Fiche de présentation

cmp_include_fiche_personne
 Fiche de présentation  
| english version |
M. Rainer von Sachs

SST/SC - Faculté des sciences
LSBA - Louvain School of Statistics, Biostatistics and Actuarial Sciences (LSBA)
SSH/IMAQ - Institut multidisciplinaire pour la modélisation et l'analyse quantitative (IMMAQ)
ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA)

Adresse courrier
  ISBA - Voie du Roman Pays 20 bte L1.04.01 à 1348 Louvain-la-Neuve
Email
 
ISBA
  Téléphone : 010 47 88 06
  Bâtiment : CV9; Etage 01; Local D 115; Site Louvain-la-Neuve


Diplômes

année

intitulé

établissement

1991Docteur en mathématiques: statistiqueUniversity of Heidelberg

Fonctions actuelles 

  • Professeur de statistique, Université catholique de Louvain (Prof. ordinaire)
  • Membre de: IMS (Fellow), Bernoulli Society, ISI (elected), Societé belge de statistique, "Fachgruppe Stochastik" der DMV

Cours

Année académique 2013 - 2014
LFSAB 1105 Probabilité et statistiques
LMAT 1271 Calcul des probabilités et analyse statistique
LSTAT 2150 Statistique non paramétrique: méthode de lissage
LSTAT 2170 Séries chronologiques
LSTAT 3120 Advanced nonparametric statistics
LSTAT 3310 Statistics seminar

Les cours LSTAT 2030 et 3120 seront donnés par mes co-titulaires.

Domaines d'interêt

  • Statistique mathématique
  • Séries temporelles, estimation de densité spectrale
  • Estimation nonparamétrique de courbes
  • Ondelettes
  • Analyse de séries biomédicales et de séries financières
http://dial.academielouvain.be//DialExport/Portail?author=von+Sachs%2C+Rainer&journalArticle_DocType=true&patent_DocType=false&conferencePaper_DocType=true&bookChapter_DocType=true&workingPaper_DocType=true&book_DocType=true&preprint_DocType=true&report_DocType=true&thesis_DocType=true&startDate=1900&sort=date&sortType=desc
2014
Article de périodique (Journal article)
  • von Sachs, Rainer ; Timmermans, Catherine. The BAGIDIS distance: about a fractal topology, with applications to functional classification and prediction. In: Lecture Notes in Statistics, (2014) (Accepté/Sous presse). http://hdl.handle.net/2078.1/146393

  • Document de travail (Working Paper)
  • Steland, Ansgar ; von Sachs, Rainer. Large-Sample Approximations for Variance-Covariance Matrices of High-Dimensional Time Series (ISBA Discussion Paper; 2014/31), 2014. 22 p. http://hdl.handle.net/2078.1/146545

  • von Sachs, Rainer ; Timmermans, Catherine. The BAGIDIS distance: about a fractal topology, with applications to functional classification and prediction (ISBA Discussion Paper; 2014/07), 2014. 20 p. http://hdl.handle.net/2078.1/141439

  • Gorrostieta, Cristina ; Ombao, Hernando ; von Sachs, Rainer. Time-Dependent Dual-Frequency Coherence in Multivariate Non-Stationary Time Series (ISBA Discussion Paper; 2014/30), 2014. 27 p. http://hdl.handle.net/2078.1/146544

  • 2013
    Article de périodique (Journal article)
  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Block-threshold-adapted Estimators via a Maxiset Approach. In: Scandinavian Journal of Statistics : theory and applications, Vol. 41, no.1, p. 240-258 (2014). doi:10.1111/sjos.12012. http://hdl.handle.net/2078.1/141145

  • Timmermans, Catherine ; Delsol, Laurent ; von Sachs, Rainer. Using Bagidis in nonparametric functional data analysis: Predicting from curves with sharp local features. In: Journal of Multivariate Analysis, Vol. 115, p. 421-444 (2013). doi:10.1016/j.jmva.2012.10.013. http://hdl.handle.net/2078.1/118369

  • Document de travail (Working Paper)
  • Timmermans, Catherine ; von Sachs, Rainer. BAGIDIS: Statistically investigating curves with sharp local patterns using a new functional measure of dissimilarity (ISBA Discussion Paper; 2013/31), 2013. 35 p. http://hdl.handle.net/2078.1/131773

  • Fiecas, Mark ; von Sachs, Rainer. Data-driven Shrinkage of the Spectral Density Matrix of a High-dimensional Time Series (ISBA Discussion Paper; 2013/44), 2013. 28 p. http://hdl.handle.net/2078.1/135715

  • 2012
    Article de périodique (Journal article)
  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Combining thresholding rules: a new way to improve the performance of wavelet estimators. In: Journal of Nonparametric Statistics, Vol. 24, no. 4, p. 905-922 (2012). doi:10.1080/10485252.2012.709854. http://hdl.handle.net/2078.1/127048

  • Freyermuth, Jean-Marc ; von Sachs, Rainer. Discussion: Time-threshold maps: Using information from wavelet reconstructions with all threshold values simultaneously. In: Journal of the Korean Statistical Society, Vol. 41, no.2, p. 161-164 (2012). doi:10.1016/j.jkss.2012.02.001. http://hdl.handle.net/2078.1/127294

  • Communication à un colloque (Conference Paper)
  • Timmermans, Catherine ; de Tullio, Pascal ; Lambert, Vincent ; Frédérich, Michel ; Rousseau, Réjane ; von Sachs, Rainer. Advantages of the Bagidis methodology for metabonomics analyses: application to a spectroscopic study of Age-related Macular Degeneration. 12th European Symposium on Statistical Methods for the Food Industry (Paris - France, du 29/02/2012 au 02/03/2012). http://hdl.handle.net/2078.1/106879

  • Document de travail (Working Paper)
  • Timmermans, Catherine ; de Tullio, Pascal ; Lambert, Vincent ; Frédérich, Michel ; Rousseau, Réjane ; von Sachs, Rainer. Advantages of the Bagidis methodology for metabonomics analyses: application to a spectroscopic study of Age-related Macular Degeneration (ISBA Discussion Paper; 2012/04), 2012. 10 p. http://hdl.handle.net/2078.1/129824

  • Fiecas , Mark ; Franke, Jürgen ; von Sachs, Rainer ; Tadjuidje , Joseph. Shrinkage Estimation for Multivariate Hidden Markov Mixture Models (ISBA Discussion Paper; 2012/16), 2012. 24 + 8 p. http://hdl.handle.net/2078.1/111005

  • Fiecas, Mark ; von Sachs, Rainer. Spectral density shrinkage for high-dimensional time series (ISBA Discussion Paper; 2012/37), 2012. 31 p. http://hdl.handle.net/2078.1/118661

  • 2011
    Article de périodique (Journal article)
  • EICHLER , Michael ; Motta, Giovanni ; von Sachs, Rainer. Fitting dynamic factor models to non-stationary time series. In: Journal of Econometrics, Vol. 163, no. 1, p. 51-70 (2011). doi:10.1016/j.jeconom.2010.11.007. http://hdl.handle.net/2078.1/79121

  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Ideal denoising within a family of tree-structured wavelet estimators. In: Electronic Journal of Statistics, Vol. 5, p. 829-855 (January 2011). doi:10.1214/11-EJS628. http://hdl.handle.net/2078.1/106779

  • Motta, Giovanni ; Hafner, Christian ; von Sachs, Rainer. Locally Stationary Factor Models: Identification And Nonparametric Estimation. In: Econometric Theory, Vol. 27, no. 6, p. 1279-1319 (2011). doi:10.1017/S0266466611000053. http://hdl.handle.net/2078.1/106788

  • Roueff, François ; von Sachs, Rainer. Locally stationary long memory estimation. In: Stochastic Processes and Their Applications, Vol. 121, no. 4, p. 813-844 (2011). doi:10.1016/j.spa.2010.12.004. http://hdl.handle.net/2078.1/110050

  • Contribution à ouvrage collectif (Book Chapter)
  • Timmermans, Catherine ; Delsol, Laurent ; von Sachs, Rainer. Bases Giving Distances. A New Semimetric and its Use for Nonparemetric Functional Data Analysis. In: Ferraty Frédéric (eds.), Recent Advances in Functional Data Analysis and Related Topics, Springer, 2011, p. 307-313 (2011). 978-3-7908-2736-1. doi:10.1007/978-3-7908-2736-1_48. http://hdl.handle.net/2078.1/93541

  • Document de travail (Working Paper)
  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Block-Threshold-Adapted Estimators via a maxiset approach (ISBA Discussion Paper; 2011/17), 2011. 22 p. http://hdl.handle.net/2078.1/76632

  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Combining thresholding rules: a new way to improve the performance of wavelet estimators (ISBA Discussion papers; 2011/21), 2011. 20 p. http://hdl.handle.net/2078.1/111122

  • Autin, F. ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Ideal denoising within a family of tree-structured wavelet estimators (ISBA Discussion Paper; 1102), 2011. 24 p. http://hdl.handle.net/2078.1/91202

  • Timmermans, Catherine ; Delsol, Laurent ; von Sachs, Rainer. Using Bagidis in nonparametric functional data analysis: predicting from curves with sharp local features (ISBA Discussion Paper; 2011/20), 2011. 47 p. http://hdl.handle.net/2078.1/81200

  • 2010
    Article de périodique (Journal article)
  • Böhm, Hilmar ; Ombao, Hernando ; von Sachs, Rainer ; Sanes, J.. Classification of multivariate non-stationary signals : the SLEX-shrinkage approach. In: Journal of Statistical Planning and Inference, Vol. 140, no. 12, p. 3754-3763 (2010). doi:10.1016/j.jspi.2010.04.040. http://hdl.handle.net/2078.1/91216

  • Freyermuth, Jean-Marc ; Ombao, Hernando ; von Sachs, Rainer. Tree-Structured Wavelet Estimation in a Mixed Effects Model for Spectra of Replicated Time Series. In: Journal of the American Statistical Association, Vol. 105, no. 490, p. 634-646 (2010). doi:10.1198/jasa.2010.tm09132. http://hdl.handle.net/2078.1/33669

  • Document de travail (Working Paper)
  • Timmermans, Catherine ; von Sachs, Rainer. BAGIDIS, a new method for statistical analysis of differences between curves with sharp discontinuities (ISBA Discussion Paper; 1030), 2010. 28 p. http://hdl.handle.net/2078.1/91090

  • 2009
    Article de périodique (Journal article)
  • Antoniadis, Anestis ; Bigot, Jeremie ; von Sachs, Rainer. A Multiscale Approach for Statistical Characterization of Functional Images. In: Journal of Computational and Graphical Statistics, Vol. 18, no. 1, p. 216-237 (2009). doi:10.1198/jcgs.2009.0013. http://hdl.handle.net/2078.1/35423

  • Böhm, Hilmar ; von Sachs, Rainer. Shrinkage estimation in the frequency domain of multivariate time series. In: Journal of Multivariate Analysis, Vol. 100, no. 5, p. 913-935 (2009). doi:10.1016/j.jmva.2008.09.009. http://hdl.handle.net/2078.1/35744

  • Communication à un colloque (Conference Paper)
  • Timmermans, Catherine ; Delouille, V. ; von Sachs, Rainer. Comparaison et classifications de séries temporelles via leur développement en ondelettes de Haar asymétriques. Actes des XVIe rencontres de la société francophone de classification (2009). http://hdl.handle.net/2078.1/91086

  • Document de travail (Working Paper)
  • Böhm, Hilmar ; Ombao, Hernando ; Sanes, J. ; von Sachs, Rainer. Classification of multivariate non-stationary signals : the SLEX-shrinkage approach (STAT Discussion Paper; 0909), 2009. 20 p. http://hdl.handle.net/2078.1/91105

  • ROUEFF, François ; von Sachs, Rainer. Locally stationary long memory estimation (STAT Discussion Paper; 0916), 2009. 28 p. http://hdl.handle.net/2078.1/91056

  • Freyermuth, Jean-Marc ; Ombao, Hernando ; von Sachs, Rainer. Tree-structured wavelet estimation in a mixed effects model for Spectra of replicated time series (STAT Discussion Paper; 0902), 2009. 33 p. http://hdl.handle.net/2078.1/28681

  • 2008
    Article de périodique (Journal article)
  • Fryzlewicz, Piotr ; Nason, Guy P. ; von Sachs, Rainer. A wavelet-Fisz approach to spectrum estimation. In: Journal of Time Series Analysis, Vol. 29, no. 5, p. 868-880 (2008). doi:10.1111/j.1467-9892.2008.00586.x. http://hdl.handle.net/2078.1/36426

  • Van Bellegem, Sébastien ; von Sachs, Rainer. Locally adaptive estimation of evolutionary wavelet spectra. In: Annals of Statistics, Vol. 36, no. 4, p. 1879–1924 (2008). doi:10.1214/07-AOS524. http://hdl.handle.net/2078.1/23811

  • Böhm, Hilmar ; von Sachs, Rainer. Structural shrinkage of nonparametric spectral estimators for multivariate time series. In: Electronic Journal of Statistics, Vol. 2, p. 696-721 (2008). doi:10.1214/08-EJS236. http://hdl.handle.net/2078.1/90998

  • Document de travail (Working Paper)
  • Eichler, M. ; Motta, Giovanni ; von Sachs, Rainer. Fitting dynamic fator models to nonstationary time series (STAT Discussion Paper; 0829), 2008. 36 p. http://hdl.handle.net/2078.1/91003

  • Böhm, Hilmar ; von Sachs, Rainer. Structural shrinkage of nonparametric spectral estimators for multivariate time series (STAT Discussion Paper; 0805), 2008. 27 p. http://hdl.handle.net/2078.1/91289

  • 2007
    Article de périodique (Journal article)
  • Cosma, Antonio ; Scaillet, Olivier ; von Sachs, Rainer. Multivariate wavelet-based shape-preserving estimation for dependent observations. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 13, no. 2, p. 301-329 (2007). doi:10.3150/07-BEJ5066. http://hdl.handle.net/2078.1/37497

  • Document de travail (Working Paper)
  • Böhm, Hilmar ; von Sachs, Rainer. Shrinkage estimation in the frequency domain of multivariate time series (STAT Discussion Paper; 0706), 2007. 26 p. http://hdl.handle.net/2078.1/93249

  • 2006
    Article de périodique (Journal article)
  • Delouille, V ; Jansen, M ; von Sachs, Rainer. Second-generation wavelet denoising methods for irregularly spaced data in two dimensions. In: Signal Processing, Vol. 86, no. 7, p. 1435-1450 (2006). doi:10.1016/j.sigpro.2005.08.005. http://hdl.handle.net/2078.1/38463

  • Document de travail (Working Paper)
  • Antoniadis, Anestis ; Bigot, Jérémie ; von Sachs, Rainer. A multiscale approach for statistical characterization of functional images (STAT Discussion Paper; 0623), 2006. 36 p. http://hdl.handle.net/2078.1/91356

  • Fryzlewicz, Piotr ; Nason, Guy P. ; von Sachs, Rainer. A wavelet-Fisz approach to spectrum estimation (STAT Discussion Paper; 0608), 2006. 21 p. http://hdl.handle.net/2078.1/91374

  • Motta, Giovanni ; Hafner, Christian ; von Sachs, Rainer. Locally stationary factor models : identification and nonparametric estimation (STAT Discussion Paper; 0624), 2006. 30 p. http://hdl.handle.net/2078.1/91206

  • 2005
    Article de périodique (Journal article)
  • Delouille, V ; von Sachs, Rainer. Estimation of nonlinear autoregressive models using design-adapted wavelets. In: Institute of Statistical Mathematics. Annals, Vol. 57, no. 2, p. 235-253 (2005). doi:10.1007/BF02507024. http://hdl.handle.net/2078.1/39255

  • Ombao, Hernando ; von Sachs, Rainer ; Guo, Wensheng. SLEX analysis of multivariate non-stationary time series. In: Journal of the American Statistical Association, Vol. 100, no. 470, p. 519-531 (2005). doi:10.1198/016214504000001448. http://hdl.handle.net/2078.1/90931

  • Document de travail (Working Paper)
  • Cosma, A. ; Scaillet, Olivier ; von Sachs, Rainer. Multivariate wavelet-based shape preserving estimation for dependent observations (STAT Discussion Paper; 0516), 2005. 34 p. http://hdl.handle.net/2078.1/91579

  • 2004
    Article de périodique (Journal article)
  • Van Bellegem, Sébastien ; von Sachs, Rainer. Forecasting economic time series with unconditional time-varying variance. In: International Journal of Forecasting, Vol. 20, no. 4, p. 611-627 (2004). doi:10.1016/j.ijforecast.2003.10.002. http://hdl.handle.net/2078.1/61393

  • Van Bellegem, Sébastien ; von Sachs, Rainer. On adaptive estimation for locally stationary wavelet processes and its applications. In: International Journal of Wavelets, Multiresolution and Information Processing, Vol. 2, no. 4, p. 545-565 (2004). doi:10.1142/S0219691304000603. http://hdl.handle.net/2078.1/93279

  • Delouille, Véronique ; Simoens, J. ; von Sachs, Rainer. Smooth design-adapted wavelets for nonparametric stochastic regression. In: Journal of the American Statistical Association, Vol. 99, no. 467, p. 643-658 (2004). doi:10.1198/016214504000000971. http://hdl.handle.net/2078.1/90626

  • 2003
    Article de périodique (Journal article)
  • Fryzlewicz, P ; Van Bellegem, Sébastien ; von Sachs, Rainer. Forecasting non-stationary time series by wavelet process modelling. In: Institute of Statistical Mathematics. Annals, Vol. 55, no. 4, p. 737-764 (2003). doi:10.1007/BF02523391. http://hdl.handle.net/2078.1/40433

  • Donoho, DL ; Mallat, S ; von Sachs, Rainer ; Samuelides, Y. Locally stationary covariance and signal estimation with macrotiles. In: IEEE Transactions on Signal Processing, Vol. 51, no. 3, p. 614-627 (2003). doi:10.1109/TSP.2002.808116. http://hdl.handle.net/2078.1/41203

  • Guo, WS ; Dai, M. ; Ombao, HC ; von Sachs, Rainer. Smoothing spline ANOVA for time-dependent spectral analysis. In: Journal of the American Statistical Association, Vol. 98, no. 463, p. 643-652 (2003). doi:10.1198/016214503000000549. http://hdl.handle.net/2078.1/40727

  • Communication à un colloque (Conference Paper)
  • Van Bellegem, Sébastien ; Fryzlewicz, Piotr ; von Sachs, Rainer. A wavelet-based model for forecasting non-stationary processes. 24th Int. Coll. Group Theoretical Methods in Physics (Paris, France, July 2002). In: Institute of Physics Conference Series, Vol. 173, p. 955-958 (2003). http://hdl.handle.net/2078.1/90616

  • Document de travail (Working Paper)
  • Van Bellegem, Sébastien ; von Sachs, Rainer. Locally adaptive estimation of sparse evolutionary wavelet spectra (STAT Discussion Paper; 0310), 2003. http://hdl.handle.net/2078.1/90625

  • Van Bellegem, Sébastien ; von Sachs, Rainer. On adaptive estimation for locally stationary wavelet processes and its applications (STAT Discussion Paper; 0327), 2003. http://hdl.handle.net/2078.1/90638

  • Ombao, Hernando ; von Sachs, Rainer ; Guo, Wensheng. SLEX analysis of multivariate non-stationary time series (STAT Discussion Paper; 0328), 2003. 25 p. http://hdl.handle.net/2078.1/90927

  • Delouille, Véronique ; Jansen , M. ; von Sachs, Rainer. Second generation wavelet methods for denoising of irregularly spaced data in two dimensions (STAT Discussion Paper; 0305), 2003. 31 p. http://hdl.handle.net/2078.1/93245

  • Delouille, Véronique ; von Sachs, Rainer. Smooth design-adapted wavelets for half-regular designs in two dimensions (STAT Discussion Paper; 0226), 2003. http://hdl.handle.net/2078.1/90592

  • 2002
    Article de périodique (Journal article)
  • Ombao, Hernando ; Raz, J ; von Sachs, Rainer ; Guo, WS. The SLEX model of a non-stationary random process. In: Institute of Statistical Mathematics. Annals, Vol. 54, no. 1, p. 171-200 (2002). doi:10.1023/A:1016130108440. http://hdl.handle.net/2078.1/61797

  • Cranstoun, SD ; Ombao, HC ; von Sachs, Rainer ; Guo, WS ; Litt, B. Time-frequency spectral estimation of multichannel EEG using the auto-SLEX method. In: IEEE Transactions on Biomedical Engineering, Vol. 49, no. 9, p. 988-996 (2002). doi:10.1109/TBME.2002.802015. http://hdl.handle.net/2078.1/41738

  • Document de travail (Working Paper)
  • Van Bellegem, Sébastien ; von Sachs, Rainer. Forecasting economic time series using models of nonstationarity (STAT Discussion Paper; 0227), 2002. 26 p. http://hdl.handle.net/2078.1/91553

  • Fryzlewicz, P. ; Van Bellegem, Sébastien ; von Sachs, Rainer. Forecasting non-stationary time series by wavelet process modelling (STAT Discussion Paper; 0208), 2002. 33 p. http://hdl.handle.net/2078.1/91558

  • Delouille, Véronique ; von Sachs, Rainer. Properties of design-adapted wavelet transforms of nonlinear autoregression models (STAT Discussion Paper; 0225), 2002. http://hdl.handle.net/2078.1/90586

  • 2001
    Article de périodique (Journal article)
  • Ombao, HC ; Raz, JA ; Strawderman, RL ; von Sachs, Rainer. A simple generalised crossvalidation method of span selection for periodogram smoothing. In: Biometrika, Vol. 88, no. 4, p. 1186-1192 (2001). doi:10.1093/biomet/88.4.1186. http://hdl.handle.net/2078.1/42395

  • Ombao, Hernando ; Raz, Jonathan ; von Sachs, Rainer ; Malow, Beth. Automatic statistical analysis of bivariate nonstationary time series. In: Journal of the American Statistical Association, Vol. 96, no. 454, p. 543-560 (2001). doi:10.1198/016214501753168244. http://hdl.handle.net/2078.1/90582

  • Delouille, Véronique ; Franke, Jürgen ; von Sachs, Rainer. Nonparametric stochastic regression with design-adapted wavelets. In: Sankhya. Series A : Indian journal of statistics, Vol. 63, no. 3, p. 328-366 (2001). http://hdl.handle.net/2078.1/90579

  • Document de travail (Working Paper)
  • Donoho, David ; Mallat, S. ; von Sachs, Rainer ; Samuelides, Yann. Signal and Covariance Estimation with Macrotiles (STAT Discussion Paper; 0113), 2001. 29 p. http://hdl.handle.net/2078.1/93257

  • Delouille, Véronique ; Simoens , J. ; von Sachs, Rainer. Smooth design-adapted wavelets for nonparametric stochastic regression (STAT Discussion Paper; 0117), 2001. 26 p. http://hdl.handle.net/2078.1/93266

  • Guo, Wensheng ; Dai, Ming ; Ombao, Hernando ; von Sachs, Rainer. Smoothing Spline ANOVA for Time-Dependent Spectral Analysis (STAT Discussion Paper; 0141), 2001. 26 p. http://hdl.handle.net/2078.1/93275

  • 2000
    Article de périodique (Journal article)
  • Neumann, Michael H. ; von Sachs, Rainer. A wavelet-based test for stationarity. In: Journal of Time Series Analysis, Vol. 21, no. 5, p. 597-613 (2000). doi:10.1111/1467-9892.00200. http://hdl.handle.net/2078.1/90558

  • von Sachs, Rainer ; Macgibbon, B. Non-parametric curve estimation by wavelet thresholding with locally stationary errors. In: Scandinavian Journal of Statistics : theory and applications, Vol. 27, no. 3, p. 475-499 (2000). doi:10.1111/1467-9469.00202. http://hdl.handle.net/2078.1/43356

  • Nason, Guy P. ; von Sachs, Rainer ; Kroisandt, Gerald. Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum. In: Journal of the Royal Statistical Society: Series B (Statistical Methodology), Vol. 62, no. 2, p. 271-292 (2000). doi:10.1111/1467-9868.00231. http://hdl.handle.net/2078.1/90554

  • Communication à un colloque (Conference Paper)
  • Ombao, Hernando ; von Sachs, Rainer ; Guo, Wensheng. Estimation and inference for time-varying spectra of locally stationary SLEX processes. Proceedings of the 2nd International Symposium on Frontiers of Time Series Modeling (Nara, Japan, du 14/12/2000 au 17/12/2000). http://hdl.handle.net/2078.1/90578

  • Document de travail (Working Paper)
  • Guo, Wensheng ; Ombao, Hernando ; von Sachs, Rainer. Estimation and inference for time-varying spectra of locally stationary SLEX processes : In Memory of Jonathan A. Raz (STAT Discussion Paper; 0027), 2000. 12 p. http://hdl.handle.net/2078.1/91523

  • Delouille, Véronique ; Franke, Jürgen ; von Sachs, Rainer. Nonparametric stochastic regression with design-adapted wavelets (STAT Discussion Paper; 0019), 2000. 44 p. http://hdl.handle.net/2078.1/92016

  • Guo, W. ; Ombao, Hernando ; Raz, J. ; von Sachs, Rainer. The SLEX Model of a Non-Stationary Random Process (STAT Discussion Paper; 0026), 2000. 29 p. http://hdl.handle.net/2078.1/91320

  • 1999
    Article de périodique (Journal article)
  • Dahlhaus, R ; Neumann, MH ; von Sachs, Rainer. Nonlinear wavelet estimation of time-varying autoregressive processes. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 5, no. 5, p. 873-906 (1999). doi:10.2307/3318448. http://hdl.handle.net/2078.1/43764

  • Nason, Guy P. ; von Sachs, Rainer. Wavelets in Time Series Analysis. In: Philosophical transactions of the Royal Society of London. Series A, Physical sciences and engineering, Vol. 357, p. 2511-2526 (1999). http://hdl.handle.net/2078.1/90550

  • Communication à un colloque (Conference Paper)
  • von Sachs, Rainer. Overcomplete systems of wavelet and related local bases for adaptive signal representation and estimation. 52nd Session of the ISI (Helsinki, Finland, 1999). http://hdl.handle.net/2078.1/90551

  • Nason, Guy P. ; Kroisandt, Gerald ; von Sachs, Rainer. Spectral Representation and Estimation for Locally Stationary Wavelet Processes. Proceedings of the Workshop on Spline Functions and the Theory of Wavelets (Montreal, 1996). In: CRM Proceedings and Lecture Notes, Vol. 18, p. 381-397 (1999). http://hdl.handle.net/2078.1/90545

  • Document de travail (Working Paper)
  • Ombao, Hernando ; Raz, J. ; Strawderman, R. ; von Sachs, Rainer. A simple generalised crossvalidation method of span selection for periodogram smoothing (STAT Discussion Paper; 9917), 1999. 16 p. http://hdl.handle.net/2078.1/91364

  • Malow, Beth ; Ombao, Hernando ; Raz, J. ; von Sachs, Rainer. Automatic statistical analysis of bivariate non-stationary time series (STAT Discussion Paper; 9908), 1999. 31 p. http://hdl.handle.net/2078.1/91388

  • Nason, Guy P. ; von Sachs, Rainer. Wavelets in time series analysis (STAT Discussion Paper; 9901), 1999. 16 p. http://hdl.handle.net/2078.1/91347

  • 1998
    Communication à un colloque (Conference Paper)
  • von Sachs, Rainer. Nonparametric Wavelet Methods for Nonstationary Time Series. Proceedings of the 22nd European Meeting of Statisticians and 7th Vilnius Conference on Probability Theory and Mathematical Statistics (Vilnius, Lithuania, du 12/08/1998 au 18/08/1998). http://hdl.handle.net/2078.1/90543

  • Document de travail (Working Paper)
  • Donoho, David ; Mallat, Stéphane ; von Sachs, Rainer. Estimating Covariances of Locally Stationary Processes : Rates of Convergence of Best Basis Methods (Technical Report (Stanford University. Department of Statistics); 517), 1998. http://hdl.handle.net/2078.1/90525

  • von Sachs, Rainer. Nonparametric Wavelet Methods for Nonstationary Time Series (STAT Discussion Paper; 9819), 1998. 28 p. http://hdl.handle.net/2078.1/92115

  • Kroisandt, Gerald ; Nason, Guy P. ; von Sachs, Rainer. Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum (STAT Discussion Paper; 9822), 1998. 25 p. http://hdl.handle.net/2078.1/91343

  • 1997
    Article de périodique (Journal article)
  • Neumann, Michael H. ; von Sachs, Rainer. Wavelet Thresholding in Anisotropic Function Classes and Application to Adaptive Estimation of Evolutionary Spectra. In: Annals of Statistics, Vol. 25, p. 38-76 (1997). http://hdl.handle.net/2078.1/90460

  • 1996
    Article de périodique (Journal article)
  • von Sachs, Rainer. Modelling and Estimation of the Time--varying Structure of Nonstationary Time Series. In: Brazilian Journal of Probability and Statistics, Vol. 10, no. 2, p. 181-204 (1996). http://hdl.handle.net/2078.1/90454

  • Schneider, K. ; von Sachs, Rainer. Wavelet Smoothing of Evolutionary Spectra by Non-linear Thresholding. In: Applied and Computational Harmonic Analysis, Vol. 3, p. 268-282 (1996). http://hdl.handle.net/2078.1/90417

  • Communication à un colloque (Conference Paper)
  • von Sachs, Rainer. Adaptively Wavelet-smoothed Wigner Estimates of Evolutionary Spectra. ICIAM (Hamburg, 1995). In: ICIAM/GAMM 95 : applied stochastics and optimization, Hamburg, July 3-7, 1995 (ZAMM - Zeitschrift für Angewandte Mathematik und Mechanik; 76-3), Akademie-Verlag: Berlin, 1996. 3-05-501746-3, p. 71-74. http://hdl.handle.net/2078.1/90446

  • Donoho, David ; Mallat, Stéphane ; von Sachs, Rainer. Estimating Covariances of Locally Stationary Processes: Consistency of Best Basis Methods. IEEE Conference on Time-Frequency/Time-Scale Methods (Paris, France, June). http://hdl.handle.net/2078.1/90416

  • 1995
    Article de périodique (Journal article)
  • Janas, D. ; von Sachs, Rainer. Consistency for Non-linear Functions of the Periodogram of Tapered Data. In: Journal of Time Series Analysis, Vol. 16, no. 6, p. 585-606 (1995). doi:10.1111/j.1467-9892.1995.tb00257.x. http://hdl.handle.net/2078.1/90411

  • Contribution à ouvrage collectif (Book Chapter)
  • Neumann, Michael H. ; von Sachs, Rainer. Wavelet Thresholding : Beyond the Gaussian I.I.D. Situation. In: A. Antoniadis, G. Oppenheim, Wavelets and Statistics (Springer lecture notes in statistics; 103), Springer, 1995, p. 301-329. http://hdl.handle.net/2078.1/90413

  • 1994
    Article de périodique (Journal article)
  • von Sachs, Rainer. Estimating Non-linear Functions of the Spectral Density, Using a Data-Taper. In: Institute of Statistical Mathematics. Annals, Vol. 46, p. 453-474 (1994). http://hdl.handle.net/2078.1/90408

  • von Sachs, Rainer. Peak-insensitive Nonparametric Spectrum Estimation. In: Journal of Time Series Analysis, Vol. 15, p. 429-452 (1994). http://hdl.handle.net/2078.1/90410

  • Communication à un colloque (Conference Paper)
  • Schneider, K. ; von Sachs, Rainer. Nonlinear Wavelet Smoothing of Time-dependent Power Spectra. Proceedings of the Workshop on Time-Frequency, Wavelets and Multiresolution: Theory, Models and Applications (Lyon, March). http://hdl.handle.net/2078.1/90406

  • 1993
    Article de périodique (Journal article)
  • von Sachs, Rainer. Estimating the Spectrum of a Stochastic Process in the Presence of a Contaminating Signal. In: IEEE Transactions on Signal Processing, Vol. 41, no. 1, p. 323-333 (1993). http://hdl.handle.net/2078.1/90403

  • Document de travail (Working Paper)
  • von Sachs, Rainer. Detecting Periodic Components in a Stationary Time Series by an Improved Nonparametric Procedure, 1993. http://hdl.handle.net/2078.1/90401

    • Véronique Delouille (UCL, 2002)
    • Sébastien Van Bellegem (UCL, 2003)
    • Hilmar Böhm (UCL, 2008)
    • Giovanni Motta (UCL, 2009)
    • Jean-Marc Freyermuth (UCL, 2011)
    • Catherine Timmermans (UCL, 2012)

    Biographie


    Diplômes

    année

    intitulé

    établissement

    1991Docteur en mathématiques: statistiqueUniversity of Heidelberg

    Fonctions actuelles 

    • Professeur de statistique, Université catholique de Louvain (Prof. ordinaire)
    • Membre de: IMS (Fellow), Bernoulli Society, ISI (elected), Societé belge de statistique, "Fachgruppe Stochastik" der DMV

    Enseignement


    Cours

    Année académique 2013 - 2014
    LFSAB 1105 Probabilité et statistiques
    LMAT 1271 Calcul des probabilités et analyse statistique
    LSTAT 2150 Statistique non paramétrique: méthode de lissage
    LSTAT 2170 Séries chronologiques
    LSTAT 3120 Advanced nonparametric statistics
    LSTAT 3310 Statistics seminar

    Les cours LSTAT 2030 et 3120 seront donnés par mes co-titulaires.


    Recherche


    Domaines d'interêt

    • Statistique mathématique
    • Séries temporelles, estimation de densité spectrale
    • Estimation nonparamétrique de courbes
    • Ondelettes
    • Analyse de séries biomédicales et de séries financières

    Thèses encadrés


    • Véronique Delouille (UCL, 2002)
    • Sébastien Van Bellegem (UCL, 2003)
    • Hilmar Böhm (UCL, 2008)
    • Giovanni Motta (UCL, 2009)
    • Jean-Marc Freyermuth (UCL, 2011)
    • Catherine Timmermans (UCL, 2012)

    Publications


    2014
    Article de périodique (Journal article)
  • von Sachs, Rainer ; Timmermans, Catherine. The BAGIDIS distance: about a fractal topology, with applications to functional classification and prediction. In: Lecture Notes in Statistics, (2014) (Accepté/Sous presse). http://hdl.handle.net/2078.1/146393

  • Document de travail (Working Paper)
  • Steland, Ansgar ; von Sachs, Rainer. Large-Sample Approximations for Variance-Covariance Matrices of High-Dimensional Time Series (ISBA Discussion Paper; 2014/31), 2014. 22 p. http://hdl.handle.net/2078.1/146545

  • von Sachs, Rainer ; Timmermans, Catherine. The BAGIDIS distance: about a fractal topology, with applications to functional classification and prediction (ISBA Discussion Paper; 2014/07), 2014. 20 p. http://hdl.handle.net/2078.1/141439

  • Gorrostieta, Cristina ; Ombao, Hernando ; von Sachs, Rainer. Time-Dependent Dual-Frequency Coherence in Multivariate Non-Stationary Time Series (ISBA Discussion Paper; 2014/30), 2014. 27 p. http://hdl.handle.net/2078.1/146544

  • 2013
    Article de périodique (Journal article)
  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Block-threshold-adapted Estimators via a Maxiset Approach. In: Scandinavian Journal of Statistics : theory and applications, Vol. 41, no.1, p. 240-258 (2014). doi:10.1111/sjos.12012. http://hdl.handle.net/2078.1/141145

  • Timmermans, Catherine ; Delsol, Laurent ; von Sachs, Rainer. Using Bagidis in nonparametric functional data analysis: Predicting from curves with sharp local features. In: Journal of Multivariate Analysis, Vol. 115, p. 421-444 (2013). doi:10.1016/j.jmva.2012.10.013. http://hdl.handle.net/2078.1/118369

  • Document de travail (Working Paper)
  • Timmermans, Catherine ; von Sachs, Rainer. BAGIDIS: Statistically investigating curves with sharp local patterns using a new functional measure of dissimilarity (ISBA Discussion Paper; 2013/31), 2013. 35 p. http://hdl.handle.net/2078.1/131773

  • Fiecas, Mark ; von Sachs, Rainer. Data-driven Shrinkage of the Spectral Density Matrix of a High-dimensional Time Series (ISBA Discussion Paper; 2013/44), 2013. 28 p. http://hdl.handle.net/2078.1/135715

  • 2012
    Article de périodique (Journal article)
  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Combining thresholding rules: a new way to improve the performance of wavelet estimators. In: Journal of Nonparametric Statistics, Vol. 24, no. 4, p. 905-922 (2012). doi:10.1080/10485252.2012.709854. http://hdl.handle.net/2078.1/127048

  • Freyermuth, Jean-Marc ; von Sachs, Rainer. Discussion: Time-threshold maps: Using information from wavelet reconstructions with all threshold values simultaneously. In: Journal of the Korean Statistical Society, Vol. 41, no.2, p. 161-164 (2012). doi:10.1016/j.jkss.2012.02.001. http://hdl.handle.net/2078.1/127294

  • Communication à un colloque (Conference Paper)
  • Timmermans, Catherine ; de Tullio, Pascal ; Lambert, Vincent ; Frédérich, Michel ; Rousseau, Réjane ; von Sachs, Rainer. Advantages of the Bagidis methodology for metabonomics analyses: application to a spectroscopic study of Age-related Macular Degeneration. 12th European Symposium on Statistical Methods for the Food Industry (Paris - France, du 29/02/2012 au 02/03/2012). http://hdl.handle.net/2078.1/106879

  • Document de travail (Working Paper)
  • Timmermans, Catherine ; de Tullio, Pascal ; Lambert, Vincent ; Frédérich, Michel ; Rousseau, Réjane ; von Sachs, Rainer. Advantages of the Bagidis methodology for metabonomics analyses: application to a spectroscopic study of Age-related Macular Degeneration (ISBA Discussion Paper; 2012/04), 2012. 10 p. http://hdl.handle.net/2078.1/129824

  • Fiecas , Mark ; Franke, Jürgen ; von Sachs, Rainer ; Tadjuidje , Joseph. Shrinkage Estimation for Multivariate Hidden Markov Mixture Models (ISBA Discussion Paper; 2012/16), 2012. 24 + 8 p. http://hdl.handle.net/2078.1/111005

  • Fiecas, Mark ; von Sachs, Rainer. Spectral density shrinkage for high-dimensional time series (ISBA Discussion Paper; 2012/37), 2012. 31 p. http://hdl.handle.net/2078.1/118661

  • 2011
    Article de périodique (Journal article)
  • EICHLER , Michael ; Motta, Giovanni ; von Sachs, Rainer. Fitting dynamic factor models to non-stationary time series. In: Journal of Econometrics, Vol. 163, no. 1, p. 51-70 (2011). doi:10.1016/j.jeconom.2010.11.007. http://hdl.handle.net/2078.1/79121

  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Ideal denoising within a family of tree-structured wavelet estimators. In: Electronic Journal of Statistics, Vol. 5, p. 829-855 (January 2011). doi:10.1214/11-EJS628. http://hdl.handle.net/2078.1/106779

  • Motta, Giovanni ; Hafner, Christian ; von Sachs, Rainer. Locally Stationary Factor Models: Identification And Nonparametric Estimation. In: Econometric Theory, Vol. 27, no. 6, p. 1279-1319 (2011). doi:10.1017/S0266466611000053. http://hdl.handle.net/2078.1/106788

  • Roueff, François ; von Sachs, Rainer. Locally stationary long memory estimation. In: Stochastic Processes and Their Applications, Vol. 121, no. 4, p. 813-844 (2011). doi:10.1016/j.spa.2010.12.004. http://hdl.handle.net/2078.1/110050

  • Contribution à ouvrage collectif (Book Chapter)
  • Timmermans, Catherine ; Delsol, Laurent ; von Sachs, Rainer. Bases Giving Distances. A New Semimetric and its Use for Nonparemetric Functional Data Analysis. In: Ferraty Frédéric (eds.), Recent Advances in Functional Data Analysis and Related Topics, Springer, 2011, p. 307-313 (2011). 978-3-7908-2736-1. doi:10.1007/978-3-7908-2736-1_48. http://hdl.handle.net/2078.1/93541

  • Document de travail (Working Paper)
  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Block-Threshold-Adapted Estimators via a maxiset approach (ISBA Discussion Paper; 2011/17), 2011. 22 p. http://hdl.handle.net/2078.1/76632

  • Autin, Florent ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Combining thresholding rules: a new way to improve the performance of wavelet estimators (ISBA Discussion papers; 2011/21), 2011. 20 p. http://hdl.handle.net/2078.1/111122

  • Autin, F. ; Freyermuth, Jean-Marc ; von Sachs, Rainer. Ideal denoising within a family of tree-structured wavelet estimators (ISBA Discussion Paper; 1102), 2011. 24 p. http://hdl.handle.net/2078.1/91202

  • Timmermans, Catherine ; Delsol, Laurent ; von Sachs, Rainer. Using Bagidis in nonparametric functional data analysis: predicting from curves with sharp local features (ISBA Discussion Paper; 2011/20), 2011. 47 p. http://hdl.handle.net/2078.1/81200

  • 2010
    Article de périodique (Journal article)
  • Böhm, Hilmar ; Ombao, Hernando ; von Sachs, Rainer ; Sanes, J.. Classification of multivariate non-stationary signals : the SLEX-shrinkage approach. In: Journal of Statistical Planning and Inference, Vol. 140, no. 12, p. 3754-3763 (2010). doi:10.1016/j.jspi.2010.04.040. http://hdl.handle.net/2078.1/91216

  • Freyermuth, Jean-Marc ; Ombao, Hernando ; von Sachs, Rainer. Tree-Structured Wavelet Estimation in a Mixed Effects Model for Spectra of Replicated Time Series. In: Journal of the American Statistical Association, Vol. 105, no. 490, p. 634-646 (2010). doi:10.1198/jasa.2010.tm09132. http://hdl.handle.net/2078.1/33669

  • Document de travail (Working Paper)
  • Timmermans, Catherine ; von Sachs, Rainer. BAGIDIS, a new method for statistical analysis of differences between curves with sharp discontinuities (ISBA Discussion Paper; 1030), 2010. 28 p. http://hdl.handle.net/2078.1/91090

  • 2009
    Article de périodique (Journal article)
  • Antoniadis, Anestis ; Bigot, Jeremie ; von Sachs, Rainer. A Multiscale Approach for Statistical Characterization of Functional Images. In: Journal of Computational and Graphical Statistics, Vol. 18, no. 1, p. 216-237 (2009). doi:10.1198/jcgs.2009.0013. http://hdl.handle.net/2078.1/35423

  • Böhm, Hilmar ; von Sachs, Rainer. Shrinkage estimation in the frequency domain of multivariate time series. In: Journal of Multivariate Analysis, Vol. 100, no. 5, p. 913-935 (2009). doi:10.1016/j.jmva.2008.09.009. http://hdl.handle.net/2078.1/35744

  • Communication à un colloque (Conference Paper)
  • Timmermans, Catherine ; Delouille, V. ; von Sachs, Rainer. Comparaison et classifications de séries temporelles via leur développement en ondelettes de Haar asymétriques. Actes des XVIe rencontres de la société francophone de classification (2009). http://hdl.handle.net/2078.1/91086

  • Document de travail (Working Paper)
  • Böhm, Hilmar ; Ombao, Hernando ; Sanes, J. ; von Sachs, Rainer. Classification of multivariate non-stationary signals : the SLEX-shrinkage approach (STAT Discussion Paper; 0909), 2009. 20 p. http://hdl.handle.net/2078.1/91105

  • ROUEFF, François ; von Sachs, Rainer. Locally stationary long memory estimation (STAT Discussion Paper; 0916), 2009. 28 p. http://hdl.handle.net/2078.1/91056

  • Freyermuth, Jean-Marc ; Ombao, Hernando ; von Sachs, Rainer. Tree-structured wavelet estimation in a mixed effects model for Spectra of replicated time series (STAT Discussion Paper; 0902), 2009. 33 p. http://hdl.handle.net/2078.1/28681

  • 2008
    Article de périodique (Journal article)
  • Fryzlewicz, Piotr ; Nason, Guy P. ; von Sachs, Rainer. A wavelet-Fisz approach to spectrum estimation. In: Journal of Time Series Analysis, Vol. 29, no. 5, p. 868-880 (2008). doi:10.1111/j.1467-9892.2008.00586.x. http://hdl.handle.net/2078.1/36426

  • Van Bellegem, Sébastien ; von Sachs, Rainer. Locally adaptive estimation of evolutionary wavelet spectra. In: Annals of Statistics, Vol. 36, no. 4, p. 1879–1924 (2008). doi:10.1214/07-AOS524. http://hdl.handle.net/2078.1/23811

  • Böhm, Hilmar ; von Sachs, Rainer. Structural shrinkage of nonparametric spectral estimators for multivariate time series. In: Electronic Journal of Statistics, Vol. 2, p. 696-721 (2008). doi:10.1214/08-EJS236. http://hdl.handle.net/2078.1/90998

  • Document de travail (Working Paper)
  • Eichler, M. ; Motta, Giovanni ; von Sachs, Rainer. Fitting dynamic fator models to nonstationary time series (STAT Discussion Paper; 0829), 2008. 36 p. http://hdl.handle.net/2078.1/91003

  • Böhm, Hilmar ; von Sachs, Rainer. Structural shrinkage of nonparametric spectral estimators for multivariate time series (STAT Discussion Paper; 0805), 2008. 27 p. http://hdl.handle.net/2078.1/91289

  • 2007
    Article de périodique (Journal article)
  • Cosma, Antonio ; Scaillet, Olivier ; von Sachs, Rainer. Multivariate wavelet-based shape-preserving estimation for dependent observations. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 13, no. 2, p. 301-329 (2007). doi:10.3150/07-BEJ5066. http://hdl.handle.net/2078.1/37497

  • Document de travail (Working Paper)
  • Böhm, Hilmar ; von Sachs, Rainer. Shrinkage estimation in the frequency domain of multivariate time series (STAT Discussion Paper; 0706), 2007. 26 p. http://hdl.handle.net/2078.1/93249

  • 2006
    Article de périodique (Journal article)
  • Delouille, V ; Jansen, M ; von Sachs, Rainer. Second-generation wavelet denoising methods for irregularly spaced data in two dimensions. In: Signal Processing, Vol. 86, no. 7, p. 1435-1450 (2006). doi:10.1016/j.sigpro.2005.08.005. http://hdl.handle.net/2078.1/38463

  • Document de travail (Working Paper)
  • Antoniadis, Anestis ; Bigot, Jérémie ; von Sachs, Rainer. A multiscale approach for statistical characterization of functional images (STAT Discussion Paper; 0623), 2006. 36 p. http://hdl.handle.net/2078.1/91356

  • Fryzlewicz, Piotr ; Nason, Guy P. ; von Sachs, Rainer. A wavelet-Fisz approach to spectrum estimation (STAT Discussion Paper; 0608), 2006. 21 p. http://hdl.handle.net/2078.1/91374

  • Motta, Giovanni ; Hafner, Christian ; von Sachs, Rainer. Locally stationary factor models : identification and nonparametric estimation (STAT Discussion Paper; 0624), 2006. 30 p. http://hdl.handle.net/2078.1/91206

  • 2005
    Article de périodique (Journal article)
  • Delouille, V ; von Sachs, Rainer. Estimation of nonlinear autoregressive models using design-adapted wavelets. In: Institute of Statistical Mathematics. Annals, Vol. 57, no. 2, p. 235-253 (2005). doi:10.1007/BF02507024. http://hdl.handle.net/2078.1/39255

  • Ombao, Hernando ; von Sachs, Rainer ; Guo, Wensheng. SLEX analysis of multivariate non-stationary time series. In: Journal of the American Statistical Association, Vol. 100, no. 470, p. 519-531 (2005). doi:10.1198/016214504000001448. http://hdl.handle.net/2078.1/90931

  • Document de travail (Working Paper)
  • Cosma, A. ; Scaillet, Olivier ; von Sachs, Rainer. Multivariate wavelet-based shape preserving estimation for dependent observations (STAT Discussion Paper; 0516), 2005. 34 p. http://hdl.handle.net/2078.1/91579

  • 2004
    Article de périodique (Journal article)
  • Van Bellegem, Sébastien ; von Sachs, Rainer. Forecasting economic time series with unconditional time-varying variance. In: International Journal of Forecasting, Vol. 20, no. 4, p. 611-627 (2004). doi:10.1016/j.ijforecast.2003.10.002. http://hdl.handle.net/2078.1/61393

  • Van Bellegem, Sébastien ; von Sachs, Rainer. On adaptive estimation for locally stationary wavelet processes and its applications. In: International Journal of Wavelets, Multiresolution and Information Processing, Vol. 2, no. 4, p. 545-565 (2004). doi:10.1142/S0219691304000603. http://hdl.handle.net/2078.1/93279

  • Delouille, Véronique ; Simoens, J. ; von Sachs, Rainer. Smooth design-adapted wavelets for nonparametric stochastic regression. In: Journal of the American Statistical Association, Vol. 99, no. 467, p. 643-658 (2004). doi:10.1198/016214504000000971. http://hdl.handle.net/2078.1/90626

  • 2003
    Article de périodique (Journal article)
  • Fryzlewicz, P ; Van Bellegem, Sébastien ; von Sachs, Rainer. Forecasting non-stationary time series by wavelet process modelling. In: Institute of Statistical Mathematics. Annals, Vol. 55, no. 4, p. 737-764 (2003). doi:10.1007/BF02523391. http://hdl.handle.net/2078.1/40433

  • Donoho, DL ; Mallat, S ; von Sachs, Rainer ; Samuelides, Y. Locally stationary covariance and signal estimation with macrotiles. In: IEEE Transactions on Signal Processing, Vol. 51, no. 3, p. 614-627 (2003). doi:10.1109/TSP.2002.808116. http://hdl.handle.net/2078.1/41203

  • Guo, WS ; Dai, M. ; Ombao, HC ; von Sachs, Rainer. Smoothing spline ANOVA for time-dependent spectral analysis. In: Journal of the American Statistical Association, Vol. 98, no. 463, p. 643-652 (2003). doi:10.1198/016214503000000549. http://hdl.handle.net/2078.1/40727

  • Communication à un colloque (Conference Paper)
  • Van Bellegem, Sébastien ; Fryzlewicz, Piotr ; von Sachs, Rainer. A wavelet-based model for forecasting non-stationary processes. 24th Int. Coll. Group Theoretical Methods in Physics (Paris, France, July 2002). In: Institute of Physics Conference Series, Vol. 173, p. 955-958 (2003). http://hdl.handle.net/2078.1/90616

  • Document de travail (Working Paper)
  • Van Bellegem, Sébastien ; von Sachs, Rainer. Locally adaptive estimation of sparse evolutionary wavelet spectra (STAT Discussion Paper; 0310), 2003. http://hdl.handle.net/2078.1/90625

  • Van Bellegem, Sébastien ; von Sachs, Rainer. On adaptive estimation for locally stationary wavelet processes and its applications (STAT Discussion Paper; 0327), 2003. http://hdl.handle.net/2078.1/90638

  • Ombao, Hernando ; von Sachs, Rainer ; Guo, Wensheng. SLEX analysis of multivariate non-stationary time series (STAT Discussion Paper; 0328), 2003. 25 p. http://hdl.handle.net/2078.1/90927

  • Delouille, Véronique ; Jansen , M. ; von Sachs, Rainer. Second generation wavelet methods for denoising of irregularly spaced data in two dimensions (STAT Discussion Paper; 0305), 2003. 31 p. http://hdl.handle.net/2078.1/93245

  • Delouille, Véronique ; von Sachs, Rainer. Smooth design-adapted wavelets for half-regular designs in two dimensions (STAT Discussion Paper; 0226), 2003. http://hdl.handle.net/2078.1/90592

  • 2002
    Article de périodique (Journal article)
  • Ombao, Hernando ; Raz, J ; von Sachs, Rainer ; Guo, WS. The SLEX model of a non-stationary random process. In: Institute of Statistical Mathematics. Annals, Vol. 54, no. 1, p. 171-200 (2002). doi:10.1023/A:1016130108440. http://hdl.handle.net/2078.1/61797

  • Cranstoun, SD ; Ombao, HC ; von Sachs, Rainer ; Guo, WS ; Litt, B. Time-frequency spectral estimation of multichannel EEG using the auto-SLEX method. In: IEEE Transactions on Biomedical Engineering, Vol. 49, no. 9, p. 988-996 (2002). doi:10.1109/TBME.2002.802015. http://hdl.handle.net/2078.1/41738

  • Document de travail (Working Paper)
  • Van Bellegem, Sébastien ; von Sachs, Rainer. Forecasting economic time series using models of nonstationarity (STAT Discussion Paper; 0227), 2002. 26 p. http://hdl.handle.net/2078.1/91553

  • Fryzlewicz, P. ; Van Bellegem, Sébastien ; von Sachs, Rainer. Forecasting non-stationary time series by wavelet process modelling (STAT Discussion Paper; 0208), 2002. 33 p. http://hdl.handle.net/2078.1/91558

  • Delouille, Véronique ; von Sachs, Rainer. Properties of design-adapted wavelet transforms of nonlinear autoregression models (STAT Discussion Paper; 0225), 2002. http://hdl.handle.net/2078.1/90586

  • 2001
    Article de périodique (Journal article)
  • Ombao, HC ; Raz, JA ; Strawderman, RL ; von Sachs, Rainer. A simple generalised crossvalidation method of span selection for periodogram smoothing. In: Biometrika, Vol. 88, no. 4, p. 1186-1192 (2001). doi:10.1093/biomet/88.4.1186. http://hdl.handle.net/2078.1/42395

  • Ombao, Hernando ; Raz, Jonathan ; von Sachs, Rainer ; Malow, Beth. Automatic statistical analysis of bivariate nonstationary time series. In: Journal of the American Statistical Association, Vol. 96, no. 454, p. 543-560 (2001). doi:10.1198/016214501753168244. http://hdl.handle.net/2078.1/90582

  • Delouille, Véronique ; Franke, Jürgen ; von Sachs, Rainer. Nonparametric stochastic regression with design-adapted wavelets. In: Sankhya. Series A : Indian journal of statistics, Vol. 63, no. 3, p. 328-366 (2001). http://hdl.handle.net/2078.1/90579

  • Document de travail (Working Paper)
  • Donoho, David ; Mallat, S. ; von Sachs, Rainer ; Samuelides, Yann. Signal and Covariance Estimation with Macrotiles (STAT Discussion Paper; 0113), 2001. 29 p. http://hdl.handle.net/2078.1/93257

  • Delouille, Véronique ; Simoens , J. ; von Sachs, Rainer. Smooth design-adapted wavelets for nonparametric stochastic regression (STAT Discussion Paper; 0117), 2001. 26 p. http://hdl.handle.net/2078.1/93266

  • Guo, Wensheng ; Dai, Ming ; Ombao, Hernando ; von Sachs, Rainer. Smoothing Spline ANOVA for Time-Dependent Spectral Analysis (STAT Discussion Paper; 0141), 2001. 26 p. http://hdl.handle.net/2078.1/93275

  • 2000
    Article de périodique (Journal article)
  • Neumann, Michael H. ; von Sachs, Rainer. A wavelet-based test for stationarity. In: Journal of Time Series Analysis, Vol. 21, no. 5, p. 597-613 (2000). doi:10.1111/1467-9892.00200. http://hdl.handle.net/2078.1/90558

  • von Sachs, Rainer ; Macgibbon, B. Non-parametric curve estimation by wavelet thresholding with locally stationary errors. In: Scandinavian Journal of Statistics : theory and applications, Vol. 27, no. 3, p. 475-499 (2000). doi:10.1111/1467-9469.00202. http://hdl.handle.net/2078.1/43356

  • Nason, Guy P. ; von Sachs, Rainer ; Kroisandt, Gerald. Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum. In: Journal of the Royal Statistical Society: Series B (Statistical Methodology), Vol. 62, no. 2, p. 271-292 (2000). doi:10.1111/1467-9868.00231. http://hdl.handle.net/2078.1/90554

  • Communication à un colloque (Conference Paper)
  • Ombao, Hernando ; von Sachs, Rainer ; Guo, Wensheng. Estimation and inference for time-varying spectra of locally stationary SLEX processes. Proceedings of the 2nd International Symposium on Frontiers of Time Series Modeling (Nara, Japan, du 14/12/2000 au 17/12/2000). http://hdl.handle.net/2078.1/90578

  • Document de travail (Working Paper)
  • Guo, Wensheng ; Ombao, Hernando ; von Sachs, Rainer. Estimation and inference for time-varying spectra of locally stationary SLEX processes : In Memory of Jonathan A. Raz (STAT Discussion Paper; 0027), 2000. 12 p. http://hdl.handle.net/2078.1/91523

  • Delouille, Véronique ; Franke, Jürgen ; von Sachs, Rainer. Nonparametric stochastic regression with design-adapted wavelets (STAT Discussion Paper; 0019), 2000. 44 p. http://hdl.handle.net/2078.1/92016

  • Guo, W. ; Ombao, Hernando ; Raz, J. ; von Sachs, Rainer. The SLEX Model of a Non-Stationary Random Process (STAT Discussion Paper; 0026), 2000. 29 p. http://hdl.handle.net/2078.1/91320

  • 1999
    Article de périodique (Journal article)
  • Dahlhaus, R ; Neumann, MH ; von Sachs, Rainer. Nonlinear wavelet estimation of time-varying autoregressive processes. In: Bernoulli : a journal of mathematical statistics and probability, Vol. 5, no. 5, p. 873-906 (1999). doi:10.2307/3318448. http://hdl.handle.net/2078.1/43764

  • Nason, Guy P. ; von Sachs, Rainer. Wavelets in Time Series Analysis. In: Philosophical transactions of the Royal Society of London. Series A, Physical sciences and engineering, Vol. 357, p. 2511-2526 (1999). http://hdl.handle.net/2078.1/90550

  • Communication à un colloque (Conference Paper)
  • von Sachs, Rainer. Overcomplete systems of wavelet and related local bases for adaptive signal representation and estimation. 52nd Session of the ISI (Helsinki, Finland, 1999). http://hdl.handle.net/2078.1/90551

  • Nason, Guy P. ; Kroisandt, Gerald ; von Sachs, Rainer. Spectral Representation and Estimation for Locally Stationary Wavelet Processes. Proceedings of the Workshop on Spline Functions and the Theory of Wavelets (Montreal, 1996). In: CRM Proceedings and Lecture Notes, Vol. 18, p. 381-397 (1999). http://hdl.handle.net/2078.1/90545

  • Document de travail (Working Paper)
  • Ombao, Hernando ; Raz, J. ; Strawderman, R. ; von Sachs, Rainer. A simple generalised crossvalidation method of span selection for periodogram smoothing (STAT Discussion Paper; 9917), 1999. 16 p. http://hdl.handle.net/2078.1/91364

  • Malow, Beth ; Ombao, Hernando ; Raz, J. ; von Sachs, Rainer. Automatic statistical analysis of bivariate non-stationary time series (STAT Discussion Paper; 9908), 1999. 31 p. http://hdl.handle.net/2078.1/91388

  • Nason, Guy P. ; von Sachs, Rainer. Wavelets in time series analysis (STAT Discussion Paper; 9901), 1999. 16 p. http://hdl.handle.net/2078.1/91347

  • 1998
    Communication à un colloque (Conference Paper)
  • von Sachs, Rainer. Nonparametric Wavelet Methods for Nonstationary Time Series. Proceedings of the 22nd European Meeting of Statisticians and 7th Vilnius Conference on Probability Theory and Mathematical Statistics (Vilnius, Lithuania, du 12/08/1998 au 18/08/1998). http://hdl.handle.net/2078.1/90543

  • Document de travail (Working Paper)
  • Donoho, David ; Mallat, Stéphane ; von Sachs, Rainer. Estimating Covariances of Locally Stationary Processes : Rates of Convergence of Best Basis Methods (Technical Report (Stanford University. Department of Statistics); 517), 1998. http://hdl.handle.net/2078.1/90525

  • von Sachs, Rainer. Nonparametric Wavelet Methods for Nonstationary Time Series (STAT Discussion Paper; 9819), 1998. 28 p. http://hdl.handle.net/2078.1/92115

  • Kroisandt, Gerald ; Nason, Guy P. ; von Sachs, Rainer. Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum (STAT Discussion Paper; 9822), 1998. 25 p. http://hdl.handle.net/2078.1/91343

  • 1997
    Article de périodique (Journal article)
  • Neumann, Michael H. ; von Sachs, Rainer. Wavelet Thresholding in Anisotropic Function Classes and Application to Adaptive Estimation of Evolutionary Spectra. In: Annals of Statistics, Vol. 25, p. 38-76 (1997). http://hdl.handle.net/2078.1/90460

  • 1996
    Article de périodique (Journal article)
  • von Sachs, Rainer. Modelling and Estimation of the Time--varying Structure of Nonstationary Time Series. In: Brazilian Journal of Probability and Statistics, Vol. 10, no. 2, p. 181-204 (1996). http://hdl.handle.net/2078.1/90454

  • Schneider, K. ; von Sachs, Rainer. Wavelet Smoothing of Evolutionary Spectra by Non-linear Thresholding. In: Applied and Computational Harmonic Analysis, Vol. 3, p. 268-282 (1996). http://hdl.handle.net/2078.1/90417

  • Communication à un colloque (Conference Paper)
  • von Sachs, Rainer. Adaptively Wavelet-smoothed Wigner Estimates of Evolutionary Spectra. ICIAM (Hamburg, 1995). In: ICIAM/GAMM 95 : applied stochastics and optimization, Hamburg, July 3-7, 1995 (ZAMM - Zeitschrift für Angewandte Mathematik und Mechanik; 76-3), Akademie-Verlag: Berlin, 1996. 3-05-501746-3, p. 71-74. http://hdl.handle.net/2078.1/90446

  • Donoho, David ; Mallat, Stéphane ; von Sachs, Rainer. Estimating Covariances of Locally Stationary Processes: Consistency of Best Basis Methods. IEEE Conference on Time-Frequency/Time-Scale Methods (Paris, France, June). http://hdl.handle.net/2078.1/90416

  • 1995
    Article de périodique (Journal article)
  • Janas, D. ; von Sachs, Rainer. Consistency for Non-linear Functions of the Periodogram of Tapered Data. In: Journal of Time Series Analysis, Vol. 16, no. 6, p. 585-606 (1995). doi:10.1111/j.1467-9892.1995.tb00257.x. http://hdl.handle.net/2078.1/90411

  • Contribution à ouvrage collectif (Book Chapter)
  • Neumann, Michael H. ; von Sachs, Rainer. Wavelet Thresholding : Beyond the Gaussian I.I.D. Situation. In: A. Antoniadis, G. Oppenheim, Wavelets and Statistics (Springer lecture notes in statistics; 103), Springer, 1995, p. 301-329. http://hdl.handle.net/2078.1/90413

  • 1994
    Article de périodique (Journal article)
  • von Sachs, Rainer. Estimating Non-linear Functions of the Spectral Density, Using a Data-Taper. In: Institute of Statistical Mathematics. Annals, Vol. 46, p. 453-474 (1994). http://hdl.handle.net/2078.1/90408

  • von Sachs, Rainer. Peak-insensitive Nonparametric Spectrum Estimation. In: Journal of Time Series Analysis, Vol. 15, p. 429-452 (1994). http://hdl.handle.net/2078.1/90410

  • Communication à un colloque (Conference Paper)
  • Schneider, K. ; von Sachs, Rainer. Nonlinear Wavelet Smoothing of Time-dependent Power Spectra. Proceedings of the Workshop on Time-Frequency, Wavelets and Multiresolution: Theory, Models and Applications (Lyon, March). http://hdl.handle.net/2078.1/90406

  • 1993
    Article de périodique (Journal article)
  • von Sachs, Rainer. Estimating the Spectrum of a Stochastic Process in the Presence of a Contaminating Signal. In: IEEE Transactions on Signal Processing, Vol. 41, no. 1, p. 323-333 (1993). http://hdl.handle.net/2078.1/90403

  • Document de travail (Working Paper)
  • von Sachs, Rainer. Detecting Periodic Components in a Stationary Time Series by an Improved Nonparametric Procedure, 1993. http://hdl.handle.net/2078.1/90401


  • | 2/07/2009 |