Degras, David; Ting, Chee-Ming; Ombao, Hernando Markov-switching state-space models with applications to neuroimaging. (English) Zbl 07561887 Comput. Stat. Data Anal. 174, Article ID 107525, 23 p. (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{D. Degras} et al., Comput. Stat. Data Anal. 174, Article ID 107525, 23 p. (2022; Zbl 07561887) Full Text: DOI OpenURL
Arnold, Séverine; Glushko, Viktoriya Short- and long-term dynamics of cause-specific mortality rates using cointegration analysis. (English) Zbl 07560405 N. Am. Actuar. J. 26, No. 2, 161-183 (2022). MSC: 91-XX 62-XX PDF BibTeX XML Cite \textit{S. Arnold} and \textit{V. Glushko}, N. Am. Actuar. J. 26, No. 2, 161--183 (2022; Zbl 07560405) Full Text: DOI OpenURL
Tu, Yundong; Wang, Ying Spurious functional-coefficient regression models and robust inference with marginal integration. (English) Zbl 07557271 J. Econom. 229, No. 2, 396-421 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{Y. Tu} and \textit{Y. Wang}, J. Econom. 229, No. 2, 396--421 (2022; Zbl 07557271) Full Text: DOI OpenURL
Li, Yanling; Oravecz, Zita; Zhou, Shuai; Bodovski, Yosef; Barnett, Ian J.; Chi, Guangqing; Zhou, Yuan; Friedman, Naomi P.; Vrieze, Scott I.; Chow, Sy-Miin Bayesian forecasting with a regime-switching zero-inflated multilevel Poisson regression model: an application to adolescent alcohol use with spatial covariates. (English) Zbl 07554417 Psychometrika 87, No. 2, 376-402 (2022). MSC: 62P15 62M10 62F15 62P10 PDF BibTeX XML Cite \textit{Y. Li} et al., Psychometrika 87, No. 2, 376--402 (2022; Zbl 07554417) Full Text: DOI OpenURL
Huang, Zibin; Ibragimov, Rustam Equity returns and sentiment. (English) Zbl 07547646 Depend. Model. 10, 159-176 (2022). MSC: 62P20 91B84 PDF BibTeX XML Cite \textit{Z. Huang} and \textit{R. Ibragimov}, Depend. Model. 10, 159--176 (2022; Zbl 07547646) Full Text: DOI OpenURL
Besstremyannaya, Galina; Golovan, Sergei Disentangling the impact of mean reversion in estimating policy response with dynamic panels. (English) Zbl 07547641 Depend. Model. 10, 58-86 (2022). MSC: 62P20 62M10 62J10 PDF BibTeX XML Cite \textit{G. Besstremyannaya} and \textit{S. Golovan}, Depend. Model. 10, 58--86 (2022; Zbl 07547641) Full Text: DOI OpenURL
Leroy, Stephen F.; Singhania, Rish Size and power in tests of return predictability. (English) Zbl 07532632 Quant. Finance 22, No. 6, 1153-1167 (2022). MSC: 91G15 62P05 PDF BibTeX XML Cite \textit{S. F. Leroy} and \textit{R. Singhania}, Quant. Finance 22, No. 6, 1153--1167 (2022; Zbl 07532632) Full Text: DOI OpenURL
Cavicchioli, Maddalena Goodness-of-fit tests for Markov Switching VAR models using spectral analysis. (English) Zbl 07505543 J. Stat. Plann. Inference 219, 189-203 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Cavicchioli}, J. Stat. Plann. Inference 219, 189--203 (2022; Zbl 07505543) Full Text: DOI OpenURL
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; Livieri, Giulia Liquidity fluctuations and the latent dynamics of price impact. (English) Zbl 1484.91460 Quant. Finance 22, No. 1, 149-169 (2022). MSC: 91G15 PDF BibTeX XML Cite \textit{L. P. Mertens} et al., Quant. Finance 22, No. 1, 149--169 (2022; Zbl 1484.91460) Full Text: DOI OpenURL
Laurent, Sébastien; Shi, Shuping Unit root test with high-frequency data. (English) Zbl 07493785 Econom. Theory 38, No. 1, 113-171 (2022). MSC: 62P20 PDF BibTeX XML Cite \textit{S. Laurent} and \textit{S. Shi}, Econom. Theory 38, No. 1, 113--171 (2022; Zbl 07493785) Full Text: DOI OpenURL
Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew Robust Bayesian inference in proxy SVARs. (English) Zbl 07491179 J. Econom. 228, No. 1, 107-126 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{R. Giacomini} et al., J. Econom. 228, No. 1, 107--126 (2022; Zbl 07491179) Full Text: DOI OpenURL
Zhou, Mo; Ma, Yaolan; Zhang, Rongmao Portmanteau-type test for unit root with heavy-tailed noise. (English) Zbl 1480.62184 J. Stat. Plann. Inference 218, 25-42 (2022). MSC: 62M10 62G10 62P20 PDF BibTeX XML Cite \textit{M. Zhou} et al., J. Stat. Plann. Inference 218, 25--42 (2022; Zbl 1480.62184) Full Text: DOI OpenURL
Shen, Guangjun; Yu, Qian; Tang, Zheng The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean. (English) Zbl 07556829 Acta Math. Sci., Ser. B, Engl. Ed. 41, No. 2, 517-534 (2021). MSC: 60G18 65C30 93E24 PDF BibTeX XML Cite \textit{G. Shen} et al., Acta Math. Sci., Ser. B, Engl. Ed. 41, No. 2, 517--534 (2021; Zbl 07556829) Full Text: DOI OpenURL
Arlt, Josef; Trcka, Peter Automatic SARIMA modeling and forecast accuracy. (English) Zbl 07545704 Commun. Stat., Simulation Comput. 50, No. 10, 2949-2970 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{J. Arlt} and \textit{P. Trcka}, Commun. Stat., Simulation Comput. 50, No. 10, 2949--2970 (2021; Zbl 07545704) Full Text: DOI OpenURL
Beyaztas, Beste H. Construction of multi-step forecast regions of VAR processes using ordered block bootstrap. (English) Zbl 07545657 Commun. Stat., Simulation Comput. 50, No. 7, 2107-2125 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{B. H. Beyaztas}, Commun. Stat., Simulation Comput. 50, No. 7, 2107--2125 (2021; Zbl 07545657) Full Text: DOI OpenURL
Han, Miao; Song, Xuefeng; Wang, Wei; Zhou, Shengwu Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models. (English) Zbl 07530960 Commun. Stat., Theory Methods 50, No. 9, 2170-2187 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Han} et al., Commun. Stat., Theory Methods 50, No. 9, 2170--2187 (2021; Zbl 07530960) Full Text: DOI OpenURL
Cavicchioli, Maddalena Statistical inference for mixture GARCH models with financial application. (English) Zbl 07524042 Comput. Stat. 36, No. 4, 2615-2642 (2021). MSC: 65C60 PDF BibTeX XML Cite \textit{M. Cavicchioli}, Comput. Stat. 36, No. 4, 2615--2642 (2021; Zbl 07524042) Full Text: DOI OpenURL
Puindi, António Casimiro; Silva, Maria Eduarda Dynamic structural models with covariates for short-term forecasting of time series with complex seasonal patterns. (English) Zbl 07482762 J. Appl. Stat. 48, No. 5, 804-826 (2021). MSC: 62Pxx PDF BibTeX XML Cite \textit{A. C. Puindi} and \textit{M. E. Silva}, J. Appl. Stat. 48, No. 5, 804--826 (2021; Zbl 07482762) Full Text: DOI OpenURL
Honda, Fumiaki; Kurosawa, Takeshi Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model. (English) Zbl 1478.62256 Mod. Stoch., Theory Appl. 8, No. 4, 435-463 (2021). MSC: 62M10 62F10 60G10 PDF BibTeX XML Cite \textit{F. Honda} and \textit{T. Kurosawa}, Mod. Stoch., Theory Appl. 8, No. 4, 435--463 (2021; Zbl 1478.62256) Full Text: DOI OpenURL
Jo, Minyoung; Lee, Sangyeol On CUSUM test for dynamic panel models. (English) Zbl 1480.62176 Stat. Methods Appl. 30, No. 2, 515-542 (2021). MSC: 62M10 62M07 62P20 PDF BibTeX XML Cite \textit{M. Jo} and \textit{S. Lee}, Stat. Methods Appl. 30, No. 2, 515--542 (2021; Zbl 1480.62176) Full Text: DOI OpenURL
Hines, Benjamin; Kuleshov, Yuriy; Qian, Guoqi Spatial modelling of linear regression coefficients for gauge measurements against satellite estimates. (English) Zbl 07442354 Wood, David R. (ed.) et al., 2019–20 MATRIX annals. Cham: Springer. MATRIX Book Ser. 4, 217-234 (2021). MSC: 62H35 65D18 94A08 PDF BibTeX XML Cite \textit{B. Hines} et al., MATRIX Book Ser. 4, 217--234 (2021; Zbl 07442354) Full Text: DOI OpenURL
Cavicchioli, Maddalena OLS estimation of Markov switching VAR models: asymptotics and application to energy use. (English) Zbl 1480.62168 AStA, Adv. Stat. Anal. 105, No. 3, 431-449 (2021). MSC: 62M02 62H12 62P20 91B84 PDF BibTeX XML Cite \textit{M. Cavicchioli}, AStA, Adv. Stat. Anal. 105, No. 3, 431--449 (2021; Zbl 1480.62168) Full Text: DOI OpenURL
Ewald, Christian; Zou, Yihan Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? (English) Zbl 1487.91136 Eur. J. Oper. Res. 294, No. 2, 801-815 (2021). MSC: 91G20 60H30 62P05 PDF BibTeX XML Cite \textit{C. Ewald} and \textit{Y. Zou}, Eur. J. Oper. Res. 294, No. 2, 801--815 (2021; Zbl 1487.91136) Full Text: DOI OpenURL
Gallo, Giampiero M.; Lacava, Demetrio; Otranto, Edoardo On classifying the effects of policy announcements on volatility. (English) Zbl 07414899 Int. J. Approx. Reasoning 134, 23-33 (2021). MSC: 68T37 PDF BibTeX XML Cite \textit{G. M. Gallo} et al., Int. J. Approx. Reasoning 134, 23--33 (2021; Zbl 07414899) Full Text: DOI arXiv OpenURL
Guðmundsson, Guðmundur Stefán; Brownlees, Christian Detecting groups in large vector autoregressions. (English) Zbl 07414278 J. Econom. 225, No. 1, 2-26 (2021). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{G. S. Guðmundsson} and \textit{C. Brownlees}, J. Econom. 225, No. 1, 2--26 (2021; Zbl 07414278) Full Text: DOI OpenURL
Hendrych, Radek; Cipra, Tomas Applying state space models to stochastic claims reserving. (English) Zbl 1471.91462 ASTIN Bull. 51, No. 1, 267-301 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{R. Hendrych} and \textit{T. Cipra}, ASTIN Bull. 51, No. 1, 267--301 (2021; Zbl 1471.91462) Full Text: DOI OpenURL
González Olivares, Daniel; Guizar, Isai Estimation of continuous and discrete time co-integrated systems with stock and flow variables. (English) Zbl 07382386 J. Time Ser. Econom. 13, No. 2, 145-186 (2021). MSC: 62P20 PDF BibTeX XML Cite \textit{D. González Olivares} and \textit{I. Guizar}, J. Time Ser. Econom. 13, No. 2, 145--186 (2021; Zbl 07382386) Full Text: DOI OpenURL
Lange, Henning; Brunton, Steven L.; Kutz, J. Nathan From Fourier to Koopman: spectral methods for long-term time series prediction. (English) Zbl 07370558 J. Mach. Learn. Res. 22, Paper No. 41, 38 p. (2021). MSC: 68T05 PDF BibTeX XML Cite \textit{H. Lange} et al., J. Mach. Learn. Res. 22, Paper No. 41, 38 p. (2021; Zbl 07370558) Full Text: arXiv Link OpenURL
Zhou, Shenglong; Xiu, Naihua; Qi, Hou-Duo Global and quadratic convergence of Newton hard-thresholding pursuit. (English) Zbl 07370529 J. Mach. Learn. Res. 22, Paper No. 12, 45 p. (2021). MSC: 68T05 PDF BibTeX XML Cite \textit{S. Zhou} et al., J. Mach. Learn. Res. 22, Paper No. 12, 45 p. (2021; Zbl 07370529) Full Text: arXiv Link OpenURL
Arnold, Séverine; Glushko, Viktoriya Cause-specific mortality rates: common trends and differences. (English) Zbl 1467.91127 Insur. Math. Econ. 99, 294-308 (2021). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{S. Arnold} and \textit{V. Glushko}, Insur. Math. Econ. 99, 294--308 (2021; Zbl 1467.91127) Full Text: DOI OpenURL
Fermanian, Adeline Embedding and learning with signatures. (English) Zbl 07345832 Comput. Stat. Data Anal. 157, Article ID 107148, 23 p. (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{A. Fermanian}, Comput. Stat. Data Anal. 157, Article ID 107148, 23 p. (2021; Zbl 07345832) Full Text: DOI arXiv HAL OpenURL
Liao, Jun; Zou, Guohua; Gao, Yan; Zhang, Xinyu Model averaging prediction for time series models with a diverging number of parameters. (English) Zbl 1471.62469 J. Econom. 223, No. 1, 190-221 (2021). MSC: 62M10 62M20 62F12 62P20 PDF BibTeX XML Cite \textit{J. Liao} et al., J. Econom. 223, No. 1, 190--221 (2021; Zbl 1471.62469) Full Text: DOI OpenURL
Ho, Hwai-Chung; Chen, Hung-Yin; Tsai, Henghsiu Non-parametric estimation of conditional tail expectation for long-horizon returns. (English) Zbl 1466.62283 Stat. Sin. 31, No. 1, 547-569 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 62G07 62G10 62G20 62G32 62P05 PDF BibTeX XML Cite \textit{H.-C. Ho} et al., Stat. Sin. 31, No. 1, 547--569 (2021; Zbl 1466.62283) Full Text: DOI OpenURL
Sizova, Natalia Nearly optimal test for long-run predictability with nearly integrated regressors. (English) Zbl 1462.62550 Econom. Theory 37, No. 1, 82-137 (2021). MSC: 62M10 62M20 62G08 62G10 PDF BibTeX XML Cite \textit{N. Sizova}, Econom. Theory 37, No. 1, 82--137 (2021; Zbl 1462.62550) Full Text: DOI OpenURL
Zhang, Yaqi; Guo, Lei Convergence of self-tuning regulators under conditional heteroscedastic noises with unknown high-frequency gain. (English) Zbl 1460.93099 J. Syst. Sci. Complex. 34, No. 1, 236-250 (2021). MSC: 93E03 93C05 93C40 PDF BibTeX XML Cite \textit{Y. Zhang} and \textit{L. Guo}, J. Syst. Sci. Complex. 34, No. 1, 236--250 (2021; Zbl 1460.93099) Full Text: DOI OpenURL
Blazsek, Szabolcs; Escribano, Alvaro; Licht, Adrian Identification of seasonal effects in impulse responses using score-driven multivariate location models. (English) Zbl 1462.62715 J. Econom. Methods 10, No. 1, 53-66 (2021). MSC: 62P20 62M10 62H20 PDF BibTeX XML Cite \textit{S. Blazsek} et al., J. Econom. Methods 10, No. 1, 53--66 (2021; Zbl 1462.62715) Full Text: DOI OpenURL
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors. (English) Zbl 1471.62519 J. Econom. 221, No. 2, 455-482 (2021). MSC: 62P20 62M10 62H25 91B84 PDF BibTeX XML Cite \textit{M. Barigozzi} et al., J. Econom. 221, No. 2, 455--482 (2021; Zbl 1471.62519) Full Text: DOI arXiv OpenURL
Novák, Vilém; Pavliska, Viktor Time series: how unusual local behavior can be recognized using fuzzy modeling methods. (English) Zbl 1451.62172 Kreinovich, Vladik (ed.), Statistical and fuzzy approaches to data processing, with applications to econometrics and other areas. In honor of Hung T. Nguyen’s 75th birthday. Cham: Springer. Stud. Comput. Intell. 892, 157-177 (2021). MSC: 62R07 62M86 62M10 PDF BibTeX XML Cite \textit{V. Novák} and \textit{V. Pavliska}, Stud. Comput. Intell. 892, 157--177 (2021; Zbl 1451.62172) Full Text: DOI OpenURL
Fasen-Hartmann, Vicky; Scholz, Markus Cointegrated continuous-time linear state-space and MCARMA models. (English) Zbl 07553697 Stochastics 92, No. 7, 1064-1099 (2020). MSC: 60F99 91B84 62M10 91G70 62P20 PDF BibTeX XML Cite \textit{V. Fasen-Hartmann} and \textit{M. Scholz}, Stochastics 92, No. 7, 1064--1099 (2020; Zbl 07553697) Full Text: DOI OpenURL
Choi, Ji-Eun; Shin, Dong Wan Bootstrapping volatility spillover index. (English) Zbl 07552561 Commun. Stat., Simulation Comput. 49, No. 1, 66-78 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{J.-E. Choi} and \textit{D. W. Shin}, Commun. Stat., Simulation Comput. 49, No. 1, 66--78 (2020; Zbl 07552561) Full Text: DOI OpenURL
Cavicchioli, Maddalena Spectral representation and autocovariance structure of Markov switching DSGE models. (English) Zbl 07528853 Commun. Stat., Theory Methods 49, No. 7, 1635-1652 (2020). MSC: 62G07 62H05 62M05 62M10 62-XX PDF BibTeX XML Cite \textit{M. Cavicchioli}, Commun. Stat., Theory Methods 49, No. 7, 1635--1652 (2020; Zbl 07528853) Full Text: DOI OpenURL
Tjøstheim, Dag Some notes on nonlinear cointegration: a partial review with some novel perspectives. (English) Zbl 07484541 Econom. Rev. 39, No. 7, 655-673 (2020). MSC: 62M10 62P20 62-02 PDF BibTeX XML Cite \textit{D. Tjøstheim}, Econom. Rev. 39, No. 7, 655--673 (2020; Zbl 07484541) Full Text: DOI OpenURL
Serletis, Apostolos; Xu, Libo Functional monetary aggregates, monetary policy, and business cycles. (English) Zbl 1475.91215 J. Econ. Dyn. Control 121, Article ID 103994, 23 p. (2020). MSC: 91B64 91B62 PDF BibTeX XML Cite \textit{A. Serletis} and \textit{L. Xu}, J. Econ. Dyn. Control 121, Article ID 103994, 23 p. (2020; Zbl 1475.91215) Full Text: DOI OpenURL
Comin, Cesar H.; Peron, Thomas; Silva, Filipi N.; Amancio, Diego R.; Rodrigues, Francisco A.; Costa, Luciano da F. Complex systems: features, similarity and connectivity. (English) Zbl 1472.90020 Phys. Rep. 861, 1-41 (2020). MSC: 90B10 05C82 68T10 91D30 PDF BibTeX XML Cite \textit{C. H. Comin} et al., Phys. Rep. 861, 1--41 (2020; Zbl 1472.90020) Full Text: DOI arXiv OpenURL
Edwards, Matthew; Castruccio, Stefano; Hammerling, Dorit Marginally parameterized spatio-temporal models and stepwise maximum likelihood estimation. (English) Zbl 07345934 Comput. Stat. Data Anal. 151, Article ID 107018, 12 p. (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Edwards} et al., Comput. Stat. Data Anal. 151, Article ID 107018, 12 p. (2020; Zbl 07345934) Full Text: DOI arXiv OpenURL
Chen, Jie; Politis, Dimitris N. Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals. (English) Zbl 07336611 J. Time Ser. Econom. 12, No. 2, Article ID 20190044, 36 p. (2020). MSC: 62P20 PDF BibTeX XML Cite \textit{J. Chen} and \textit{D. N. Politis}, J. Time Ser. Econom. 12, No. 2, Article ID 20190044, 36 p. (2020; Zbl 07336611) Full Text: DOI OpenURL
Ataei, Masoud; Chen, Shengyuan; Yang, Zijiang; Peyghami, M. Reza Time-homogeneous top-\(K\) ranking using tensor decompositions. (English) Zbl 1467.62039 Optim. Methods Softw. 35, No. 6, 1119-1143 (2020). MSC: 62F07 62P20 PDF BibTeX XML Cite \textit{M. Ataei} et al., Optim. Methods Softw. 35, No. 6, 1119--1143 (2020; Zbl 1467.62039) Full Text: DOI OpenURL
Lin, Yingqian; Tu, Yundong Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root. (English) Zbl 1464.62387 J. Econom. 219, No. 1, 52-65 (2020). MSC: 62M10 62E20 62P20 PDF BibTeX XML Cite \textit{Y. Lin} and \textit{Y. Tu}, J. Econom. 219, No. 1, 52--65 (2020; Zbl 1464.62387) Full Text: DOI OpenURL
Yoshihara, Takeshi; Inoue, Tomoo; Kaizoji, Taisei Time series analysis of relationships among crypto-asset exchange rates. (English) Zbl 1455.91280 Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 139-162 (2020). MSC: 91G99 62P05 PDF BibTeX XML Cite \textit{T. Yoshihara} et al., in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 139--162 (2020; Zbl 1455.91280) Full Text: DOI OpenURL
Li, Kathleen T. Statistical inference for average treatment effects estimated by synthetic control methods. (English) Zbl 1453.62330 J. Am. Stat. Assoc. 115, No. 532, 2068-2083 (2020). MSC: 62D20 62E20 PDF BibTeX XML Cite \textit{K. T. Li}, J. Am. Stat. Assoc. 115, No. 532, 2068--2083 (2020; Zbl 1453.62330) Full Text: DOI OpenURL
Ding, Xiucai; Zhou, Zhou Estimation and inference for precision matrices of nonstationary time series. (English) Zbl 1471.62461 Ann. Stat. 48, No. 4, 2455-2477 (2020). Reviewer: Joseph Melamed (Los Angeles) MSC: 62M10 62G05 62G10 PDF BibTeX XML Cite \textit{X. Ding} and \textit{Z. Zhou}, Ann. Stat. 48, No. 4, 2455--2477 (2020; Zbl 1471.62461) Full Text: DOI arXiv Euclid OpenURL
Gao, Xu; Shen, Weining; Shahbaba, Babak; Fortin, Norbert J.; Ombao, Hernando Evolutionary state-space model and its application to time-frequency analysis of local field potentials. (English) Zbl 1453.62724 Stat. Sin. 30, No. 3, 1561-1582 (2020). MSC: 62P10 62M15 62M10 PDF BibTeX XML Cite \textit{X. Gao} et al., Stat. Sin. 30, No. 3, 1561--1582 (2020; Zbl 1453.62724) Full Text: DOI arXiv OpenURL
Gugushvili, Shota; van der Meulen, Frank; Schauer, Moritz; Spreij, Peter Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient. (English) Zbl 1445.62071 Braz. J. Probab. Stat. 34, No. 3, 537-579 (2020). MSC: 62G07 60J60 60J70 60H10 62P20 91B84 PDF BibTeX XML Cite \textit{S. Gugushvili} et al., Braz. J. Probab. Stat. 34, No. 3, 537--579 (2020; Zbl 1445.62071) Full Text: DOI arXiv Euclid OpenURL
Chambers, Marcus J. Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data. (English) Zbl 1456.62183 J. Econom. 217, No. 1, 140-160 (2020). MSC: 62M10 62M15 62P20 PDF BibTeX XML Cite \textit{M. J. Chambers}, J. Econom. 217, No. 1, 140--160 (2020; Zbl 1456.62183) Full Text: DOI OpenURL
Kuznetsov, Vitaly; Mohri, Mehryar Discrepancy-based theory and algorithms for forecasting non-stationary time series. (English) Zbl 1452.62654 Ann. Math. Artif. Intell. 88, No. 4, 367-399 (2020). MSC: 62M10 62M20 62L10 68T05 68Q15 PDF BibTeX XML Cite \textit{V. Kuznetsov} and \textit{M. Mohri}, Ann. Math. Artif. Intell. 88, No. 4, 367--399 (2020; Zbl 1452.62654) Full Text: DOI OpenURL
Huang, Wenxin; Jin, Sainan; Su, Liangjun Identifying latent grouped patterns in cointegrated panels. (English) Zbl 1440.62045 Econom. Theory 36, No. 3, 410-456 (2020). MSC: 62D20 62H30 62J07 62P20 PDF BibTeX XML Cite \textit{W. Huang} et al., Econom. Theory 36, No. 3, 410--456 (2020; Zbl 1440.62045) Full Text: DOI OpenURL
Heiberger, Christopher; Maußner, Alfred Perturbation solution and welfare costs of business cycles in DSGE models. (English) Zbl 07202045 J. Econ. Dyn. Control 113, Article ID 103819, 17 p. (2020). MSC: 91-XX PDF BibTeX XML Cite \textit{C. Heiberger} and \textit{A. Maußner}, J. Econ. Dyn. Control 113, Article ID 103819, 17 p. (2020; Zbl 07202045) Full Text: DOI OpenURL
Sabahno, Hamed; Castagliola, Philippe; Amiri, Amirhossein An adaptive variable-parameters scheme for the simultaneous monitoring of the mean and variability of an autocorrelated multivariate normal process. (English) Zbl 07194348 J. Stat. Comput. Simulation 90, No. 8, 1430-1465 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{H. Sabahno} et al., J. Stat. Comput. Simulation 90, No. 8, 1430--1465 (2020; Zbl 07194348) Full Text: DOI OpenURL
Cavicchioli, Maddalena Generalised cepstral models for the spectrum of vector time series. (English) Zbl 1444.62099 Electron. J. Stat. 14, No. 1, 605-631 (2020). MSC: 62M10 62M15 62H12 62P20 PDF BibTeX XML Cite \textit{M. Cavicchioli}, Electron. J. Stat. 14, No. 1, 605--631 (2020; Zbl 1444.62099) Full Text: DOI Euclid OpenURL
Benati, Luca; Chan, Joshua; Eisenstat, Eric; Koop, Gary Identifying noise shocks. (English) Zbl 07161295 J. Econ. Dyn. Control 111, Article ID 103780, 17 p. (2020). MSC: 91-XX PDF BibTeX XML Cite \textit{L. Benati} et al., J. Econ. Dyn. Control 111, Article ID 103780, 17 p. (2020; Zbl 07161295) Full Text: DOI Link OpenURL
Ushchev, Philip; Zenou, Yves Social norms in networks. (English) Zbl 1430.91070 J. Econ. Theory 185, Article ID 104969, 32 p. (2020). MSC: 91D30 91A43 PDF BibTeX XML Cite \textit{P. Ushchev} and \textit{Y. Zenou}, J. Econ. Theory 185, Article ID 104969, 32 p. (2020; Zbl 1430.91070) Full Text: DOI OpenURL
Spezia, Luigi Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method. (English) Zbl 07135553 Comput. Stat. Data Anal. 143, Article ID 106840, 17 p. (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{L. Spezia}, Comput. Stat. Data Anal. 143, Article ID 106840, 17 p. (2020; Zbl 07135553) Full Text: DOI OpenURL
Ahmadi, Z.; Hosseini, S. Mohammad; Bastani, A. Foroush A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes. (English) Zbl 1422.91676 J. Comput. Appl. Math. 363, 156-170 (2020). MSC: 91G20 60G40 91G60 PDF BibTeX XML Cite \textit{Z. Ahmadi} et al., J. Comput. Appl. Math. 363, 156--170 (2020; Zbl 1422.91676) Full Text: DOI OpenURL
Odaki, Mitsuhiro; Li, Min Johansen cointegration rank tests under local alternative hypotheses when related drift or linear trend is not dependent upon sample size in VARs. (English) Zbl 07529892 Commun. Stat., Theory Methods 48, No. 23, 5839-5849 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Odaki} and \textit{M. Li}, Commun. Stat., Theory Methods 48, No. 23, 5839--5849 (2019; Zbl 07529892) Full Text: DOI OpenURL
Zhou, Zhiyong; Yu, Jun Adaptive estimation for varying coefficient models with nonstationary covariates. (English) Zbl 07528144 Commun. Stat., Theory Methods 48, No. 16, 4034-4050 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{Z. Zhou} and \textit{J. Yu}, Commun. Stat., Theory Methods 48, No. 16, 4034--4050 (2019; Zbl 07528144) Full Text: DOI OpenURL
Lohmeyer, Jan; Palm, Franz; Reuvers, Hanno; Urbain, Jean-Pierre Focused information criterion for locally misspecified vector autoregressive models. (English) Zbl 07484477 Econom. Rev. 38, No. 7, 763-792 (2019). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{J. Lohmeyer} et al., Econom. Rev. 38, No. 7, 763--792 (2019; Zbl 07484477) Full Text: DOI OpenURL
O’Shea, Amy M. J.; Dawson, Jeffrey D. Modeling time series data with semi-reflective boundaries. (English) Zbl 07480016 J. Appl. Stat. 46, No. 9, 1636-1648 (2019). MSC: 62Pxx PDF BibTeX XML Cite \textit{A. M. J. O'Shea} and \textit{J. D. Dawson}, J. Appl. Stat. 46, No. 9, 1636--1648 (2019; Zbl 07480016) Full Text: DOI OpenURL
Cekic, Sezen; Grandjean, Didier; Renaud, Olivier Multiscale Bayesian state-space model for Granger causality analysis of brain signal. (English) Zbl 07479910 J. Appl. Stat. 46, No. 1, 66-84 (2019). MSC: 62Pxx PDF BibTeX XML Cite \textit{S. Cekic} et al., J. Appl. Stat. 46, No. 1, 66--84 (2019; Zbl 07479910) Full Text: DOI arXiv OpenURL
Aicher, Christopher; Ma, Yi-An; Foti, Nicholas J.; Fox, Emily B. Stochastic gradient MCMC for state space models. (English) Zbl 07468836 SIAM J. Math. Data Sci. 1, No. 3, 555-587 (2019). MSC: 60J05 62F15 62M10 65C40 PDF BibTeX XML Cite \textit{C. Aicher} et al., SIAM J. Math. Data Sci. 1, No. 3, 555--587 (2019; Zbl 07468836) Full Text: DOI arXiv OpenURL
Moonam, Hasan M.; Qin, Xiao; Zhang, Jun Utilizing data mining techniques to predict expected freeway travel time from experienced travel time. (English) Zbl 07316549 Math. Comput. Simul. 155, 154-167 (2019). MSC: 92Bxx 68Txx PDF BibTeX XML Cite \textit{H. M. Moonam} et al., Math. Comput. Simul. 155, 154--167 (2019; Zbl 07316549) Full Text: DOI OpenURL
Toller, Maximilian; Santos, Tiago; Kern, Roman SAZED: parameter-free domain-agnostic season length estimation in time series data. (English) Zbl 1464.62396 Data Min. Knowl. Discov. 33, No. 6, 1775-1798 (2019). MSC: 62M10 62M15 PDF BibTeX XML Cite \textit{M. Toller} et al., Data Min. Knowl. Discov. 33, No. 6, 1775--1798 (2019; Zbl 1464.62396) Full Text: DOI OpenURL
Ferreiro, Javier Ojea Structural change in the link between oil and the European stock market: implications for risk management. (English) Zbl 1437.91417 Depend. Model. 7, 53-125 (2019). MSC: 91G15 91G70 62P05 62H05 62M05 PDF BibTeX XML Cite \textit{J. O. Ferreiro}, Depend. Model. 7, 53--125 (2019; Zbl 1437.91417) Full Text: DOI OpenURL
Marchand, Basile; Chamoin, Ludovic; Rey, Christian Parameter identification and model updating in the context of nonlinear mechanical behaviors using a unified formulation of the modified constitutive relation error concept. (English) Zbl 1440.74156 Comput. Methods Appl. Mech. Eng. 345, 1094-1113 (2019). MSC: 74G75 65N21 PDF BibTeX XML Cite \textit{B. Marchand} et al., Comput. Methods Appl. Mech. Eng. 345, 1094--1113 (2019; Zbl 1440.74156) Full Text: DOI OpenURL
Di Gangi, Leonardo; Lapucci, M.; Schoen, F.; Sortino, A. An efficient optimization approach for best subset selection in linear regression, with application to model selection and fitting in autoregressive time-series. (English) Zbl 1435.90088 Comput. Optim. Appl. 74, No. 3, 919-948 (2019). MSC: 90C11 62J05 62M10 PDF BibTeX XML Cite \textit{L. Di Gangi} et al., Comput. Optim. Appl. 74, No. 3, 919--948 (2019; Zbl 1435.90088) Full Text: DOI OpenURL
Paolella, Marc S.; Polak, Paweł; Walker, Patrick S. Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (English) Zbl 1456.62254 J. Econom. 213, No. 2, 493-515 (2019). MSC: 62P05 62M10 91G70 PDF BibTeX XML Cite \textit{M. S. Paolella} et al., J. Econom. 213, No. 2, 493--515 (2019; Zbl 1456.62254) Full Text: DOI OpenURL
Boldea, Otilia; Cornea-Madeira, Adriana; Hall, Alastair R. Bootstrapping structural change tests. (English) Zbl 1456.62270 J. Econom. 213, No. 2, 359-397 (2019). MSC: 62P20 62J05 62M10 62G09 62E20 PDF BibTeX XML Cite \textit{O. Boldea} et al., J. Econom. 213, No. 2, 359--397 (2019; Zbl 1456.62270) Full Text: DOI arXiv OpenURL
Branger, Nicole; Sandris Larsen, Linda; Munk, Claus Hedging recessions. (English) Zbl 1425.91250 J. Econ. Dyn. Control 107, Article ID 103715, 24 p. (2019). MSC: 91B40 91G10 91B62 PDF BibTeX XML Cite \textit{N. Branger} et al., J. Econ. Dyn. Control 107, Article ID 103715, 24 p. (2019; Zbl 1425.91250) Full Text: DOI OpenURL
Barreto-Souza, Wagner Mixed Poisson INAR(1) processes. (English) Zbl 1432.62290 Stat. Pap. 60, No. 6, 2119-2139 (2019). MSC: 62M10 62J05 65C05 PDF BibTeX XML Cite \textit{W. Barreto-Souza}, Stat. Pap. 60, No. 6, 2119--2139 (2019; Zbl 1432.62290) Full Text: DOI OpenURL
Benmoumen, Mohammed; Allal, Jelloul; Salhi, Imane Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter. (English) Zbl 1442.62196 J. Appl. Math. 2019, Article ID 8479086, 5 p. (2019). MSC: 62M10 62M20 PDF BibTeX XML Cite \textit{M. Benmoumen} et al., J. Appl. Math. 2019, Article ID 8479086, 5 p. (2019; Zbl 1442.62196) Full Text: DOI OpenURL
Owadally, Iqbal; Zhou, Feng; Otunba, Rasaq; Lin, Jessica; Wright, Douglas Time series data mining with an application to the measurement of underwriting cycles. (English) Zbl 1426.91230 N. Am. Actuar. J. 23, No. 3, 469-484 (2019). MSC: 91G05 62P05 62M10 PDF BibTeX XML Cite \textit{I. Owadally} et al., N. Am. Actuar. J. 23, No. 3, 469--484 (2019; Zbl 1426.91230) Full Text: DOI OpenURL
Alonso, Andrés M.; Peña, Daniel Clustering time series by linear dependency. (English) Zbl 1430.62191 Stat. Comput. 29, No. 4, 655-676 (2019). MSC: 62M10 62H30 65C05 PDF BibTeX XML Cite \textit{A. M. Alonso} and \textit{D. Peña}, Stat. Comput. 29, No. 4, 655--676 (2019; Zbl 1430.62191) Full Text: DOI OpenURL
Voutilainen, Marko; Viitasaari, Lauri; Ilmonen, Pauliina Note on AR(1)-characterisation of stationary processes and model fitting. (English) Zbl 1426.60038 Mod. Stoch., Theory Appl. 6, No. 2, 195-207 (2019). MSC: 60G10 62M10 PDF BibTeX XML Cite \textit{M. Voutilainen} et al., Mod. Stoch., Theory Appl. 6, No. 2, 195--207 (2019; Zbl 1426.60038) Full Text: DOI arXiv OpenURL
Spezia, Luigi Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models. (English) Zbl 1428.62304 Test 28, No. 2, 399-422 (2019). MSC: 62H35 62H10 62M05 62P30 PDF BibTeX XML Cite \textit{L. Spezia}, Test 28, No. 2, 399--422 (2019; Zbl 1428.62304) Full Text: DOI OpenURL
Diebold, Francis X. (ed.); Ghysels, Eric (ed.); Mykland, Per (ed.); Zhang, Lan (ed.) Editorial: Big data in dynamic predictive econometric modeling. (English) Zbl 1420.00033 J. Econom. 212, No. 1, 1-3 (2019). MSC: 00B15 62-06 62P20 62M10 62Jxx PDF BibTeX XML Cite \textit{F. X. Diebold} (ed.) et al., J. Econom. 212, No. 1, 1--3 (2019; Zbl 1420.00033) Full Text: DOI OpenURL
Moreno, Manuel; Novales, Alfonso; Platania, Federico Long-term swings and seasonality in energy markets. (English) Zbl 1431.91403 Eur. J. Oper. Res. 279, No. 3, 1011-1023 (2019). MSC: 91G20 91G60 60H30 PDF BibTeX XML Cite \textit{M. Moreno} et al., Eur. J. Oper. Res. 279, No. 3, 1011--1023 (2019; Zbl 1431.91403) Full Text: DOI Link OpenURL
Deb, S. VAR model based clustering method for multivariate time series data. (English) Zbl 1421.62118 J. Math. Sci., New York 237, No. 6, 754-765 (2019). MSC: 62M10 62H30 62P10 PDF BibTeX XML Cite \textit{S. Deb}, J. Math. Sci., New York 237, No. 6, 754--765 (2019; Zbl 1421.62118) Full Text: DOI OpenURL
Galimberti, Jaqueson K. An approximation of the distribution of learning estimates in macroeconomic models. (English) Zbl 1412.91154 J. Econ. Dyn. Control 102, 29-43 (2019). MSC: 91B64 PDF BibTeX XML Cite \textit{J. K. Galimberti}, J. Econ. Dyn. Control 102, 29--43 (2019; Zbl 1412.91154) Full Text: DOI Link OpenURL
Dew-Becker, Ian; Nathanson, Charles G. Directed attention and nonparametric learning. (English) Zbl 1411.91184 J. Econ. Theory 181, 461-496 (2019). MSC: 91B06 91A26 PDF BibTeX XML Cite \textit{I. Dew-Becker} and \textit{C. G. Nathanson}, J. Econ. Theory 181, 461--496 (2019; Zbl 1411.91184) Full Text: DOI Link OpenURL
Ilalan, Deniz; Özel, Özgür Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields. (English) Zbl 07048614 Int. J. Nonlinear Sci. Numer. Simul. 20, No. 2, 145-152 (2019). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{D. Ilalan} and \textit{Ö. Özel}, Int. J. Nonlinear Sci. Numer. Simul. 20, No. 2, 145--152 (2019; Zbl 07048614) Full Text: DOI OpenURL
da Fonseca, Eder Lucio; Alencar, Airlane Pereira; Morettin, Pedro Alberto Time-varying cointegration model using wavelets. (English) Zbl 1407.62310 Stat. Probab. Lett. 145, 260-267 (2019). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{E. L. da Fonseca} et al., Stat. Probab. Lett. 145, 260--267 (2019; Zbl 1407.62310) Full Text: DOI OpenURL
Filip, Silviu; Javeed, Aurya; Trefethen, Lloyd N. Smooth random functions, random ODEs, and Gaussian processes. (English) Zbl 1412.42006 SIAM Rev. 61, No. 1, 185-205 (2019). Reviewer: Ivan Podvigin (Novosibirsk) MSC: 42A16 60G15 62M40 PDF BibTeX XML Cite \textit{S. Filip} et al., SIAM Rev. 61, No. 1, 185--205 (2019; Zbl 1412.42006) Full Text: DOI OpenURL
Bollhöfer, Matthias; Eftekhari, Aryan; Scheidegger, Simon; Schenk, Olaf Large-scale sparse inverse covariance matrix estimation. (English) Zbl 1414.65043 SIAM J. Sci. Comput. 41, No. 1, A380-A401 (2019). Reviewer: Rózsa Horváth-Bokor (Budakalász) MSC: 65N55 65F10 65N22 65F50 65K05 62H12 PDF BibTeX XML Cite \textit{M. Bollhöfer} et al., SIAM J. Sci. Comput. 41, No. 1, A380--A401 (2019; Zbl 1414.65043) Full Text: DOI OpenURL
Mirniam, A. S.; Nematollahi, A. R. Maximum likelihood estimation in vector autoregressive models with multivariate scaled \(t\)-distributed innovations using EM-based algorithms. (English) Zbl 07549497 Commun. Stat., Simulation Comput. 47, No. 3, 890-904 (2018). MSC: 62M10 37M10 PDF BibTeX XML Cite \textit{A. S. Mirniam} and \textit{A. R. Nematollahi}, Commun. Stat., Simulation Comput. 47, No. 3, 890--904 (2018; Zbl 07549497) Full Text: DOI OpenURL
Fernández-Macho, Javier Time-localized wavelet multiple regression and correlation. (English) Zbl 07546891 Physica A 492, 1226-1238 (2018). MSC: 82-XX PDF BibTeX XML Cite \textit{J. Fernández-Macho}, Physica A 492, 1226--1238 (2018; Zbl 07546891) Full Text: DOI OpenURL
Paparoditis, Efstathios; Politis, Dimitris N. The asymptotic size and power of the augmented Dickey-Fuller test for a unit root. (English) Zbl 07484396 Econom. Rev. 37, No. 9, 955-973 (2018). MSC: 62M07 62F05 62M10 62P20 PDF BibTeX XML Cite \textit{E. Paparoditis} and \textit{D. N. Politis}, Econom. Rev. 37, No. 9, 955--973 (2018; Zbl 07484396) Full Text: DOI OpenURL
Bao, Yong The asymptotic covariance matrix of the QMLE in ARMA models. (English) Zbl 07481026 Econom. Rev. 37, No. 4, 309-324 (2018). MSC: 62M10 62F12 62P20 PDF BibTeX XML Cite \textit{Y. Bao}, Econom. Rev. 37, No. 4, 309--324 (2018; Zbl 07481026) Full Text: DOI OpenURL
Suzuki, Kiyoshi Optimal pair-trading strategy over long/short/square positions – empirical study. (English) Zbl 1469.91052 Quant. Finance 18, No. 1, 97-119 (2018). MSC: 91G15 60J60 PDF BibTeX XML Cite \textit{K. Suzuki}, Quant. Finance 18, No. 1, 97--119 (2018; Zbl 1469.91052) Full Text: DOI OpenURL
Mynbaev, Kairat T. Least squares estimator asymptotics for vector autoregressions with deterministic regressors. (English) Zbl 1463.62122 Eurasian Math. J. 9, No. 1, 40-68 (2018). MSC: 62G08 PDF BibTeX XML Cite \textit{K. T. Mynbaev}, Eurasian Math. J. 9, No. 1, 40--68 (2018; Zbl 1463.62122) Full Text: MNR OpenURL
Benaid, B.; Bouzahir, H. A statistical test of volatility persistence in GARCH models and application to stock exchange. (English) Zbl 1422.62276 Adv. Appl. Stat. 52, No. 6, 363-374 (2018). MSC: 62M10 62E20 62P05 91B84 60H20 PDF BibTeX XML Cite \textit{B. Benaid} and \textit{H. Bouzahir}, Adv. Appl. Stat. 52, No. 6, 363--374 (2018; Zbl 1422.62276) Full Text: DOI OpenURL
Reusens, Peter; Croux, Christophe Linearly transforming variables in the VAR model, how does it change the impulse response? (English) Zbl 1420.62501 J. Econom. Methods 7, No. 1, Article ID 20150015, 16 p. (2018). MSC: 62P20 62M10 PDF BibTeX XML Cite \textit{P. Reusens} and \textit{C. Croux}, J. Econom. Methods 7, No. 1, Article ID 20150015, 16 p. (2018; Zbl 1420.62501) Full Text: DOI OpenURL