Zhao, Boxin; Zhai, Percy S.; Wang, Y. Samuel; Kolar, Mladen High-dimensional functional graphical model structure learning via neighborhood selection approach. (English) Zbl 07823234 Electron. J. Stat. 18, No. 1, 1042-1129 (2024). MSC: 62H22 62J07 62P10 PDFBibTeX XMLCite \textit{B. Zhao} et al., Electron. J. Stat. 18, No. 1, 1042--1129 (2024; Zbl 07823234) Full Text: DOI arXiv Link
Reuvers, Hanno; Wijler, Etienne Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data. (English) Zbl 07813990 J. Econom. 239, No. 1, Article ID 105520, 28 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{H. Reuvers} and \textit{E. Wijler}, J. Econom. 239, No. 1, Article ID 105520, 28 p. (2024; Zbl 07813990) Full Text: DOI arXiv
Giannerini, Simone; Goracci, Greta; Rahbek, Anders The validity of bootstrap testing for threshold autoregression. (English) Zbl 07813985 J. Econom. 239, No. 1, Article ID 105379, 24 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Giannerini} et al., J. Econom. 239, No. 1, Article ID 105379, 24 p. (2024; Zbl 07813985) Full Text: DOI
He, Yong; Kong, Xinbing; Yu, Long; Zhang, Xinsheng; Zhao, Changwei Matrix factor analysis: from least squares to iterative projection. (English) Zbl 07813848 J. Bus. Econ. Stat. 42, No. 1, 322-334 (2024). MSC: 62P20 PDFBibTeX XMLCite \textit{Y. He} et al., J. Bus. Econ. Stat. 42, No. 1, 322--334 (2024; Zbl 07813848) Full Text: DOI arXiv
Gao, Jiti; Peng, Bin; Yan, Yayi Estimation, inference, and empirical analysis for time-varying VAR models. (English) Zbl 07813847 J. Bus. Econ. Stat. 42, No. 1, 310-321 (2024). MSC: 62P20 PDFBibTeX XMLCite \textit{J. Gao} et al., J. Bus. Econ. Stat. 42, No. 1, 310--321 (2024; Zbl 07813847) Full Text: DOI
Cavaliere, Giuseppe; Perera, Indeewara; Rahbek, Anders Specification tests for GARCH processes with nuisance parameters on the boundary. (English) Zbl 07813839 J. Bus. Econ. Stat. 42, No. 1, 197-214 (2024). MSC: 62P20 PDFBibTeX XMLCite \textit{G. Cavaliere} et al., J. Bus. Econ. Stat. 42, No. 1, 197--214 (2024; Zbl 07813839) Full Text: DOI
Fan, Xinyan; Lan, Wei; Zou, Tao; Tsai, Chih-Ling Covariance model with general linear structure and divergent parameters. (English) Zbl 07813827 J. Bus. Econ. Stat. 42, No. 1, 36-48 (2024). MSC: 62P20 PDFBibTeX XMLCite \textit{X. Fan} et al., J. Bus. Econ. Stat. 42, No. 1, 36--48 (2024; Zbl 07813827) Full Text: DOI arXiv
McElroy, Tucker S.; Ghosh, Dhrubajyoti; Lahiri, Soumendra Quadratic prediction of time series via auto-cumulants. (English) Zbl 07812673 Sankhyā, Ser. A 86, No. 1, 431-463 (2024). MSC: 62M10 62M20 PDFBibTeX XMLCite \textit{T. S. McElroy} et al., Sankhyā, Ser. A 86, No. 1, 431--463 (2024; Zbl 07812673) Full Text: DOI
Acosta, Jonathan; Vallejos, Ronny; Gómez, John Correlation integral for stationary Gaussian time series. (English) Zbl 07812667 Sankhyā, Ser. A 86, No. 1, 191-214 (2024). MSC: 62M10 62H20 60G10 PDFBibTeX XMLCite \textit{J. Acosta} et al., Sankhyā, Ser. A 86, No. 1, 191--214 (2024; Zbl 07812667) Full Text: DOI
Cruz-Torres, Cristian A Bayesian estimation of bivariate GARCH-M models. (Spanish. English summary) Zbl 07810078 Rev. Mat. Teor. Apl. 31, No. 1, 99-126 (2024). MSC: 62H12 62M10 62F15 PDFBibTeX XMLCite \textit{C. Cruz-Torres}, Rev. Mat. Teor. Apl. 31, No. 1, 99--126 (2024; Zbl 07810078) Full Text: DOI
Nie, Chun-Xiao Persistence of return distribution sequence in financial markets. (English) Zbl 07810051 Commun. Nonlinear Sci. Numer. Simul. 131, Article ID 107856, 19 p. (2024). MSC: 62Pxx 62Mxx 91Gxx PDFBibTeX XMLCite \textit{C.-X. Nie}, Commun. Nonlinear Sci. Numer. Simul. 131, Article ID 107856, 19 p. (2024; Zbl 07810051) Full Text: DOI
Meintanis, Simos; Milošević, Bojana; Obradović, Marko; Veljović, Mirjana Goodness-of-fit tests for the multivariate Student-\(t\) distribution based on i.i.d. data, and for GARCH observations. (English) Zbl 07804902 J. Time Ser. Anal. 45, No. 2, 298-319 (2024). MSC: 62Mxx PDFBibTeX XMLCite \textit{S. Meintanis} et al., J. Time Ser. Anal. 45, No. 2, 298--319 (2024; Zbl 07804902) Full Text: DOI OA License
Saidi, Amel; Hamaz, Abdelghani; Arezki, Ouerdia Estimation in nonlinear random fields models of autoregressive type with random parameters. (English) Zbl 07772198 Commun. Stat., Theory Methods 53, No. 1, 294-309 (2024). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Saidi} et al., Commun. Stat., Theory Methods 53, No. 1, 294--309 (2024; Zbl 07772198) Full Text: DOI
Xue, Liugen Empirical likelihood and estimation in single-index varying-coefficient models with censored data. (English) Zbl 1523.62044 Stat. Comput. 34, No. 1, Paper No. 3, 15 p. (2024). MSC: 62-08 62G08 62G05 62G15 62G20 PDFBibTeX XMLCite \textit{L. Xue}, Stat. Comput. 34, No. 1, Paper No. 3, 15 p. (2024; Zbl 1523.62044) Full Text: DOI
Flumian, Lea; Matilainen, Markus; Nordhausen, Klaus; Taskinen, Sara Stationary subspace analysis based on second-order statistics. (English) Zbl 07738639 J. Comput. Appl. Math. 436, Article ID 115379, 21 p. (2024). MSC: 62Hxx 62Mxx 62Gxx PDFBibTeX XMLCite \textit{L. Flumian} et al., J. Comput. Appl. Math. 436, Article ID 115379, 21 p. (2024; Zbl 07738639) Full Text: DOI arXiv
Tong, Chen; Hansen, Peter Reinhard Characterizing correlation matrices that admit a clustered factor representation. (English) Zbl 07821434 Econ. Lett. 233, Article ID 111433, 4 p. (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{C. Tong} and \textit{P. R. Hansen}, Econ. Lett. 233, Article ID 111433, 4 p. (2023; Zbl 07821434) Full Text: DOI arXiv
Horváth, Lajos; Trapani, Lorenzo Changepoint detection in heteroscedastic random coefficient autoregressive models. (English) Zbl 07813816 J. Bus. Econ. Stat. 41, No. 4, 1300-1314 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{L. Horváth} and \textit{L. Trapani}, J. Bus. Econ. Stat. 41, No. 4, 1300--1314 (2023; Zbl 07813816) Full Text: DOI
Smith, Simon C. Structural breaks in grouped heterogeneity. (English) Zbl 07813772 J. Bus. Econ. Stat. 41, No. 3, 752-764 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{S. C. Smith}, J. Bus. Econ. Stat. 41, No. 3, 752--764 (2023; Zbl 07813772) Full Text: DOI
Wang, Jingli; Li, Jialiang Multi-threshold structural equation model. (English) Zbl 07813289 J. Bus. Econ. Stat. 41, No. 2, 377-387 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{J. Wang} and \textit{J. Li}, J. Bus. Econ. Stat. 41, No. 2, 377--387 (2023; Zbl 07813289) Full Text: DOI
Hafner, Christian M.; Herwartz, Helmut Dynamic score-driven independent component analysis. (English) Zbl 07813283 J. Bus. Econ. Stat. 41, No. 2, 298-308 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{C. M. Hafner} and \textit{H. Herwartz}, J. Bus. Econ. Stat. 41, No. 2, 298--308 (2023; Zbl 07813283) Full Text: DOI
Cheng, Hao Quantile varying-coefficient structural equation model. (English) Zbl 07812028 Stat. Methods Appl. 32, No. 5, 1439-1475 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{H. Cheng}, Stat. Methods Appl. 32, No. 5, 1439--1475 (2023; Zbl 07812028) Full Text: DOI
Golosnoy, Vasyl; Hildebrandt, Benno; Köhler, Steffen; Schmid, Wolfgang; Seifert, Miriam Isabel Control charts for measurement error models. (English) Zbl 07807649 AStA, Adv. Stat. Anal. 107, No. 4, 693-712 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{V. Golosnoy} et al., AStA, Adv. Stat. Anal. 107, No. 4, 693--712 (2023; Zbl 07807649) Full Text: DOI OA License
Zhu, Wenhao; Li, Lujun; Yang, Jingping; Xie, Jiehua; Sun, Liulei Asymptotic subadditivity/superadditivity of value-at-risk under tail dependence. (English) Zbl 07797381 Math. Finance 33, No. 4, 1314-1369 (2023). MSC: 91G70 62H05 PDFBibTeX XMLCite \textit{W. Zhu} et al., Math. Finance 33, No. 4, 1314--1369 (2023; Zbl 07797381) Full Text: DOI
Liu, Yanping; Yin, Juliang Spline estimation of partially linear regression models for time series with correlated errors. (English) Zbl 07793002 Commun. Stat., Simulation Comput. 52, No. 11, 5522-5536 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Liu} and \textit{J. Yin}, Commun. Stat., Simulation Comput. 52, No. 11, 5522--5536 (2023; Zbl 07793002) Full Text: DOI
Lee, Sangyeol; Jo, Minyoung Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence. (English) Zbl 07792809 J. Stat. Comput. Simulation 93, No. 17, 3156-3184 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{S. Lee} and \textit{M. Jo}, J. Stat. Comput. Simulation 93, No. 17, 3156--3184 (2023; Zbl 07792809) Full Text: DOI
Liu, Yonghui; Wang, Jing; Shi, Dawei; Leiva, Víctor; Liu, Shuangzhe A score test for detecting extreme values in a vector autoregressive model. (English) Zbl 07792790 J. Stat. Comput. Simulation 93, No. 15, 2751-2779 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Liu} et al., J. Stat. Comput. Simulation 93, No. 15, 2751--2779 (2023; Zbl 07792790) Full Text: DOI
Doukhan, Paul; Neumann, Michael H.; Truquet, Lionel Stationarity and ergodic properties for some observation-driven models in random environments. (English) Zbl 07791532 Ann. Appl. Probab. 33, No. 6B, 5145-5170 (2023). MSC: 60K37 62M10 60J05 PDFBibTeX XMLCite \textit{P. Doukhan} et al., Ann. Appl. Probab. 33, No. 6B, 5145--5170 (2023; Zbl 07791532) Full Text: DOI arXiv
Gao, Zhaoxing; Tsay, Ruey S. Divide-and-conquer: a distributed hierarchical factor approach to modeling large-scale time series data. (English) Zbl 07784939 J. Am. Stat. Assoc. 118, No. 544, 2698-2711 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{Z. Gao} and \textit{R. S. Tsay}, J. Am. Stat. Assoc. 118, No. 544, 2698--2711 (2023; Zbl 07784939) Full Text: DOI arXiv
Liu, Jun. M. Short-term forecasting with a computationally efficient nonparametric transfer function model. (English) Zbl 07780639 Aust. N. Z. J. Stat. 65, No. 3, 187-212 (2023). MSC: 62Gxx 62Mxx 62Jxx PDFBibTeX XMLCite \textit{M. Liu Jun.}, Aust. N. Z. J. Stat. 65, No. 3, 187--212 (2023; Zbl 07780639) Full Text: DOI
Goracci, Greta; Giannerini, Simone; Chan, Kung-Sik; Tong, Howell Testing for threshold effects in the TARMA framework. (English) Zbl 07769926 Stat. Sin. 33, No. 3, 1879-1901 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{G. Goracci} et al., Stat. Sin. 33, No. 3, 1879--1901 (2023; Zbl 07769926) Full Text: DOI arXiv
Chen, Bin; Maung, Kenwin Time-varying forecast combination for high-dimensional data. (English) Zbl 07767735 J. Econom. 237, No. 2, Part C, Article ID 105418, 21 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{B. Chen} and \textit{K. Maung}, J. Econom. 237, No. 2, Part C, Article ID 105418, 21 p. (2023; Zbl 07767735) Full Text: DOI arXiv
Oh, Dong Hwan; Patton, Andrew J. Dynamic factor copula models with estimated cluster assignments. (English) Zbl 07767732 J. Econom. 237, No. 2, Part C, Article ID 105374, 23 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{D. H. Oh} and \textit{A. J. Patton}, J. Econom. 237, No. 2, Part C, Article ID 105374, 23 p. (2023; Zbl 07767732) Full Text: DOI
Wang, Zhenzhong; Safikhani, Abolfazl; Zhu, Zhengyuan; Matteson, David S. Regularized estimation in high-dimensional vector auto-regressive models using spatio-temporal information. (English) Zbl 07767607 Stat. Sin. 33, Spec. Iss., 1271-1294 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{Z. Wang} et al., Stat. Sin. 33, 1271--1294 (2023; Zbl 07767607) Full Text: DOI arXiv
Sun, Yuqin; Wang, Yawen; Li, Yan; Zhu, Wei Bayesian analysis of multiple break-points threshold ARMA model with exogenous inputs. (English) Zbl 07767147 Commun. Stat., Theory Methods 52, No. 24, 8677-8695 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Sun} et al., Commun. Stat., Theory Methods 52, No. 24, 8677--8695 (2023; Zbl 07767147) Full Text: DOI
Koop, Gary; Korobilis, Dimitris Bayesian dynamic variable selection in high dimensions. (English) Zbl 07766764 Int. Econ. Rev. 64, No. 3, 1047-1074 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{G. Koop} and \textit{D. Korobilis}, Int. Econ. Rev. 64, No. 3, 1047--1074 (2023; Zbl 07766764) Full Text: DOI arXiv OA License
Liu, Xiao Hui; Fan, Ya Wen; Liu, Yu Zi; Luo, Shi Hua A unit root test for an AR(1) process with AR errors by using random weighted bootstrap. (English) Zbl 07753785 Acta Math. Sin., Engl. Ser. 39, No. 9, 1834-1854 (2023). MSC: 62F03 62F40 62F86 PDFBibTeX XMLCite \textit{X. H. Liu} et al., Acta Math. Sin., Engl. Ser. 39, No. 9, 1834--1854 (2023; Zbl 07753785) Full Text: DOI
Li, Shuo; Peng, Liuhua; Song, Xiaojun Simultaneous confidence bands for conditional value-at-risk and expected shortfall. (English) Zbl 07753720 Econom. Theory 39, No. 5, 1009-1043 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{S. Li} et al., Econom. Theory 39, No. 5, 1009--1043 (2023; Zbl 07753720) Full Text: DOI OA License
Jelloul, Allal; Azouagh, Nabil; El Melhaoui, Said Aligned signed-rank tests of a linear autoregressive model against an exponential autoregressive one. (English) Zbl 07753682 Commun. Stat., Theory Methods 52, No. 22, 7944-7965 (2023). MSC: 62M10 62G10 62G20 PDFBibTeX XMLCite \textit{A. Jelloul} et al., Commun. Stat., Theory Methods 52, No. 22, 7944--7965 (2023; Zbl 07753682) Full Text: DOI
Lee, Kuang-Yao; Li, Lexin; Li, Bing; Zhao, Hongyu Nonparametric functional graphical modeling through functional additive regression operator. (English) Zbl 07751803 J. Am. Stat. Assoc. 118, No. 543, 1718-1732 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{K.-Y. Lee} et al., J. Am. Stat. Assoc. 118, No. 543, 1718--1732 (2023; Zbl 07751803) Full Text: DOI
Rawat, Siddharth; Deb, Soudeep A spatio-temporal statistical model to analyze COVID-19 spread in the USA. (English) Zbl 07742662 J. Appl. Stat. 50, No. 11-12, 2310-2329 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{S. Rawat} and \textit{S. Deb}, J. Appl. Stat. 50, No. 11--12, 2310--2329 (2023; Zbl 07742662) Full Text: DOI
Khorshidi, H. R.; Nematollahi, A. R.; Manouchehri, T. On the vector-valued generalized autoregressive models. (English) Zbl 07739794 J. Stat. Comput. Simulation 93, No. 14, 2428-2449 (2023). MSC: 62-XX 62H12 60G10 62F15 62H10 62M10 PDFBibTeX XMLCite \textit{H. R. Khorshidi} et al., J. Stat. Comput. Simulation 93, No. 14, 2428--2449 (2023; Zbl 07739794) Full Text: DOI
Mohammed, Noura Ait; Guerbyenne, Hafida Bayesian inference in a multiple contaminated autoregressive model with trend. (English) Zbl 07739743 J. Stat. Comput. Simulation 93, No. 12, 2067-2109 (2023). MSC: 62-XX 62F15 62M10 PDFBibTeX XMLCite \textit{N. A. Mohammed} and \textit{H. Guerbyenne}, J. Stat. Comput. Simulation 93, No. 12, 2067--2109 (2023; Zbl 07739743) Full Text: DOI
Wang, Joanna J. J.; Chan, Jennifer S. K. Stochastic modelling of volatility and inter-relationships in the Australian electricity markets. (English) Zbl 07739559 Commun. Stat., Simulation Comput. 52, No. 8, 3877-3896 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{J. J. J. Wang} and \textit{J. S. K. Chan}, Commun. Stat., Simulation Comput. 52, No. 8, 3877--3896 (2023; Zbl 07739559) Full Text: DOI
Lee, Bu Hyoung; Wei, William W. S. The use of temporally aggregated data in modeling and testing a variance change in a time series. (English) Zbl 07739069 Commun. Stat., Simulation Comput. 52, No. 7, 3183-3200 (2023). MSC: 62M10 PDFBibTeX XMLCite \textit{B. H. Lee} and \textit{W. W. S. Wei}, Commun. Stat., Simulation Comput. 52, No. 7, 3183--3200 (2023; Zbl 07739069) Full Text: DOI
Syuhada, Khreshna; Hakim, Arief; Nur’aini, Risti The expected-based value-at-risk and expected shortfall using quantile and expectile with application to electricity market data. (English) Zbl 07739063 Commun. Stat., Simulation Comput. 52, No. 7, 3104-3121 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{K. Syuhada} et al., Commun. Stat., Simulation Comput. 52, No. 7, 3104--3121 (2023; Zbl 07739063) Full Text: DOI
Tu, Yundong; Xie, Xinling Forecasting vector autoregressions with mixed roots in the vicinity of unity. (English) Zbl 07739040 Econom. Rev. 42, No. 7, 556-585 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{Y. Tu} and \textit{X. Xie}, Econom. Rev. 42, No. 7, 556--585 (2023; Zbl 07739040) Full Text: DOI
Yang, Bingduo; Liu, Xiaohui; Long, Wei; Peng, Liang A unified unit root test regardless of intercept. (English) Zbl 07739039 Econom. Rev. 42, No. 6, 540-555 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{B. Yang} et al., Econom. Rev. 42, No. 6, 540--555 (2023; Zbl 07739039) Full Text: DOI
Hajrajabi, A.; Nabati, P. Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbeck process. (Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process.) (English) Zbl 07736156 Commun. Stat., Theory Methods 52, No. 20, 7532-7542 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Hajrajabi} and \textit{P. Nabati}, Commun. Stat., Theory Methods 52, No. 20, 7532--7542 (2023; Zbl 07736156) Full Text: DOI
Pan, Jiazhu; He, Yali Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations. (English) Zbl 07734262 Stud. Nonlinear Dyn. Econom. 27, No. 3, 377-395 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{J. Pan} and \textit{Y. He}, Stud. Nonlinear Dyn. Econom. 27, No. 3, 377--395 (2023; Zbl 07734262) Full Text: DOI
Blazsek, Szabolcs; Blazsek, Virag; Kobor, Adam Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions. (English) Zbl 07734254 Stud. Nonlinear Dyn. Econom. 27, No. 2, 237-264 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{S. Blazsek} et al., Stud. Nonlinear Dyn. Econom. 27, No. 2, 237--264 (2023; Zbl 07734254) Full Text: DOI
Jang, Phillip A.; Matteson, David S. Spatial correlation in weather forecast accuracy: a functional time series approach. (English) Zbl 07734157 Comput. Stat. 38, No. 3, 1215-1229 (2023). MSC: 62-08 PDFBibTeX XMLCite \textit{P. A. Jang} and \textit{D. S. Matteson}, Comput. Stat. 38, No. 3, 1215--1229 (2023; Zbl 07734157) Full Text: DOI arXiv
Li, Yan; Gao, Zhigen; Huang, Wei; Guo, Jianhua Matrix-variate data analysis by two-way factor model with replicated observations. (English) Zbl 07734000 Stat. Probab. Lett. 202, Article ID 109904, 8 p. (2023). MSC: 62H25 62M10 62H12 PDFBibTeX XMLCite \textit{Y. Li} et al., Stat. Probab. Lett. 202, Article ID 109904, 8 p. (2023; Zbl 07734000) Full Text: DOI
Hu, Guanyu; Chen, Ming-Hui; Ravishanker, Nalini Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models. (English) Zbl 07732386 Comput. Stat. 38, No. 2, 845-869 (2023). MSC: 62-08 PDFBibTeX XMLCite \textit{G. Hu} et al., Comput. Stat. 38, No. 2, 845--869 (2023; Zbl 07732386) Full Text: DOI
Peña, Daniel; Tsay, Ruey S. A testing approach to clustering scalar time series. (English) Zbl 07731499 J. Time Ser. Anal. 44, No. 5-6, 667-685 (2023). MSC: 62Mxx 62F40 62H30 62M10 PDFBibTeX XMLCite \textit{D. Peña} and \textit{R. S. Tsay}, J. Time Ser. Anal. 44, No. 5--6, 667--685 (2023; Zbl 07731499) Full Text: DOI
Hsu, Nan-Jung; Sim, Lai Heng; Tsay, Ruey S. Testing for symmetric correlation matrices with applications to factor models. (English) Zbl 07731497 J. Time Ser. Anal. 44, No. 5-6, 622-643 (2023). MSC: 62Mxx 62M10 62M20 PDFBibTeX XMLCite \textit{N.-J. Hsu} et al., J. Time Ser. Anal. 44, No. 5--6, 622--643 (2023; Zbl 07731497) Full Text: DOI
Hervé, Loïc; Ledoux, James Robustness of iterated function systems of Lipschitz maps. (English) Zbl 07727559 J. Appl. Probab. 60, No. 3, 921-944 (2023). MSC: 60J10 47B07 62F99 PDFBibTeX XMLCite \textit{L. Hervé} and \textit{J. Ledoux}, J. Appl. Probab. 60, No. 3, 921--944 (2023; Zbl 07727559) Full Text: DOI
Sundararajan, Raanju R. Factor modeling of multivariate time series: a frequency components approach. (English) Zbl 07723942 J. Multivariate Anal. 197, Article ID 105202, 17 p. (2023). MSC: 62Hxx 62M10 62M15 PDFBibTeX XMLCite \textit{R. R. Sundararajan}, J. Multivariate Anal. 197, Article ID 105202, 17 p. (2023; Zbl 07723942) Full Text: DOI
Xiang, Jingjie; Guo, Gangzheng; Li, Jiaolong Determining the number of factors in constrained factor models via Bayesian information criterion. (English) Zbl 07716492 Econom. Rev. 42, No. 1, 98-122 (2023). MSC: 62P20 PDFBibTeX XMLCite \textit{J. Xiang} et al., Econom. Rev. 42, No. 1, 98--122 (2023; Zbl 07716492) Full Text: DOI
Wang, Di; Tsay, Ruey S. Rate-optimal robust estimation of high-dimensional vector autoregressive models. (English) Zbl 07714183 Ann. Stat. 51, No. 2, 846-877 (2023). MSC: 62M10 62F35 62J07 PDFBibTeX XMLCite \textit{D. Wang} and \textit{R. S. Tsay}, Ann. Stat. 51, No. 2, 846--877 (2023; Zbl 07714183) Full Text: DOI arXiv
Mei, Tianxing; Wang, Chen; Yao, Jianfeng On singular values of data matrices with general independent columns. (English) Zbl 07714174 Ann. Stat. 51, No. 2, 624-645 (2023). MSC: 62H10 60B20 PDFBibTeX XMLCite \textit{T. Mei} et al., Ann. Stat. 51, No. 2, 624--645 (2023; Zbl 07714174) Full Text: DOI arXiv
Al-Gounmeein, Remal Shaher; Ismail, Mohd Tahir Comparing the performances of symmetric and asymmetric generalized autoregressive conditionally heteroscedasticity models based on long-memory models under different distributions. (English) Zbl 07714124 Commun. Stat., Simulation Comput. 52, No. 5, 1878-1908 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{R. S. Al-Gounmeein} and \textit{M. T. Ismail}, Commun. Stat., Simulation Comput. 52, No. 5, 1878--1908 (2023; Zbl 07714124) Full Text: DOI
Alphonsus Akpan, Emmanuel; Lasisi, Kazeem Etitayo; Moffat, Imoh Udo; Abasiekwere, Ubon Akpan Appraisal of excess kurtosis through outlier-modified GARCH-type models. (English) Zbl 07713878 Commun. Stat., Simulation Comput. 52, No. 4, 1523-1537 (2023). MSC: 37M10 62M10 PDFBibTeX XMLCite \textit{E. Alphonsus Akpan} et al., Commun. Stat., Simulation Comput. 52, No. 4, 1523--1537 (2023; Zbl 07713878) Full Text: DOI
Manaa, Abderrahmen; Bentarzi, Mohamed On a periodic negative binomial SETINAR model. (English) Zbl 07713642 Commun. Stat., Simulation Comput. 52, No. 3, 569-595 (2023). MSC: 62F12 62M10 PDFBibTeX XMLCite \textit{A. Manaa} and \textit{M. Bentarzi}, Commun. Stat., Simulation Comput. 52, No. 3, 569--595 (2023; Zbl 07713642) Full Text: DOI
Teles, Paulo Testing conditional heteroscedasticity with systematic sampling of time series. (English) Zbl 07711324 Commun. Stat., Theory Methods 52, No. 15, 5427-5450 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{P. Teles}, Commun. Stat., Theory Methods 52, No. 15, 5427--5450 (2023; Zbl 07711324) Full Text: DOI
Sui, Yuelei; Holan, Scott H.; Yang, Wen-Hsi Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models. (English) Zbl 07710145 Comput. Stat. Data Anal. 181, Article ID 107690, 19 p. (2023). MSC: 62-08 PDFBibTeX XMLCite \textit{Y. Sui} et al., Comput. Stat. Data Anal. 181, Article ID 107690, 19 p. (2023; Zbl 07710145) Full Text: DOI arXiv
Turnbull, Kathryn; Nemeth, Christopher; Nunes, Matthew; McCormick, Tyler Sequential estimation of temporally evolving latent space network models. (English) Zbl 07708443 Comput. Stat. Data Anal. 179, Article ID 107627, 20 p. (2023). MSC: 62-08 PDFBibTeX XMLCite \textit{K. Turnbull} et al., Comput. Stat. Data Anal. 179, Article ID 107627, 20 p. (2023; Zbl 07708443) Full Text: DOI arXiv
Tan, Linda S. L. Efficient data augmentation techniques for some classes of state space models. (English) Zbl 07708430 Stat. Sci. 38, No. 2, 240-261 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{L. S. L. Tan}, Stat. Sci. 38, No. 2, 240--261 (2023; Zbl 07708430) Full Text: DOI arXiv
Agyarko, Kofi; Frempong, Nana Kena; Wiah, Eric Neebo Hybrid model for stock market volatility. (English) Zbl 07707858 J. Probab. Stat. 2023, Article ID 6124649, 10 p. (2023). MSC: 62Mxx 91Bxx 62Pxx PDFBibTeX XMLCite \textit{K. Agyarko} et al., J. Probab. Stat. 2023, Article ID 6124649, 10 p. (2023; Zbl 07707858) Full Text: DOI
Masala, Giovanni; Petroni, Filippo Drawdown risk measures for asset portfolios with high frequency data. (English) Zbl 1520.91374 Ann. Finance 19, No. 2, 265-289 (2023). MSC: 91G10 91G70 62M10 PDFBibTeX XMLCite \textit{G. Masala} and \textit{F. Petroni}, Ann. Finance 19, No. 2, 265--289 (2023; Zbl 1520.91374) Full Text: DOI
Kengne, William On consistency for time series model selection. (English) Zbl 07707702 Stat. Inference Stoch. Process. 26, No. 2, 437-458 (2023). MSC: 62M10 62F07 62F12 PDFBibTeX XMLCite \textit{W. Kengne}, Stat. Inference Stoch. Process. 26, No. 2, 437--458 (2023; Zbl 07707702) Full Text: DOI arXiv
Chen, Elynn Y.; Fan, Jianqing Statistical inference for high-dimensional matrix-variate factor models. (English) Zbl 07707221 J. Am. Stat. Assoc. 118, No. 542, 1038-1055 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{E. Y. Chen} and \textit{J. Fan}, J. Am. Stat. Assoc. 118, No. 542, 1038--1055 (2023; Zbl 07707221) Full Text: DOI arXiv
Wilms, Ines; Basu, Sumanta; Bien, Jacob; Matteson, David S. Sparse identification and estimation of large-scale vector autoregressive moving averages. (English) Zbl 1514.62176 J. Am. Stat. Assoc. 118, No. 541, 571-582 (2023). MSC: 62M10 62F10 62F12 PDFBibTeX XMLCite \textit{I. Wilms} et al., J. Am. Stat. Assoc. 118, No. 541, 571--582 (2023; Zbl 1514.62176) Full Text: DOI arXiv
Lee, Kuang-Yao; Ji, Dingjue; Li, Lexin; Constable, Todd; Zhao, Hongyu Conditional functional graphical models. (English) Zbl 1514.62243 J. Am. Stat. Assoc. 118, No. 541, 257-271 (2023). MSC: 62P10 62H22 62R10 PDFBibTeX XMLCite \textit{K.-Y. Lee} et al., J. Am. Stat. Assoc. 118, No. 541, 257--271 (2023; Zbl 1514.62243) Full Text: DOI
Dutta, Chiranjit; Ravishanker, Nalini; Karpman, Kara; Basu, Sumanta Review of statistical approaches for modeling high-frequency trading data. (English) Zbl 07705108 Sankhyā, Ser. B 85, No. 1, Suppl., S1-S48 (2023). MSC: 62M10 62M05 62P20 PDFBibTeX XMLCite \textit{C. Dutta} et al., Sankhyā, Ser. B 85, No. 1, S1--S48 (2023; Zbl 07705108) Full Text: DOI
He, Yong; Kong, Xinbing; Trapani, Lorenzo; Yu, Long One-way or two-way factor model for matrix sequences? (English) Zbl 07704523 J. Econom. 235, No. 2, 1981-2004 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. He} et al., J. Econom. 235, No. 2, 1981--2004 (2023; Zbl 07704523) Full Text: DOI arXiv
Ma, Chenchen; Tu, Yundong Shrinkage estimation of multiple threshold factor models. (English) Zbl 07704518 J. Econom. 235, No. 2, 1876-1892 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{C. Ma} and \textit{Y. Tu}, J. Econom. 235, No. 2, 1876--1892 (2023; Zbl 07704518) Full Text: DOI
Mayer, Alexander; Wied, Dominik Estimation and inference in factor copula models with exogenous covariates. (English) Zbl 07704503 J. Econom. 235, No. 2, 1500-1521 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Mayer} and \textit{D. Wied}, J. Econom. 235, No. 2, 1500--1521 (2023; Zbl 07704503) Full Text: DOI arXiv
Abadir, Karim M.; Luati, Alessandra; Paruolo, Paolo GARCH density and functional forecasts. (English) Zbl 07704461 J. Econom. 235, No. 2, 470-483 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{K. M. Abadir} et al., J. Econom. 235, No. 2, 470--483 (2023; Zbl 07704461) Full Text: DOI arXiv
Loperfido, Nicola Kurtosis removal for data pre-processing. (English) Zbl 07702480 Adv. Data Anal. Classif., ADAC 17, No. 1, 239-267 (2023). MSC: 15A18 62H10 PDFBibTeX XMLCite \textit{N. Loperfido}, Adv. Data Anal. Classif., ADAC 17, No. 1, 239--267 (2023; Zbl 07702480) Full Text: DOI
Giordano, Francesco; Niglio, Marcella; Vitale, Cosimo Damiano Linear approximation of the threshold autoregressive model: an application to order estimation. (English) Zbl 07702205 Stat. Methods Appl. 32, No. 1, 27-56 (2023). MSC: 62-XX 65-XX PDFBibTeX XMLCite \textit{F. Giordano} et al., Stat. Methods Appl. 32, No. 1, 27--56 (2023; Zbl 07702205) Full Text: DOI
Koo, Donghyun; Kim, Chanmin; Lee, Keunbaik A Bayesian method for multinomial probit model. (English) Zbl 07698356 J. Korean Stat. Soc. 52, No. 1, 265-281 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{D. Koo} et al., J. Korean Stat. Soc. 52, No. 1, 265--281 (2023; Zbl 07698356) Full Text: DOI
Gribisch, Bastian; Hartkopf, Jan Patrick Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model. (English) Zbl 07693697 J. Econom. 235, No. 1, 43-64 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{B. Gribisch} and \textit{J. P. Hartkopf}, J. Econom. 235, No. 1, 43--64 (2023; Zbl 07693697) Full Text: DOI
Meyer, Marco; Paparoditis, Efstathios A frequency domain bootstrap for general multivariate stationary processes. (English) Zbl 07691585 Bernoulli 29, No. 3, 2367-2391 (2023). MSC: 62Mxx 62Gxx 62Fxx PDFBibTeX XMLCite \textit{M. Meyer} and \textit{E. Paparoditis}, Bernoulli 29, No. 3, 2367--2391 (2023; Zbl 07691585) Full Text: DOI arXiv Link
Cui, Yan; Yang, Jun; Zhou, Zhou State-domain change point detection for nonlinear time series regression. (English) Zbl 07674647 J. Econom. 234, No. 1, 3-27 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Cui} et al., J. Econom. 234, No. 1, 3--27 (2023; Zbl 07674647) Full Text: DOI arXiv
Chiba, Masaru Robust and efficient specification tests in Markov-switching autoregressive models. (English) Zbl 07672041 Stat. Inference Stoch. Process. 26, No. 1, 99-137 (2023). MSC: 62Mxx PDFBibTeX XMLCite \textit{M. Chiba}, Stat. Inference Stoch. Process. 26, No. 1, 99--137 (2023; Zbl 07672041) Full Text: DOI
Lee, Tae-Hwy; Wang, He; Xi, Zhou; Zhang, Ru Density forecast of financial returns using decomposition and maximum entropy. (English) Zbl 1507.62326 J. Econom. Methods 12, No. 1, 57-83 (2023). MSC: 62P05 62B10 PDFBibTeX XMLCite \textit{T.-H. Lee} et al., J. Econom. Methods 12, No. 1, 57--83 (2023; Zbl 1507.62326) Full Text: DOI
De Gooijer, Jan G. On portmanteau-type tests for nonlinear multivariate time series. (English) Zbl 1520.62108 J. Multivariate Anal. 195, Article ID 105157, 14 p. (2023). MSC: 62M10 62H15 62E20 62P05 PDFBibTeX XMLCite \textit{J. G. De Gooijer}, J. Multivariate Anal. 195, Article ID 105157, 14 p. (2023; Zbl 1520.62108) Full Text: DOI
Chu, Ba A distance-based test of independence between two multivariate time series. (English) Zbl 1520.62107 J. Multivariate Anal. 195, Article ID 105151, 20 p. (2023). MSC: 62M10 62G09 62G10 62H15 62H20 PDFBibTeX XMLCite \textit{B. Chu}, J. Multivariate Anal. 195, Article ID 105151, 20 p. (2023; Zbl 1520.62107) Full Text: DOI
Gonzalez de Freitas Pinto, Mateus; de Oliveira Lima C. Marques, Guilherme; Chiann, Chang Jump detection in high-frequency financial data using wavelets. (English) Zbl 1508.91531 Int. J. Wavelets Multiresolut. Inf. Process. 21, No. 2, Article ID 2250056, 20 p. (2023). MSC: 91G15 62P05 62M10 42C40 PDFBibTeX XMLCite \textit{M. Gonzalez de Freitas Pinto} et al., Int. J. Wavelets Multiresolut. Inf. Process. 21, No. 2, Article ID 2250056, 20 p. (2023; Zbl 1508.91531) Full Text: DOI
Kato, Kensuke; Nakamura, Nobuhiro Cointegration analysis of hazard rates and CDSs: applications to pairs trading strategy. (English) Zbl 1508.91563 Physica A 612, Article ID 128489, 24 p. (2023). MSC: 91G20 91G40 62P05 91G60 65L99 PDFBibTeX XMLCite \textit{K. Kato} and \textit{N. Nakamura}, Physica A 612, Article ID 128489, 24 p. (2023; Zbl 1508.91563) Full Text: DOI
Contreras-Reyes, Javier E. Information quantity evaluation of nonlinear time series processes and applications. (English) Zbl 07653431 Physica D 445, Article ID 133620, 12 p. (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{J. E. Contreras-Reyes}, Physica D 445, Article ID 133620, 12 p. (2023; Zbl 07653431) Full Text: DOI
Yang, Wenyu; Kang, Xiaoning An improved banded estimation for large covariance matrix. (English) Zbl 07649554 Commun. Stat., Theory Methods 52, No. 1, 141-155 (2023). MSC: 62-XX PDFBibTeX XMLCite \textit{W. Yang} and \textit{X. Kang}, Commun. Stat., Theory Methods 52, No. 1, 141--155 (2023; Zbl 07649554) Full Text: DOI
Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina; Plataniotis, Anastasios Scalable inference for a full multivariate stochastic volatility model. (English) Zbl 07648724 J. Econom. 232, No. 2, 501-520 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{P. Dellaportas} et al., J. Econom. 232, No. 2, 501--520 (2023; Zbl 07648724) Full Text: DOI arXiv
Debaly, Zinsou-Max; Truquet, Lionel Multivariate time series models for mixed data. (English) Zbl 07634408 Bernoulli 29, No. 1, 669-695 (2023). MSC: 62Mxx 62Hxx 62Pxx PDFBibTeX XMLCite \textit{Z.-M. Debaly} and \textit{L. Truquet}, Bernoulli 29, No. 1, 669--695 (2023; Zbl 07634408) Full Text: DOI arXiv Link
Han, Yuefeng; Tsay, Ruey S.; Wu, Wei Biao High dimensional generalized linear models for temporal dependent data. (English) Zbl 07634386 Bernoulli 29, No. 1, 105-131 (2023). MSC: 62Jxx 62Mxx 62Fxx PDFBibTeX XMLCite \textit{Y. Han} et al., Bernoulli 29, No. 1, 105--131 (2023; Zbl 07634386) Full Text: DOI Link
Saulo, Helton; Balakrishnan, Narayanaswamy; Vila, Roberto On a quantile autoregressive conditional duration model. (English) Zbl 07594642 Math. Comput. Simul. 203, 425-448 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{H. Saulo} et al., Math. Comput. Simul. 203, 425--448 (2023; Zbl 07594642) Full Text: DOI arXiv
D’Amico, Guglielmo; Di Basilio, Bice; Petroni, Filippo; Gismondi, Fulvio An econometric analysis of drawdown based measures. (English) Zbl 07819627 Malyarenko, Anatoliy (ed.) et al., Stochastic processes, statistical methods, and engineering mathematics. SPAS 2019, Västerås, Sweden, September 30 – October 2, 2019. Cham: Springer. Springer Proc. Math. Stat. 408, 489-510 (2022). MSC: 91G70 62M10 PDFBibTeX XMLCite \textit{G. D'Amico} et al., Springer Proc. Math. Stat. 408, 489--510 (2022; Zbl 07819627) Full Text: DOI
Du, Liang; Gao, Ruobin; Suganthan, Ponnuthurai Nagaratnam; Wang, David Z. W. Bayesian optimization based dynamic ensemble for time series forecasting. (English) Zbl 07798534 Inf. Sci. 591, 155-175 (2022). MSC: 62-XX 90-XX PDFBibTeX XMLCite \textit{L. Du} et al., Inf. Sci. 591, 155--175 (2022; Zbl 07798534) Full Text: DOI
Kowsar, Yousef; Moshtaghi, Masud; Velloso, Eduardo; Bezdek, James C.; Kulik, Lars; Leckie, Christopher Shape-Sphere: a metric space for analysing time series by their shape. (English) Zbl 07790815 Inf. Sci. 582, 198-214 (2022). MSC: 68-XX 62-XX PDFBibTeX XMLCite \textit{Y. Kowsar} et al., Inf. Sci. 582, 198--214 (2022; Zbl 07790815) Full Text: DOI
McElroy, Tucker; Roy, Anindya A review of seasonal adjustment diagnostics. (English) Zbl 07778344 Int. Stat. Rev. 90, No. 2, 259-284 (2022). MSC: 62Mxx 62Pxx 91Bxx PDFBibTeX XMLCite \textit{T. McElroy} and \textit{A. Roy}, Int. Stat. Rev. 90, No. 2, 259--284 (2022; Zbl 07778344) Full Text: DOI