Alexander Aue, Ph.D.

Alexander Aue

Professor

  • Statistics
He/Him/His
4230 Mathematical Sciences Building
One Shields Avenue, Davis CA 95616

Research Interests

  • Time Series Analysis
  • Change-Point Problems
  • Functional Data
  • High Dimensional Statistics

Selected Works

  • Bootstrapping spectral statistics in high dimensions. Preprint (with M. Lopes and Andrew Blandino).
  • Testing for stationarity of functional time series in the frequency domain. Preprint (with A. van Delft). [Preprint] [Supp]
  • Estimating functional time series by moving average process fitting. Preprint (with J. Klepsch).
  • An adaptable generalization of Hotelling's $T^2$ in high dimensions. Preprint (with H. Li, D. Paul, J. Peng and P. Wang).
  • Estimation of prediction error in time series. Preprint (with P. Burman).
  • Detecting and dating structural breaks in functional data without dimension reduction. Journal of the Royal Statistical Society, Series B, to appear (with G. Rice and O. Sönmez). [Preprint] [Supp] 
Publications
  • Benchmarking M6 competitors: An analysis of financial metrics and discussion of incentives
    Journal Article | Schneider, M., Rankin, R., Burman, P., Aue, A. International Journal of Forecasting, 41, 1383-1394. 10.1016/j.ijforecast.2025.03.008
  • Estimation of prediction error in time series
    Journal Article | Aue, A., Burman, P. Biometrika, 111, 643-660. 10.1093/biomet/asad053
  • Testing General Linear Hypotheses Under a High-Dimensional Multivariate Regression Model with Spiked Noise Covariance
    Journal Article | Li, H., Aue, A., Paul, D., Peng, J. Journal of the American Statistical Association, 119, 2799-2810. 10.1080/01621459.2023.2278825
  • The state of cumulative sum sequential changepoint testing 70 years after Page
    Journal Article | Aue, A., Kirch, C. Biometrika, 111, 367-391. 10.1093/biomet/asad079
  • Functional Time Series Prediction Under Partial Observation of the Future Curve
    Journal Article | Jiao, S., Aue, A., Ombao, H. Journal of the American Statistical Association, 118, 315-326. 10.1080/01621459.2021.1929248
  • See publications and more on Aggie Experts: https://experts.ucdavis.edu/expert/blV5fdGL