Luati, Alessandra; Papagni, Francesca; Proietti, Tommaso Efficient nonparametric estimation of generalised autocovariances. (English) Zbl 07814026 J. Nonparametric Stat. 36, No. 1, 23-38 (2024). MSC: 62Gxx PDFBibTeX XMLCite \textit{A. Luati} et al., J. Nonparametric Stat. 36, No. 1, 23--38 (2024; Zbl 07814026) Full Text: DOI OA License
D’Innocenzo, Enzo; Luati, Alessandra; Mazzocchi, Mario A robust score-driven filter for multivariate time series. (English) Zbl 07716562 Econom. Rev. 42, No. 5, 441-470 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{E. D'Innocenzo} et al., Econom. Rev. 42, No. 5, 441--470 (2023; Zbl 07716562) Full Text: DOI arXiv
Proietti, Tommaso; Luati, Alessandra The generalised autocovariance function. (English) Zbl 1332.62341 J. Econom. 186, No. 1, 245-257 (2015). MSC: 62M10 62M15 62G10 PDFBibTeX XMLCite \textit{T. Proietti} and \textit{A. Luati}, J. Econom. 186, No. 1, 245--257 (2015; Zbl 1332.62341) Full Text: DOI Link
Luati, Alessandra; Proietti, Tommaso; Reale, Marco The variance profile. (English) Zbl 1261.62083 J. Am. Stat. Assoc. 107, No. 498, 607-621 (2012). MSC: 62M15 62G05 60G10 60G22 65C60 PDFBibTeX XMLCite \textit{A. Luati} et al., J. Am. Stat. Assoc. 107, No. 498, 607--621 (2012; Zbl 1261.62083) Full Text: DOI Link
Luati, Alessandra; Proietti, Tommaso On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing. (English) Zbl 1284.62424 Ann. Inst. Stat. Math. 63, No. 4, 851-871 (2011). MSC: 62J05 62J02 62G08 62H12 62M10 PDFBibTeX XMLCite \textit{A. Luati} and \textit{T. Proietti}, Ann. Inst. Stat. Math. 63, No. 4, 851--871 (2011; Zbl 1284.62424) Full Text: DOI Link
Luati, Alessandra; Proietti, Tommaso Hyper-spherical and elliptical stochastic cycles. (English) Zbl 1242.62101 J. Time Ser. Anal. 31, No. 3, 169-181 (2010). MSC: 62M10 62G99 PDFBibTeX XMLCite \textit{A. Luati} and \textit{T. Proietti}, J. Time Ser. Anal. 31, No. 3, 169--181 (2010; Zbl 1242.62101) Full Text: DOI
Luati, Alessandra; Proietti, Tommaso On the spectral properties of matrices associated with trend filters. (English) Zbl 1294.62222 Econom. Theory 26, No. 4, 1247-1261 (2010). MSC: 62M20 62M15 62H12 15A18 62P20 PDFBibTeX XMLCite \textit{A. Luati} and \textit{T. Proietti}, Econom. Theory 26, No. 4, 1247--1261 (2010; Zbl 1294.62222) Full Text: DOI arXiv