davis (from arXiv:2603.10272, 2026) · ORCID · OpenAlex
54 papers in scope · 53 published · 1 on the econ.EM arXiv · 2,192 citations · h-index 23 (over the papers listed here)
Papers (1 of 54)
working paper 2026 · arXiv
Editorial: Data Segmentation in Time Series: Structural Breaks and Real‐Time Monitoring
published 2026 · Journal of Time Series Analysis
with Claudia Kirch
Estimating invertible processes in Hilbert spaces, with applications to functional ARMA processes
published 2026 · Bernoulli · 1 citations · first circulated 2024
Benchmarking M6 competitors: An analysis of financial metrics and discussion of incentives
published 2025 · International Journal of Forecasting · 1 citations · first circulated 2024
with Matthew J. Schneider, Rufus Rankin, Prabir Burman
Soccer Analytics: An Introduction Using R
published 2024 · Journal of the American Statistical Association · 2 citations
The state of cumulative sum sequential changepoint testing 70 years after Page
published 2023 · Biometrika · 30 citations
with Claudia Kirch
Testing General Linear Hypotheses Under a High-Dimensional Multivariate Regression Model with Spiked Noise Covariance
published 2023 · Journal of the American Statistical Association · 3 citations
with Haoran Li, Debashis Paul, Jie Peng
Estimation of prediction error in time series
published 2023 · Biometrika · 2 citations
with Prabir Burman
Two-Sample Tests for Relevant Differences in the Eigenfunctions of Covariance Operators
published 2021 · Statistica Sinica · 4 citations · first circulated 2019
TIME SERIES: A FIRST COURSE WITH BOOTSTRAP STARTER, by Tucker S.McElroy and Dimitris N.Politis. Published by CRC Press, 2020. 586 pp. ISBN: 9781439876510
published 2021 · Journal of Time Series Analysis · 1 citations
Functional Time Series Prediction Under Partial Observation of the Future Curve
published 2021 · Journal of the American Statistical Association · 15 citations
with Shuhao Jiao, Hernando Ombao
High-dimensional general linear hypothesis tests via non-linear spectral shrinkage
published 2020 · Bernoulli · 8 citations · first circulated 2018
with Haoran Li, Debashis Paul
An adaptable generalization of Hotelling’s $T^{2}$ test in high dimension
published 2020 · The Annals of Statistics · 34 citations · first circulated 2016
with Haoran Li, Debashis Paul, Jie Peng, Pei Wang
Functional data analysis in the Banach space of continuous functions
published 2020 · The Annals of Statistics · 5 citations
Structural break analysis for spectrum and trace of covariance operators
published 2019 · Environmetrics · 1 citations · first circulated 2018
Bootstrapping spectral statistics in high dimensions
published 2019 · Biometrika
with Miles E. Lopes, Andrew Blandino
Detecting and Dating Structural Breaks in Functional Data Without Dimension Reduction
published 2017 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 109 citations · first circulated 2015
Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions
published 2017 · Bernoulli · 24 citations · first circulated 2015
with Lili Wang, Debashis Paul
Consistent Estimation for Partition-Wise Regression and Classification Models
published 2017 · IEEE Transactions on Signal Processing · 11 citations
with Rex C. Y. Cheung, Thomas C. M. Lee
Functional Generalized Autoregressive Conditional Heteroskedasticity
published 2016 · Journal of Time Series Analysis · 91 citations · first circulated 2015
Exploratory Analysis and Modeling of Stock Returns
published 2014 · Journal of Computational and Graphical Statistics · 6 citations
with Kimihiro Noguchi, Prabir Burman
Statistical Terminology
published 2014 · Wiley StatsRef: Statistics Reference Online
On the Prediction of Stationary Functional Time Series
published 2014 · Journal of the American Statistical Association · 233 citations · first circulated 2012
with Diogo Dubart Norinho, Siegfried Hörmann
Segmented Model Selection in Quantile Regression Using the Minimum Description Length Principle
published 2014 · Journal of the American Statistical Association · 32 citations
with Rex C. Y. Cheung, Thomas C. M. Lee, Ming Zhong
ON‐LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES
published 2014 · Journal of Time Series Analysis · 12 citations
with Christopher Dienes
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS
published 2013 · Econometric Theory
Random matrix theory in statistics: A review
published 2013 · Journal of Statistical Planning and Inference · 199 citations
with Debashis Paul
Dependent functional linear models with applications to monitoring structural change
published 2013 · Statistica Sinica · 46 citations
Structural breaks in time series
published 2012 · Journal of Time Series Analysis · 450 citations
On the reaction time of moving sum detectors
published 2012 · Journal of Statistical Planning and Inference · 18 citations
Segmenting mean-nonstationary time series via trending regressions
published 2012 · Journal of Econometrics · 13 citations
Local bandwidth selection via second derivative segmentation
published 2012 · Electronic Journal of Statistics
with Thomas C. M. Lee, Haonan Wang
On image segmentation using information theoretic criteria
published 2011 · The Annals of Statistics · 24 citations
with Thomas C. M. Lee
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
published 2011 · Econometric Theory · 61 citations
Mean shift testing in correlated data
published 2011 · Journal of Time Series Analysis · 71 citations
with Michael W. Robbins, Colin Gallagher, Robert Lund
Estimation of a change-point in the mean function of functional data
published 2009 · Journal of Multivariate Analysis · 85 citations
Delay times of sequential procedures for multiple time series regression models
published 2009 · Journal of Econometrics · 55 citations
ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
published 2009 · Econometric Theory · 16 citations
Extreme value theory for stochastic integrals of Legendre polynomials
published 2008 · Journal of Multivariate Analysis · 20 citations
Testing for changes in polynomial regression
published 2008 · Bernoulli · 38 citations
NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES
published 2008 · Econometric Theory · 13 citations
Extreme value distribution of a recursive-type detector in a linear model
published 2008 · Extremes · 4 citations
with Mario Kühn
Rescaled range analysis in the presence of stochastic trend
published 2007 · Statistics & Probability Letters · 1 citations
Monitoring shifts in mean: Asymptotic normality of stopping times
published 2007 · Test · 27 citations
A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS
published 2007 · Econometric Theory · 30 citations
Change‐point monitoring in linear models
published 2006 · Econometrics Journal · 107 citations
Strong approximation for the sums of squares of augmented GARCH sequences
published 2006 · Bernoulli · 84 citations
Estimation in Random Coefficient Autoregressive Models
published 2006 · Journal of Time Series Analysis · 76 citations
Testing for parameter stability in RCA(1) time series
published 2005 · Journal of Statistical Planning and Inference · 9 citations
Bericht über das Kölner Versicherungsmathematische Kolloquium im Sommersemester 2004
published 2004 · Blätter der DGVFM
with Mario Kühn
Strong approximation for RCA(1) time series with applications
published 2004 · Statistics & Probability Letters · 26 citations
Delay time in sequential detection of change
published 2004 · Statistics & Probability Letters · 77 citations
Approximations for the maximum of a vector-valued stochastic process with drift
published 2003 · Periodica Mathematica Hungarica · 1 citations
A note on estimating the change-point of a gradually changing stochastic process
published 2002 · Statistics & Probability Letters · 16 citations
with Josef Steinebach
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