Contributions to the Statistical Analysis of Nonstationary Time Series

Diplôme Thèse Contributions to the Statistical Analysis of Nonstationary Time Series eng 2026-04-24 2026-04-24 author Felix Manon Tara 855272 Recherche et enseignement GSEM (RESEM) director La Vecchia Davide 0000-0001-7572-268X 844164 Recherche et enseignement GSEM (RESEM) 233 10.13097/archive-ouverte/unige:193376 urn:nbn:ch:unige-1933767 GSEM 166 Classical time series methods rely on stationarity, an assumption that is rarely satisfied in practice. This thesis investigates statistical inference for time series exhibiting nonstationarity, distinguishing between intrinsic nonstationarity and nonstationarity induced by contamination. For intrinsically nonstationary series, the thesis focuses on multivariate regularly varying processes. It introduces a novel extreme-value extension of local stationarity, termed E-local stationarity, which enables nonparametric estimation of time-varying extremal features with established asymptotic guarantees. For contamination-induced nonstationarity, the thesis develops a robust frequency-domain estimation framework based on the periodogram ordinates, incorporating bounded influence functions to mitigate the effects of low-frequency and periodic contaminations. The proposed methods are theoretically justified and validated through numerical studies on both synthetic and real data. Local stationarity Extreme value theory Kernel regression Regularly varying multivariate time series Frequency domain estimation Robust M-estimation Quantile regression Dewey 310 117 Research Center for Statistics S5 false f552b2ef-53a0-4145-80bf-4cb7ccd4f2fa Thesis Public Manon_Felix_PhD_Thesis.pdf 4025585 application/pdf OA OTHER 49e4c0a3d365b68f3e98287b410de338a3b2c223739f894da1d40a5f7d5c8882 36f1bf43-0bc2-4552-b9ca-683b9593cdd4 Imprimatur Public Imprimatur_FELIX_Manon.pdf 120715 application/pdf c171e4a4b2bc0d6be56c44b3d784389e763aa2059bddd646d08622d7dee17c12 openAccess Faculté d'économie et de management / Research Center for Statistics

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Contributions to the Statistical Analysis of Nonstationary Time Series				2026	34	71

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Felix, Manon

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