Wang, Ling; Xu, Peipei; Ma, Qian Incremental fuzzy clustering of time series. (English) Zbl 1522.62087 Fuzzy Sets Syst. 421, 62-76 (2021). MSC: 62M10 62H30 62H86 62M86 PDFBibTeX XMLCite \textit{L. Wang} et al., Fuzzy Sets Syst. 421, 62--76 (2021; Zbl 1522.62087) Full Text: DOI
Nitithumbundit, Thanakorn; Chan, Jennifer S. K. ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density. (English) Zbl 1521.62198 Aust. N. Z. J. Stat. 63, No. 3, 485-516 (2021). MSC: 62P05 62F10 62M10 62H12 PDFBibTeX XMLCite \textit{T. Nitithumbundit} and \textit{J. S. K. Chan}, Aust. N. Z. J. Stat. 63, No. 3, 485--516 (2021; Zbl 1521.62198) Full Text: DOI
Heinrich, Claudio; Hellton, Kristoffer H.; Lenkoski, Alex; Thorarinsdottir, Thordis L. Multivariate postprocessing methods for high-dimensional seasonal weather forecasts. (English) Zbl 1510.86010 J. Am. Stat. Assoc. 116, No. 535, 1048-1059 (2021). MSC: 86A10 62P12 62M10 86A32 PDFBibTeX XMLCite \textit{C. Heinrich} et al., J. Am. Stat. Assoc. 116, No. 535, 1048--1059 (2021; Zbl 1510.86010) Full Text: DOI arXiv
Smith, R. L. Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang. (English) Zbl 1527.62064 Stat. Theory Relat. Fields 5, No. 1, 41-44 (2021). MSC: 62M10 60G70 PDFBibTeX XMLCite \textit{R. L. Smith}, Stat. Theory Relat. Fields 5, No. 1, 41--44 (2021; Zbl 1527.62064) Full Text: DOI
Guhr, Thomas; Schell, Andreas Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations. (English) Zbl 1519.62020 J. Phys. A, Math. Theor. 54, No. 12, Article ID 125002, 35 p. (2021). MSC: 62M10 60B20 15B52 60G10 60G15 62H10 PDFBibTeX XMLCite \textit{T. Guhr} and \textit{A. Schell}, J. Phys. A, Math. Theor. 54, No. 12, Article ID 125002, 35 p. (2021; Zbl 1519.62020) Full Text: DOI arXiv
Stelzer, Robert; Vestweber, Johanna Geometric ergodicity of the multivariate COGARCH(1,1) process. (English) Zbl 1500.60045 Stochastics 93, No. 7, 959-992 (2021). Reviewer: Romeo Negrea (Timişoara) MSC: 60J25 60G10 60G51 62M10 PDFBibTeX XMLCite \textit{R. Stelzer} and \textit{J. Vestweber}, Stochastics 93, No. 7, 959--992 (2021; Zbl 1500.60045) Full Text: DOI arXiv
Alqawba, Mohammed; Diawara, Norou; Kim, Jong-Min Copula directional dependence of discrete time series marginals. (English) Zbl 1497.62226 Commun. Stat., Simulation Comput. 50, No. 11, 3733-3750 (2021). MSC: 62M10 62J12 62H05 62H20 62-08 PDFBibTeX XMLCite \textit{M. Alqawba} et al., Commun. Stat., Simulation Comput. 50, No. 11, 3733--3750 (2021; Zbl 1497.62226) Full Text: DOI
Farzammehr, Mohadeseh Alsadat; Zadkarami, Mohammad Reza; McLachlan, Geoffrey J. Skew-normal generalized spatial panel data model. (English) Zbl 1497.62253 Commun. Stat., Simulation Comput. 50, No. 11, 3286-3314 (2021). MSC: 62M30 62F15 62H05 62H11 62M10 62P20 PDFBibTeX XMLCite \textit{M. A. Farzammehr} et al., Commun. Stat., Simulation Comput. 50, No. 11, 3286--3314 (2021; Zbl 1497.62253) Full Text: DOI
Iqbal, Farhat; Triantafyllopoulos, Kostas Bayesian inference of multivariate rotated GARCH models with skew returns. (English) Zbl 1497.62236 Commun. Stat., Simulation Comput. 50, No. 10, 3105-3123 (2021). MSC: 62M10 62H12 62F15 62P05 PDFBibTeX XMLCite \textit{F. Iqbal} and \textit{K. Triantafyllopoulos}, Commun. Stat., Simulation Comput. 50, No. 10, 3105--3123 (2021; Zbl 1497.62236) Full Text: DOI Link
Huang, Xin-Wei; Emura, Takeshi Model diagnostic procedures for copula-based Markov chain models for statistical process control. (English) Zbl 1497.62354 Commun. Stat., Simulation Comput. 50, No. 8, 2345-2367 (2021). MSC: 62P30 62M10 62H05 60J20 PDFBibTeX XMLCite \textit{X.-W. Huang} and \textit{T. Emura}, Commun. Stat., Simulation Comput. 50, No. 8, 2345--2367 (2021; Zbl 1497.62354) Full Text: DOI
Beyaztas, Beste H. Construction of multi-step forecast regions of VAR processes using ordered block bootstrap. (English) Zbl 1497.62229 Commun. Stat., Simulation Comput. 50, No. 7, 2107-2125 (2021). MSC: 62M10 62M20 62P20 PDFBibTeX XMLCite \textit{B. H. Beyaztas}, Commun. Stat., Simulation Comput. 50, No. 7, 2107--2125 (2021; Zbl 1497.62229) Full Text: DOI
Chen, Chen; Zhou, Jie; Pan, Jianxin Correlation structure regularization via entropy loss function for high-dimension and low-sample-size data. (English) Zbl 1489.62165 Commun. Stat., Simulation Comput. 50, No. 4, 993-1008 (2021). MSC: 62H12 62M10 94A12 PDFBibTeX XMLCite \textit{C. Chen} et al., Commun. Stat., Simulation Comput. 50, No. 4, 993--1008 (2021; Zbl 1489.62165) Full Text: DOI Link
Beyaztaş, Beste Hamiye Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series. (English) Zbl 1489.62325 Commun. Fac. Sci. Univ. Ank., Sér. A1, Math. Stat. 70, No. 1, 156-179 (2021). MSC: 62P05 62F40 91B84 62M10 PDFBibTeX XMLCite \textit{B. H. Beyaztaş}, Commun. Fac. Sci. Univ. Ank., Sér. A1, Math. Stat. 70, No. 1, 156--179 (2021; Zbl 1489.62325) Full Text: DOI
Hu, Yuping; Feng, Sanying; Zhao, Jing Test for the covariance matrix in time-varying coefficients panel data models with fixed effects. (English) Zbl 1485.62118 J. Korean Stat. Soc. 50, No. 2, 544-564 (2021). MSC: 62M10 62H15 62P20 PDFBibTeX XMLCite \textit{Y. Hu} et al., J. Korean Stat. Soc. 50, No. 2, 544--564 (2021; Zbl 1485.62118) Full Text: DOI
Zhang, Ying; Zhou, Baohang; Cai, Xiangrui; Guo, Wenya; Ding, Xiaoke; Yuan, Xiaojie Missing value imputation in multivariate time series with end-to-end generative adversarial networks. (English) Zbl 1484.62116 Inf. Sci. 551, 67-82 (2021). MSC: 62M10 62D10 PDFBibTeX XMLCite \textit{Y. Zhang} et al., Inf. Sci. 551, 67--82 (2021; Zbl 1484.62116) Full Text: DOI
Ofori-Boateng, Dorcas; Gel, Yulia R.; Cribben, Ivor Nonparametric anomaly detection on time series of graphs. (English) Zbl 07499915 J. Comput. Graph. Stat. 30, No. 3, 756-767 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{D. Ofori-Boateng} et al., J. Comput. Graph. Stat. 30, No. 3, 756--767 (2021; Zbl 07499915) Full Text: DOI DOI
Poignard, Benjamin; Fermanian, Jean-David High-dimensional penalized ARCH processes. (English) Zbl 1490.62264 Econom. Rev. 40, No. 1, 86-107 (2021). MSC: 62M10 62H12 62J07 62P05 91G10 PDFBibTeX XMLCite \textit{B. Poignard} and \textit{J.-D. Fermanian}, Econom. Rev. 40, No. 1, 86--107 (2021; Zbl 1490.62264) Full Text: DOI
Yang, Cynthia Fan Common factors and spatial dependence: an application to US house prices. (English) Zbl 1490.62493 Econom. Rev. 40, No. 1, 14-50 (2021). MSC: 62P20 62M10 62M30 62H12 62H25 PDFBibTeX XMLCite \textit{C. F. Yang}, Econom. Rev. 40, No. 1, 14--50 (2021; Zbl 1490.62493) Full Text: DOI Link
Demetrescu, Matei; Leppin, Julian S.; Reitz, Stefan Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions. (English) Zbl 1490.62236 Econom. Rev. 40, No. 2, 177-196 (2021). MSC: 62M10 62F03 62P20 PDFBibTeX XMLCite \textit{M. Demetrescu} et al., Econom. Rev. 40, No. 2, 177--196 (2021; Zbl 1490.62236) Full Text: DOI
Calderón-Villanueva, Sergio A.; Nieto, Fabio H. Forecasting with multivariate threshold autoregressive models. (English) Zbl 1480.62171 Rev. Colomb. Estad. 44, No. 2, 369-383 (2021). MSC: 62M10 62F15 62M20 PDFBibTeX XMLCite \textit{S. A. Calderón-Villanueva} and \textit{F. H. Nieto}, Rev. Colomb. Estad. 44, No. 2, 369--383 (2021; Zbl 1480.62171) Full Text: DOI
Loubaton, Philippe; Rosuel, Alexis Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series. (English) Zbl 1493.62348 Electron. J. Stat. 15, No. 2, 5380-5454 (2021). MSC: 62H15 62M15 60B20 PDFBibTeX XMLCite \textit{P. Loubaton} and \textit{A. Rosuel}, Electron. J. Stat. 15, No. 2, 5380--5454 (2021; Zbl 1493.62348) Full Text: DOI arXiv Link
Middlehurst, Matthew; Large, James; Flynn, Michael; Lines, Jason; Bostrom, Aaron; Bagnall, Anthony HIVE-COTE 2.0: a new meta ensemble for time series classification. (English) Zbl 07465780 Mach. Learn. 110, No. 11-12, 3211-3243 (2021). MSC: 68T05 PDFBibTeX XMLCite \textit{M. Middlehurst} et al., Mach. Learn. 110, No. 11--12, 3211--3243 (2021; Zbl 07465780) Full Text: DOI arXiv
Fernandes, Sofia; Antunes, Mário; Gomes, Diogo; Aguiar, Rui L. Misalignment problem in matrix decomposition with missing values. (English) Zbl 07465778 Mach. Learn. 110, No. 11-12, 3157-3175 (2021). MSC: 68T05 PDFBibTeX XMLCite \textit{S. Fernandes} et al., Mach. Learn. 110, No. 11--12, 3157--3175 (2021; Zbl 07465778) Full Text: DOI
Pinto, José Pedro; Pimenta, André; Novais, Paulo Deep learning and multivariate time series for cheat detection in video games. (English) Zbl 07465774 Mach. Learn. 110, No. 11-12, 3037-3057 (2021). MSC: 68T05 PDFBibTeX XMLCite \textit{J. P. Pinto} et al., Mach. Learn. 110, No. 11--12, 3037--3057 (2021; Zbl 07465774) Full Text: DOI
Fan, Qingju; Li, Dan; Ling, Guang; Wang, Fang; Liu, Shuanggui Effect of filters on multivariate multifractal detrended fluctuation analysis. (English) Zbl 1478.62251 Fractals 29, No. 3, Article ID 2150047, 12 p. (2021). MSC: 62M10 62M20 PDFBibTeX XMLCite \textit{Q. Fan} et al., Fractals 29, No. 3, Article ID 2150047, 12 p. (2021; Zbl 1478.62251) Full Text: DOI
Lietzén, Niko; Viitasaari, Lauri; Ilmonen, Pauliina Modeling temporally uncorrelated components of complex-valued stationary processes. (English) Zbl 1478.62121 Mod. Stoch., Theory Appl. 8, No. 4, 475-508 (2021). MSC: 62H12 60F05 60G15 62M10 62F12 62E20 94A12 PDFBibTeX XMLCite \textit{N. Lietzén} et al., Mod. Stoch., Theory Appl. 8, No. 4, 475--508 (2021; Zbl 1478.62121) Full Text: DOI arXiv
Huang, Xin-Wei; Wang, Weijing; Emura, Takeshi A copula-based Markov chain model for serially dependent event times with a dependent terminal event. (English) Zbl 1478.62257 Jpn. J. Stat. Data Sci. 4, No. 2, 917-951 (2021); correction ibid. 4, No. 1, 475 (2021). MSC: 62M10 62H05 60J20 62G05 62H12 62E20 62N01 62N05 62P10 PDFBibTeX XMLCite \textit{X.-W. Huang} et al., Jpn. J. Stat. Data Sci. 4, No. 2, 917--951 (2021; Zbl 1478.62257) Full Text: DOI
Zhang, Shulin; Zhou, Qian M.; Lin, Huazhen Goodness-of-fit test of copula functions for semi-parametric univariate time series models. (English) Zbl 1478.62274 Stat. Pap. 62, No. 4, 1697-1721 (2021). MSC: 62M10 62G10 62H05 62G20 62P20 PDFBibTeX XMLCite \textit{S. Zhang} et al., Stat. Pap. 62, No. 4, 1697--1721 (2021; Zbl 1478.62274) Full Text: DOI
Santos, Cláudia; Pereira, Isabel; Scotto, Manuel G. On the theory of periodic multivariate INAR processes. (English) Zbl 1477.62252 Stat. Pap. 62, No. 3, 1291-1348 (2021). MSC: 62M10 62H12 62M20 62P05 PDFBibTeX XMLCite \textit{C. Santos} et al., Stat. Pap. 62, No. 3, 1291--1348 (2021; Zbl 1477.62252) Full Text: DOI
Shigemoto, Hideto; Morimoto, Takayuki An integrated framework for visualizing and forecasting realized covariance matrices. (English) Zbl 1477.62303 Jpn. J. Stat. Data Sci. 4, No. 1, 577-599 (2021). MSC: 62P05 62M10 62J07 62H12 91G10 PDFBibTeX XMLCite \textit{H. Shigemoto} and \textit{T. Morimoto}, Jpn. J. Stat. Data Sci. 4, No. 1, 577--599 (2021; Zbl 1477.62303) Full Text: DOI
Huang, Xin-Wei; Wang, Weijing; Emura, Takeshi Correction to: “A copula-based Markov chain model for serially dependent event times with a dependent terminal event”. (English) Zbl 1481.62057 Jpn. J. Stat. Data Sci. 4, No. 1, 475 (2021). MSC: 62M10 62H05 60J20 62G05 62H12 62E20 62N01 62N05 62P10 PDFBibTeX XMLCite \textit{X.-W. Huang} et al., Jpn. J. Stat. Data Sci. 4, No. 1, 475 (2021; Zbl 1481.62057) Full Text: DOI
Akashi, Fumiya; Taniguchi, Masanobu; Tanida, Yoshiyuki Estimation of linear functional of large spectral density matrix and application to Whittle’s approach. (English) Zbl 1477.62232 Jpn. J. Stat. Data Sci. 4, No. 1, 449-474 (2021). MSC: 62M10 62H12 62M15 PDFBibTeX XMLCite \textit{F. Akashi} et al., Jpn. J. Stat. Data Sci. 4, No. 1, 449--474 (2021; Zbl 1477.62232) Full Text: DOI
De Luca, Giovanni; Zuccolotto, Paola Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach. (English) Zbl 1520.62086 Int. J. Approx. Reasoning 139, 88-103 (2021). MSC: 62H30 62H05 62M10 PDFBibTeX XMLCite \textit{G. De Luca} and \textit{P. Zuccolotto}, Int. J. Approx. Reasoning 139, 88--103 (2021; Zbl 1520.62086) Full Text: DOI
Hines, Benjamin; Kuleshov, Yuriy; Qian, Guoqi Spatial modelling of linear regression coefficients for gauge measurements against satellite estimates. (English) Zbl 1504.62182 Wood, David R. (ed.) et al., 2019–20 MATRIX annals. Cham: Springer. MATRIX Book Ser. 4, 217-234 (2021). MSC: 62P30 62M10 62M30 62J05 62H35 94A08 PDFBibTeX XMLCite \textit{B. Hines} et al., MATRIX Book Ser. 4, 217--234 (2021; Zbl 1504.62182) Full Text: DOI
Wei, Zheng; Zhang, Zijing; Zhang, Hongkun; Wang, Tonghui Conditional dependence among oil, gold and U.S. dollar exchange rates: a copula-GARCH approach. (English) Zbl 1479.91423 Sriboonchitta, Songsak (ed.) et al., Behavioral predictive modeling in economics. Cham: Springer. Stud. Comput. Intell. 897, 203-218 (2021). MSC: 91G30 62M10 62H05 PDFBibTeX XMLCite \textit{Z. Wei} et al., Stud. Comput. Intell. 897, 203--218 (2021; Zbl 1479.91423) Full Text: DOI
Suotsalo, Kimmo; Xu, Yingying; Corander, Jukka; Pensar, Johan High-dimensional structure learning of sparse vector autoregressive models using fractional marginal pseudo-likelihood. (English) Zbl 1475.62059 Stat. Comput. 31, No. 6, Paper No. 73, 18 p. (2021). MSC: 62-08 62M10 PDFBibTeX XMLCite \textit{K. Suotsalo} et al., Stat. Comput. 31, No. 6, Paper No. 73, 18 p. (2021; Zbl 1475.62059) Full Text: DOI arXiv
Wilson, Rebecca E.; Eckley, Idris A.; Nunes, Matthew A.; Park, Timothy A wavelet-based approach for imputation in nonstationary multivariate time series. (English) Zbl 1475.62067 Stat. Comput. 31, No. 2, Paper No. 18, 18 p. (2021). MSC: 62-08 62D10 62M10 PDFBibTeX XMLCite \textit{R. E. Wilson} et al., Stat. Comput. 31, No. 2, Paper No. 18, 18 p. (2021; Zbl 1475.62067) Full Text: DOI
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 PDFBibTeX XMLCite \textit{M. Cavicchioli}, AStA, Adv. Stat. Anal. 105, No. 3, 431--449 (2021; Zbl 1480.62168) Full Text: DOI
Chen, Mi; Hu, Xiang On the evaluation of risk models with bivariate integer-valued time series. (English) Zbl 1480.62174 Lith. Math. J. 61, No. 4, 425-444 (2021). MSC: 62M10 62H12 62P05 91B05 PDFBibTeX XMLCite \textit{M. Chen} and \textit{X. Hu}, Lith. Math. J. 61, No. 4, 425--444 (2021; Zbl 1480.62174) Full Text: DOI
Krampe, Jonas; Paparoditis, Efstathios Sparsity concepts and estimation procedures for high-dimensional vector autoregressive models. (English) Zbl 1476.62187 J. Time Ser. Anal. 42, No. 5-6, 554-579 (2021). MSC: 62M10 62H12 62J07 PDFBibTeX XMLCite \textit{J. Krampe} and \textit{E. Paparoditis}, J. Time Ser. Anal. 42, No. 5--6, 554--579 (2021; Zbl 1476.62187) Full Text: DOI arXiv
Kuang, Wei Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach. (English) Zbl 1476.62201 J. Forecast. 40, No. 8, 1398-1419 (2021). MSC: 62M20 62H12 62M10 62P05 PDFBibTeX XMLCite \textit{W. Kuang}, J. Forecast. 40, No. 8, 1398--1419 (2021; Zbl 1476.62201) Full Text: DOI
Degras, David Sparse group fused Lasso for model segmentation: a hybrid approach. (English) Zbl 07433033 Adv. Data Anal. Classif., ADAC 15, No. 3, 625-671 (2021). MSC: 37M10 62J05 62J07 65K10 PDFBibTeX XMLCite \textit{D. Degras}, Adv. Data Anal. Classif., ADAC 15, No. 3, 625--671 (2021; Zbl 07433033) Full Text: DOI arXiv
Alshammri, Fayed; Pan, Jiazhu Moving dynamic principal component analysis for non-stationary multivariate time series. (English) Zbl 1505.62024 Comput. Stat. 36, No. 3, 2247-2287 (2021). MSC: 62-08 62M10 62H25 PDFBibTeX XMLCite \textit{F. Alshammri} and \textit{J. Pan}, Comput. Stat. 36, No. 3, 2247--2287 (2021; Zbl 1505.62024) Full Text: DOI Link
Ferreira, Guillermo; Mateu, Jorge; Vilar, Jose A.; Muñoz, Joel Bootstrapping regression models with locally stationary disturbances. (English) Zbl 1474.62184 Test 30, No. 2, 341-363 (2021). MSC: 62H12 62J05 62M10 PDFBibTeX XMLCite \textit{G. Ferreira} et al., Test 30, No. 2, 341--363 (2021; Zbl 1474.62184) Full Text: DOI
Huo, Lijuan; Cho, Jin Seo Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator. (English) Zbl 1474.62197 Test 30, No. 2, 293-317 (2021). MSC: 62H15 62F12 62J10 62L05 62M10 62P20 PDFBibTeX XMLCite \textit{L. Huo} and \textit{J. S. Cho}, Test 30, No. 2, 293--317 (2021; Zbl 1474.62197) Full Text: DOI
Matsui, Muneya; Świątkowski, Witold Tail indices for \(AX+B\) recursion with triangular matrices. (English) Zbl 1482.60053 J. Theor. Probab. 34, No. 4, 1831-1869 (2021). MSC: 60G10 60G70 62M10 60H25 PDFBibTeX XMLCite \textit{M. Matsui} and \textit{W. Świątkowski}, J. Theor. Probab. 34, No. 4, 1831--1869 (2021; Zbl 1482.60053) Full Text: DOI arXiv
Chao, Fengqing; Gerland, Patrick; Cook, Alex R.; Alkema, Leontine Global estimation and scenario-based projections of sex ratio at birth and missing female births using a Bayesian hierarchical time series mixture model. (English) Zbl 1478.62322 Ann. Appl. Stat. 15, No. 3, 1499-1528 (2021). MSC: 62P10 62M10 62H12 62H30 PDFBibTeX XMLCite \textit{F. Chao} et al., Ann. Appl. Stat. 15, No. 3, 1499--1528 (2021; Zbl 1478.62322) Full Text: DOI arXiv
Aromi, Lloyd L.; Katz, Yuri A.; Vives, Josep Topological features of multivariate distributions: dependency on the covariance matrix. (English) Zbl 1478.62388 Commun. Nonlinear Sci. Numer. Simul. 103, Article ID 105996, 12 p. (2021). MSC: 62R40 55N31 62H10 62P05 PDFBibTeX XMLCite \textit{L. L. Aromi} et al., Commun. Nonlinear Sci. Numer. Simul. 103, Article ID 105996, 12 p. (2021; Zbl 1478.62388) Full Text: DOI
Bruns, Martin Proxy vector autoregressions in a data-rich environment. (English) Zbl 1478.62308 J. Econ. Dyn. Control 123, Article ID 104046, 37 p. (2021). MSC: 62P05 62H12 62M10 PDFBibTeX XMLCite \textit{M. Bruns}, J. Econ. Dyn. Control 123, Article ID 104046, 37 p. (2021; Zbl 1478.62308) Full Text: DOI
Laïb, Naâmane; Lounis, Tewfik Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors. (English) Zbl 1477.62249 Stat. Probab. Lett. 178, Article ID 109184, 10 p. (2021). MSC: 62M10 62H15 62P05 PDFBibTeX XMLCite \textit{N. Laïb} and \textit{T. Lounis}, Stat. Probab. Lett. 178, Article ID 109184, 10 p. (2021; Zbl 1477.62249) Full Text: DOI
Zhang, Qihu; Park, Cheolwoo; Chung, Jongik Minimax estimation of covariance and precision matrices for high-dimensional time series with long-memory. (English) Zbl 1474.62322 Stat. Probab. Lett. 177, Article ID 109177, 6 p. (2021). MSC: 62M10 62H12 62G09 PDFBibTeX XMLCite \textit{Q. Zhang} et al., Stat. Probab. Lett. 177, Article ID 109177, 6 p. (2021; Zbl 1474.62322) Full Text: DOI
Malekzadeh, Ahad; Esmaeli-Ayan, Asghar An exact method for testing equality of several groups in panel data models. (English) Zbl 1478.62031 Stat. Probab. Lett. 177, Article ID 109156, 6 p. (2021). MSC: 62D20 62H15 62J05 62M10 62P20 PDFBibTeX XMLCite \textit{A. Malekzadeh} and \textit{A. Esmaeli-Ayan}, Stat. Probab. Lett. 177, Article ID 109156, 6 p. (2021; Zbl 1478.62031) Full Text: DOI
Fiorentini, Gabriele; Sentana, Enrique Specification tests for non-Gaussian maximum likelihood estimators. (English) Zbl 1477.62240 Quant. Econ. 12, No. 3, 683-742 (2021). MSC: 62M10 62F12 62H12 62H15 62P20 PDFBibTeX XMLCite \textit{G. Fiorentini} and \textit{E. Sentana}, Quant. Econ. 12, No. 3, 683--742 (2021; Zbl 1477.62240) Full Text: DOI
Liu, Yan; Tanida, Yoshiyuki; Taniguchi, Masanobu Shrinkage estimation for multivariate time series. (English) Zbl 1477.62251 Stat. Inference Stoch. Process. 24, No. 3, 733-751 (2021). MSC: 62M10 62M15 62H12 60G10 62P20 PDFBibTeX XMLCite \textit{Y. Liu} et al., Stat. Inference Stoch. Process. 24, No. 3, 733--751 (2021; Zbl 1477.62251) Full Text: DOI
Azrak, Rajae; Mélard, Guy Asymptotic properties of conditional least-squares estimators for array time series. (English) Zbl 1477.62233 Stat. Inference Stoch. Process. 24, No. 3, 525-547 (2021). MSC: 62M10 62H12 62B10 60K35 60G12 PDFBibTeX XMLCite \textit{R. Azrak} and \textit{G. Mélard}, Stat. Inference Stoch. Process. 24, No. 3, 525--547 (2021; Zbl 1477.62233) Full Text: DOI Link
Narukawa, Masaki Efficient tapered local Whittle estimation of multivariate fractional processes. (English) Zbl 1477.62081 J. Stat. Plann. Inference 215, 234-256 (2021). MSC: 62G05 62M10 62H12 60G22 PDFBibTeX XMLCite \textit{M. Narukawa}, J. Stat. Plann. Inference 215, 234--256 (2021; Zbl 1477.62081) Full Text: DOI
Zhang, Shibin A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics. (English) Zbl 1477.62144 J. Stat. Plann. Inference 215, 109-126 (2021). MSC: 62H15 62M15 62M10 PDFBibTeX XMLCite \textit{S. Zhang}, J. Stat. Plann. Inference 215, 109--126 (2021; Zbl 1477.62144) Full Text: DOI
Elshehawey, A. M.; Qian, Zhengming A gradual facilitate high-order multivariate Markov chains model with application to the changes of exchange rates in Egypt: new approach. (English) Zbl 1480.60209 J. Stat. Theory Pract. 15, No. 2, Paper No. 42, 29 p. (2021). MSC: 60J20 62M10 PDFBibTeX XMLCite \textit{A. M. Elshehawey} and \textit{Z. Qian}, J. Stat. Theory Pract. 15, No. 2, Paper No. 42, 29 p. (2021; Zbl 1480.60209) Full Text: DOI
Maneejuk, Paravee; Yamaka, Woraphon; Sriboonchitta, Songsak Does the Kuznets curve exist in Thailand? A two decades’ perspective (1993–2015). (English) Zbl 1477.62374 Ann. Oper. Res. 300, No. 2, 545-576 (2021). MSC: 62P20 62M10 62H05 PDFBibTeX XMLCite \textit{P. Maneejuk} et al., Ann. Oper. Res. 300, No. 2, 545--576 (2021; Zbl 1477.62374) Full Text: DOI
D’Urso, Pierpaolo; De Giovanni, Livia; Massari, Riccardo Trimmed fuzzy clustering of financial time series based on dynamic time warping. (English) Zbl 1477.62289 Ann. Oper. Res. 299, No. 1-2, 1379-1395 (2021). MSC: 62P05 62H30 62M10 62M86 91G15 PDFBibTeX XMLCite \textit{P. D'Urso} et al., Ann. Oper. Res. 299, No. 1--2, 1379--1395 (2021; Zbl 1477.62289) Full Text: DOI
Guidolin, Massimo; Pedio, Manuela Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help? (English) Zbl 1477.62292 Ann. Oper. Res. 299, No. 1-2, 1317-1356 (2021). MSC: 62P05 62H15 62M10 62M20 91G10 PDFBibTeX XMLCite \textit{M. Guidolin} and \textit{M. Pedio}, Ann. Oper. Res. 299, No. 1--2, 1317--1356 (2021; Zbl 1477.62292) Full Text: DOI
Golosnoy, Vasyl; Seifert, Miriam Isabel Monitoring mean changes in persistent multivariate time series. (English) Zbl 1477.62242 Statistics 55, No. 3, 475-488 (2021). MSC: 62M10 62H12 62L12 62P30 PDFBibTeX XMLCite \textit{V. Golosnoy} and \textit{M. I. Seifert}, Statistics 55, No. 3, 475--488 (2021; Zbl 1477.62242) Full Text: DOI
Zvonarev, N. K. Search for weights in the problem of finite-rank signal estimation in the presence of random noise. (English. Russian original) Zbl 1476.62197 Vestn. St. Petersbg. Univ., Math. 54, No. 3, 236-244 (2021); translation from Vestn. St-Peterbg. Univ., Ser. I, Mat. Mekh. Astron. 8(66), No. 3, 417-429 (2021). MSC: 62M10 62H12 94A12 PDFBibTeX XMLCite \textit{N. K. Zvonarev}, Vestn. St. Petersbg. Univ., Math. 54, No. 3, 236--244 (2021; Zbl 1476.62197); translation from Vestn. St-Peterbg. Univ., Ser. I, Mat. Mekh. Astron. 8(66), No. 3, 417--429 (2021) Full Text: DOI
Zhang, Lin; Zhang, Wenyu; McNeil, Maxwell J.; Chengwang, Nachuan; Matteson, David S.; Bogdanov, Petko AURORA: A Unified fRamework fOR Anomaly detection on multivariate time series. (English) Zbl 1493.62542 Data Min. Knowl. Discov. 35, No. 5, 1882-1905 (2021). MSC: 62M10 62H30 PDFBibTeX XMLCite \textit{L. Zhang} et al., Data Min. Knowl. Discov. 35, No. 5, 1882--1905 (2021; Zbl 1493.62542) Full Text: DOI
Samadi, S. Yaser; Billard, Lynne Analysis of dependent data aggregated into intervals. (English) Zbl 1521.62172 J. Multivariate Anal. 186, Article ID 104817, 17 p. (2021). Reviewer: Morteza Pakdaman (Mashhad) MSC: 62M10 62H12 62H99 PDFBibTeX XMLCite \textit{S. Y. Samadi} and \textit{L. Billard}, J. Multivariate Anal. 186, Article ID 104817, 17 p. (2021; Zbl 1521.62172) Full Text: DOI
Betken, Annika; Dehling, Herold; Nüßgen, Ines; Schnurr, Alexander Ordinal pattern dependence as a multivariate dependence measure. (English) Zbl 1476.62103 J. Multivariate Anal. 186, Article ID 104798, 19 p. (2021). MSC: 62H20 62H12 62M10 62F12 60F05 PDFBibTeX XMLCite \textit{A. Betken} et al., J. Multivariate Anal. 186, Article ID 104798, 19 p. (2021; Zbl 1476.62103) Full Text: DOI arXiv
Alonso, Andrés M.; D’Urso, Pierpaolo; Gamboa, Carolina; Guerrero, Vanesa Cophenetic-based fuzzy clustering of time series by linear dependency. (English) Zbl 1520.62083 Int. J. Approx. Reasoning 137, 114-136 (2021). MSC: 62H30 62H86 62M10 62M86 PDFBibTeX XMLCite \textit{A. M. Alonso} et al., Int. J. Approx. Reasoning 137, 114--136 (2021; Zbl 1520.62083) Full Text: DOI
D’Urso, Pierpaolo; García-Escudero, Luis A.; De Giovanni, Livia; Vitale, Vincenzina; Mayo-Iscar, Agustín Robust fuzzy clustering of time series based on B-splines. (English) Zbl 1520.68140 Int. J. Approx. Reasoning 136, 223-246 (2021). MSC: 68T05 62H30 62H86 62M10 62M86 PDFBibTeX XMLCite \textit{P. D'Urso} et al., Int. J. Approx. Reasoning 136, 223--246 (2021; Zbl 1520.68140) Full Text: DOI
Cerqueti, Roy; Giacalone, Massimiliano; Mattera, Raffaele Model-based fuzzy time series clustering of conditional higher moments. (English) Zbl 1519.62018 Int. J. Approx. Reasoning 134, 34-52 (2021). MSC: 62M10 62H30 62H86 62M86 PDFBibTeX XMLCite \textit{R. Cerqueti} et al., Int. J. Approx. Reasoning 134, 34--52 (2021; Zbl 1519.62018) Full Text: DOI arXiv
Bücher, Axel; Jaser, Miriam; Min, Aleksey Detecting departures from meta-ellipticity for multivariate stationary time series. (English) Zbl 1473.62302 Depend. Model. 9, 121-140 (2021). MSC: 62M10 62H15 62P05 PDFBibTeX XMLCite \textit{A. Bücher} et al., Depend. Model. 9, 121--140 (2021; Zbl 1473.62302) Full Text: DOI
Kong, Wei; Yang, Kai Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix. (English) Zbl 1476.62203 Econ. Lett. 208, Article ID 110090, 6 p. (2021). MSC: 62M30 62M10 62H12 PDFBibTeX XMLCite \textit{W. Kong} and \textit{K. Yang}, Econ. Lett. 208, Article ID 110090, 6 p. (2021; Zbl 1476.62203) Full Text: DOI
Hu, Wei; Huang, Danyang; Jing, Bingyi; Zhang, Bo Crawling subsampling for multivariate spatial autoregression model in large-scale networks. (English) Zbl 1478.62382 Electron. J. Stat. 15, No. 2, 3678-3707 (2021). Reviewer: Morteza Pakdaman (Mashhad) MSC: 62R07 62H11 62M10 62D05 PDFBibTeX XMLCite \textit{W. Hu} et al., Electron. J. Stat. 15, No. 2, 3678--3707 (2021; Zbl 1478.62382) Full Text: DOI Link
Vidoni, Paolo Boosting multiplicative model combination. (English) Zbl 1473.62128 Scand. J. Stat. 48, No. 3, 761-789 (2021). MSC: 62G07 62H12 62M10 PDFBibTeX XMLCite \textit{P. Vidoni}, Scand. J. Stat. 48, No. 3, 761--789 (2021; Zbl 1473.62128) Full Text: DOI
Ke, Rui; Jia, Jing; Tan, Changchun A residual-based test for multivariate GARCH models using transformed quadratic residuals. (English) Zbl 1473.62309 Econ. Lett. 206, Article ID 109978, 5 p. (2021). MSC: 62M10 62H15 PDFBibTeX XMLCite \textit{R. Ke} et al., Econ. Lett. 206, Article ID 109978, 5 p. (2021; Zbl 1473.62309) Full Text: DOI
Tian, Yu; Ma, Shao-pei; Rui, Rong-xiang; Yu, Zhen; Tian, Mao-zai The analysis of impact of Brexit on the post-Brexit EU using intervented multivariate time series. (English) Zbl 1471.62544 Acta Math. Appl. Sin., Engl. Ser. 37, No. 3, 441-458 (2021). MSC: 62P20 62M10 62H12 62G08 62J02 PDFBibTeX XMLCite \textit{Y. Tian} et al., Acta Math. Appl. Sin., Engl. Ser. 37, No. 3, 441--458 (2021; Zbl 1471.62544) Full Text: DOI
Zhang, Jian; Oftadeh, Elaheh Multivariate variable selection by means of null-beamforming. (English) Zbl 1472.62061 Electron. J. Stat. 15, No. 1, 3428-3477 (2021). MSC: 62G08 62H25 62M10 PDFBibTeX XMLCite \textit{J. Zhang} and \textit{E. Oftadeh}, Electron. J. Stat. 15, No. 1, 3428--3477 (2021; Zbl 1472.62061) Full Text: DOI
Quessy, Jean-François; Mesfioui, Mhamed A new family of copula-based concordance orderings of random pairs: properties and nonparametric tests. (English) Zbl 1470.60071 Electron. J. Stat. 15, No. 1, 2393-2429 (2021). MSC: 60E15 62G10 62H05 PDFBibTeX XMLCite \textit{J.-F. Quessy} and \textit{M. Mesfioui}, Electron. J. Stat. 15, No. 1, 2393--2429 (2021; Zbl 1470.60071) Full Text: DOI
Kojadinovic, Ivan; Verdier, Ghislain Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions. (English) Zbl 1471.62467 Electron. J. Stat. 15, No. 1, 773-829 (2021). MSC: 62M10 62L12 62H15 62G09 62G10 62E20 62P05 PDFBibTeX XMLCite \textit{I. Kojadinovic} and \textit{G. Verdier}, Electron. J. Stat. 15, No. 1, 773--829 (2021; Zbl 1471.62467) Full Text: DOI arXiv
Bolívar, Stevenson; Nieto, Fabio H.; Peña, Daniel On a new procedure for identifying a dynamic common factor model. (English) Zbl 1470.62129 Rev. Colomb. Estad. 44, No. 1, 1-21 (2021). MSC: 62M10 62H20 PDFBibTeX XMLCite \textit{S. Bolívar} et al., Rev. Colomb. Estad. 44, No. 1, 1--21 (2021; Zbl 1470.62129) Full Text: DOI
Kharin, Yuriy; Voloshko, Valeriy Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies. (English) Zbl 1470.62131 J. Multivariate Anal. 185, Article ID 104777, 17 p. (2021). MSC: 62M10 62M05 62H12 62-08 62F10 62F12 62F35 PDFBibTeX XMLCite \textit{Y. Kharin} and \textit{V. Voloshko}, J. Multivariate Anal. 185, Article ID 104777, 17 p. (2021; Zbl 1470.62131) Full Text: DOI
Oluwadare, Ojo Olatunde Sensitivity of priors in the presence of collinearity in vector autoregressive model: a Monte Carlo study. (English) Zbl 1470.62133 Thail. Stat. 19, No. 2, 361-373 (2021). MSC: 62M10 62H12 65C05 PDFBibTeX XMLCite \textit{O. O. Oluwadare}, Thail. Stat. 19, No. 2, 361--373 (2021; Zbl 1470.62133) Full Text: Link
Zhang, Danna Robust estimation of the mean and covariance matrix for high dimensional time series. (English) Zbl 1469.62348 Stat. Sin. 31, No. 2, 797-820 (2021). MSC: 62M10 62J10 62G32 62G35 62H12 PDFBibTeX XMLCite \textit{D. Zhang}, Stat. Sin. 31, No. 2, 797--820 (2021; Zbl 1469.62348)
Kim, Byungsoo; Song, Junmo; Baek, Changryong Robust test for structural instability in dynamic factor models. (English) Zbl 1469.62341 Ann. Inst. Stat. Math. 73, No. 4, 821-853 (2021). MSC: 62M10 62G10 62G35 62H35 62P10 PDFBibTeX XMLCite \textit{B. Kim} et al., Ann. Inst. Stat. Math. 73, No. 4, 821--853 (2021; Zbl 1469.62341) Full Text: DOI
Funovits, Bernd; Braumann, Alexander Identifiability of structural singular vector autoregressive models. (English) Zbl 1469.62336 J. Time Ser. Anal. 42, No. 4, 431-441 (2021). MSC: 62M10 62H12 37M10 PDFBibTeX XMLCite \textit{B. Funovits} and \textit{A. Braumann}, J. Time Ser. Anal. 42, No. 4, 431--441 (2021; Zbl 1469.62336) Full Text: DOI arXiv
Bours, Monika; Steland, Ansgar Large-sample approximations and change testing for high-dimensional covariance matrices of multivariate linear time series and factor models. (English) Zbl 1469.62333 Scand. J. Stat. 48, No. 2, 610-654 (2021). MSC: 62M10 62H12 62G10 62P10 62P20 PDFBibTeX XMLCite \textit{M. Bours} and \textit{A. Steland}, Scand. J. Stat. 48, No. 2, 610--654 (2021; Zbl 1469.62333) Full Text: DOI
Beran, Jan; Telkmann, Klaus On inference for modes under long memory. (English) Zbl 1469.62227 Scand. J. Stat. 48, No. 2, 429-455 (2021). MSC: 62G07 62H12 62M10 PDFBibTeX XMLCite \textit{J. Beran} and \textit{K. Telkmann}, Scand. J. Stat. 48, No. 2, 429--455 (2021; Zbl 1469.62227) Full Text: DOI
Krampe, Jonas; Kreiss, Jens-Peter; Paparoditis, Efstathios Bootstrap based inference for sparse high-dimensional time series models. (English) Zbl 1476.62186 Bernoulli 27, No. 3, 1441-1466 (2021). Reviewer: Oscar Bustos (Córdoba) MSC: 62M10 62H12 62H15 62F40 62-08 PDFBibTeX XMLCite \textit{J. Krampe} et al., Bernoulli 27, No. 3, 1441--1466 (2021; Zbl 1476.62186) Full Text: DOI arXiv
Chau, Joris; von Sachs, Rainer Intrinsic wavelet regression for curves of Hermitian positive definite matrices. (English) Zbl 1464.62377 J. Am. Stat. Assoc. 116, No. 534, 819-832 (2021). MSC: 62M10 62M15 42C40 15B48 62P10 PDFBibTeX XMLCite \textit{J. Chau} and \textit{R. von Sachs}, J. Am. Stat. Assoc. 116, No. 534, 819--832 (2021; Zbl 1464.62377) Full Text: DOI arXiv
Zhen, Yuanting; Ye, Jimin; Li, Guorong Time series clustering method based on centered Copula function similarity measure. (Chinese. English summary) Zbl 1474.62323 J. Shaanxi Norm. Univ., Nat. Sci. Ed. 49, No. 1, 29-36 (2021). MSC: 62M10 62H30 62H05 62P20 PDFBibTeX XMLCite \textit{Y. Zhen} et al., J. Shaanxi Norm. Univ., Nat. Sci. Ed. 49, No. 1, 29--36 (2021; Zbl 1474.62323) Full Text: DOI
He, Lei; Lin, Lin Copula-AR\((n)\)-SVL mortality models and measurement of longevity risk. (Chinese. English summary) Zbl 1474.62363 Chin. J. Appl. Probab. Stat. 37, No. 1, 26-36 (2021). MSC: 62P05 62P25 91G05 62H05 62M10 PDFBibTeX XMLCite \textit{L. He} and \textit{L. Lin}, Chin. J. Appl. Probab. Stat. 37, No. 1, 26--36 (2021; Zbl 1474.62363) Full Text: DOI
Ren, Weijie; Han, Min Survey on causality analysis of multivariate time series. (Chinese. English summary) Zbl 1474.62316 Acta Autom. Sin. 47, No. 1, 64-78 (2021). MSC: 62M10 62D20 62H12 PDFBibTeX XMLCite \textit{W. Ren} and \textit{M. Han}, Acta Autom. Sin. 47, No. 1, 64--78 (2021; Zbl 1474.62316) Full Text: DOI
Hwang, Eunju; Hong, Won-Tak A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation. (English) Zbl 1467.62145 Econ. Lett. 203, Article ID 109855, 5 p. (2021). MSC: 62M10 62H12 62P05 PDFBibTeX XMLCite \textit{E. Hwang} and \textit{W.-T. Hong}, Econ. Lett. 203, Article ID 109855, 5 p. (2021; Zbl 1467.62145) Full Text: DOI
Asai, Manabu; So, Mike K. P. Quasi-maximum likelihood estimation of conditional autoregressive Wishart models. (English) Zbl 1468.62291 J. Time Ser. Anal. 42, No. 3, 271-294 (2021). MSC: 62H12 62M10 62F12 91B84 62P20 PDFBibTeX XMLCite \textit{M. Asai} and \textit{M. K. P. So}, J. Time Ser. Anal. 42, No. 3, 271--294 (2021; Zbl 1468.62291) Full Text: DOI
Li, Yifan; Rao, Yao A simple nearly unbiased estimator of cross-covariances. (English) Zbl 1468.62294 J. Time Ser. Anal. 42, No. 2, 240-266 (2021). MSC: 62H12 62M10 PDFBibTeX XMLCite \textit{Y. Li} and \textit{Y. Rao}, J. Time Ser. Anal. 42, No. 2, 240--266 (2021; Zbl 1468.62294) Full Text: DOI
Krampe, Jonas; Mcmurry, Timothy L. Estimating Wold matrices and vector moving average processes. (English) Zbl 1468.62339 J. Time Ser. Anal. 42, No. 2, 201-221 (2021). MSC: 62M10 62H12 PDFBibTeX XMLCite \textit{J. Krampe} and \textit{T. L. Mcmurry}, J. Time Ser. Anal. 42, No. 2, 201--221 (2021; Zbl 1468.62339) Full Text: DOI
Gösmann, Josua; Kley, Tobias; Dette, Holger A new approach for open-end sequential change point monitoring. (English) Zbl 1468.62338 J. Time Ser. Anal. 42, No. 1, 63-84 (2021). MSC: 62M10 62H15 62L12 62G10 PDFBibTeX XMLCite \textit{J. Gösmann} et al., J. Time Ser. Anal. 42, No. 1, 63--84 (2021; Zbl 1468.62338) Full Text: DOI arXiv
Alaee, Sara; Mercer, Ryan; Kamgar, Kaveh; Keogh, Eamonn Time series motifs discovery under DTW allows more robust discovery of conserved structure. (English) Zbl 1478.62245 Data Min. Knowl. Discov. 35, No. 3, 863-910 (2021). MSC: 62M10 62H35 62R20 PDFBibTeX XMLCite \textit{S. Alaee} et al., Data Min. Knowl. Discov. 35, No. 3, 863--910 (2021; Zbl 1478.62245) Full Text: DOI
Furmańczyk, Konrad Estimation of autocovariance matrices for high dimensional linear processes. (English) Zbl 1471.62373 Metrika 84, No. 4, 595-613 (2021). Reviewer: Oscar Bustos (Córdoba) MSC: 62H12 62M10 PDFBibTeX XMLCite \textit{K. Furmańczyk}, Metrika 84, No. 4, 595--613 (2021; Zbl 1471.62373) Full Text: DOI
De Gooijer, Jan G. Asymmetric vector moving average models: estimation and testing. (English) Zbl 1505.62119 Comput. Stat. 36, No. 2, 1437-1460 (2021). MSC: 62-08 62M10 62P20 PDFBibTeX XMLCite \textit{J. G. De Gooijer}, Comput. Stat. 36, No. 2, 1437--1460 (2021; Zbl 1505.62119) Full Text: DOI
Li, Zhengbang; Liu, Fuxiang; Zeng, Luanjie; Zuo, Guoxin A stationary bootstrap test about two mean vectors comparison with somewhat dense differences and fewer sample size than dimension. (English) Zbl 1505.62254 Comput. Stat. 36, No. 2, 941-960 (2021). MSC: 62-08 62P10 62H15 62M10 60F05 PDFBibTeX XMLCite \textit{Z. Li} et al., Comput. Stat. 36, No. 2, 941--960 (2021; Zbl 1505.62254) Full Text: DOI