← All authors Alessandra Luati University of Bologna (per OpenAlex) · ORCID · OpenAlex
36 papers in scope · 36 published · 1 on the econ.EM arXiv · 470 citations · h-index 12 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Chen Tong Peter Reinhard Hansen Ilya Archakov Tong Chen Asger Lunde Xinxian Chen Zhuo Huang Yiyao Luo Rutger-Jan Lange Andre Lucas K. B. Gubbels Kim Christensen Thomas K. Kloster Fred Espen Benth Enzo D’Innocenzo Ramon de Punder Yuta Yamauchi Yasuhiro Omori Luca Fanelli Jarosław Kwapień Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 36)
Robust CDF‐Filtering of a Location Parameter
published 2025 · Journal of Time Series Analysis
Alessandra Luati’s contribution to the Discussion of ‘New tools for network time series with an application to COVID-19 hospitalisations’ by Nason et al.
published 2025 · Journal of the Royal Statistical Society Series A (Statistics in Society)
On the optimality of score-driven models
published 2023 · Biometrika · 26 citations
with P Gorgi, Christopher S. A. Lauria
Efficient nonparametric estimation of generalised autocovariances
published 2023 · Journal of nonparametric statistics · first circulated 2021
published 2023 · Econometric Reviews · 4 citations · first circulated 2020
Lasso-based variable selection methods in text regression: the case of short texts
published 2023 · AStA Advances in Statistical Analysis · 14 citations
with Marzia Freo
Semiparametric modeling of multiple quantiles
published 2022 · Journal of Econometrics · 11 citations · first circulated 2019
GARCH density and functional forecasts
published 2022 · Journal of Econometrics · 4 citations · first circulated 2018
Observation-driven models for discrete-valued time series
published 2022 · Electronic Journal of Statistics · 16 citations
with Mirko Armillotta, Monia Lupparelli
Score-Driven Modeling of Spatio-Temporal Data
published 2021 · Journal of the American Statistical Association · 17 citations
Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall
published 2021 · Econometrics and Statistics · 3 citations
Fused Graphical Lasso for Brain Networks with Symmetries
published 2021 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 10 citations
with Saverio Ranciati, Alberto Roverato
Explicit-duration Hidden Markov Models for quantum state estimation
published 2021 · Computational Statistics & Data Analysis · 2 citations
with Marco Novelli
Economic Vulnerability Is State Dependent
published 2021 · Econometrics Journal
The Hammersley–Chapman–Robbins inequality for repeatedly monitored quantum system
published 2020 · Statistics & Probability Letters
with Marco Novelli
Robust estimation of a location parameter with the integrated Hogg function
published 2020 · Statistics & Probability Letters · 5 citations · first circulated 2019
Unobserved component models, approximate filters and dynamic adaptive mixture models
published 2019 · Journal of Financial Econometrics · 22 citations · first circulated 2016
Generalised Linear Cepstral Models for the Spectrum of a Time Series
published 2018 · Statistica Sinica · 3 citations
Robust Methods for Detecting Spontaneous Activations in fMRI Data
published 2018 · Springer proceedings in mathematics & statistics · 1 citations
with Francesca Gasperoni
Statistical Inference in the Duffing System with the Unscented Kalman Filter
published 2017 · ENLIGHTEN (Jurnal Bimbingan dan Konseling Islam)
with Michela Eugenia Pasetto, Dirk Husmeier, Umberto Noè
no link
Robust time series models with trend and seasonal components
published 2015 · SERIEs · 23 citations
with Michele Caivano, Andrew Harvey
Generalised partial autocorrelations and the mutual information between past and future
published 2015 · CREATES Research Papers · 12 citations
The generalised autocovariance function
published 2014 · Journal of Econometrics · 15 citations · first circulated 2013
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Filtering With Heavy Tails
published 2014 · Journal of the American Statistical Association · 158 citations · first circulated 2012
with Andrew Harvey
The Variance Profile
published 2012 · Journal of the American Statistical Association · 11 citations
An approximate quantum Cramér–Rao bound based on skew information
published 2011 · Bernoulli · 1 citations
Low-pass filter design using locally weighted polynomial regression and discrete prolate spheroidal sequences
published 2010 · Journal of Statistical Planning and Inference · 11 citations
Hyper-spherical and elliptical stochastic cycles
published 2010 · Journal of Time Series Analysis · 31 citations · first circulated 2009
ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS
published 2010 · Econometric Theory · 15 citations · first circulated 2008
On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing
published 2009 · Annals of the Institute of Statistical Mathematics · 11 citations · first circulated 2008
A note on the statistical properties of nonparametric trend estimators by means of smoothing matrices
published 2009 · Journal of nonparametric statistics · 2 citations
with Estela Bee Dagum
A Cascade Linear Filter to Reduce Revisions and False Turning Points for Real Time Trend-Cycle Estimation
published 2008 · Econometric Reviews · 16 citations
with Estela Bee Dagum
Intervention analysis to identify significant exposures in pulsing advertising campaigns: an operative procedure
published 2005 · Computational Management Science · 2 citations
with Giorgio Tassinari
Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing
published 2004 · Studies in Nonlinear Dynamics and Econometrics · 5 citations
with Estela Bee Dagum
Global and local statistical properties of fixed-length nonparametric smoothers
published 2002 · Statistical Methods & Applications · 19 citations
with Estela Bee Dagum
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