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Author ID: kokoszka.piotr-s Recent zbMATH articles by "Kokoszka, Piotr S."
Published as: Kokoszka, Piotr; Kokoszka, Piotr S.; Kokoszka, P. S.; Kokoszka, P.
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Serials

11 Journal of Time Series Analysis
9 Journal of Multivariate Analysis
7 Statistics & Probability Letters
7 Bernoulli
7 Econometric Theory
6 The Annals of Statistics
6 Stochastic Processes and their Applications
5 Journal of Econometrics
5 Statistics
3 The Canadian Journal of Statistics
3 Journal of Statistical Planning and Inference
3 Probability and Mathematical Statistics
3 Journal of Statistical Computation and Simulation
3 Computational Statistics and Data Analysis
3 The Econometrics Journal
3 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Lithuanian Mathematical Journal
2 Scandinavian Journal of Statistics
2 Journal of the American Statistical Association
2 Journal of Theoretical Probability
2 Computational Statistics
2 Bulletin of the Polish Academy of Sciences, Mathematics
2 Test
2 Methodology and Computing in Applied Probability
2 Statistical Modelling
2 Statistical Methods and Applications
2 Journal of Time Series Econometrics
1 Periodica Mathematica Hungarica
1 Biometrika
1 Journal of Applied Probability
1 Nagoya Mathematical Journal
1 Proceedings of the American Mathematical Society
1 Acta Applicandae Mathematicae
1 Revista Colombiana de Estadística
1 Mathematical and Computer Modelling
1 Estadística
1 The Annals of Applied Probability
1 The Journal of Artificial Intelligence Research (JAIR)
1 Extremes
1 Statistical Inference for Stochastic Processes
1 The Annals of Applied Statistics
1 Statistics and Its Interface
1 Statistics & Risk Modeling
1 Springer Series in Statistics
1 ISRN Probability and Statistics
1 Chapman & Hall/CRC Texts in Statistical Science Series

Publications by Year

Citations contained in zbMATH Open

110 Publications have been cited 2,142 times in 1,308 Documents Cited by Year
Inference for functional data with applications. Zbl 1279.62017
Horváth, Lajos; Kokoszka, Piotr
346
2012
GARCH processes: structure and estimation. Zbl 1064.62094
Berkes, István; Horváth, Lajos; Kokoszka, Piotr
157
2003
Weakly dependent functional data. Zbl 1189.62141
Hörmann, Siegfried; Kokoszka, Piotr
87
2010
Stationary ARCH models: Dependence structure and central limit theorem. Zbl 0986.60030
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus
83
2000
Monitoring changes in linear models. Zbl 1075.62054
Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr; Steinebach, Josef
73
2004
Rescaled variance and related tests for long memory in volatility and levels. Zbl 1027.62064
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
70
2003
Fractional ARIMA with stable innovations. Zbl 0846.62066
Kokoszka, Piotr S.; Taqqu, Murad S.
63
1995
Introduction to functional data analysis. Zbl 1411.62004
Kokoszka, Piotr; Reimherr, Matthew
58
2017
Change-point estimation in ARCH models. Zbl 0997.62068
Kokoszka, Piotr; Leipus, Remigijus
52
2000
Parameter estimation for infinite variance fractional ARIMA. Zbl 0896.62092
Kokoszka, Piotr S.; Taqqu, Murad S.
48
1996
On discriminating between long-range dependence and changes in mean. Zbl 1112.62085
Berkes, István; Horváth, Lajos; Kokoszka, Piotr; Shao, Qi-Man
44
2006
Change-point monitoring in linear models. Zbl 1106.62067
Aue, Alexander; Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr
41
2006
The effect of long-range dependence on change-point estimators. Zbl 0946.62078
Horváth, Lajos; Kokoszka, Piotr
39
1997
Testing stationarity of functional time series. Zbl 1293.62186
Horváth, Lajos; Kokoszka, Piotr; Rice, Gregory
37
2014
Sequential change-point detection in \(\text{GARCH}(p,q)\) models. Zbl 1069.62058
Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr
36
2004
Testing for changes in multivariate dependent observations with an application to temperature changes. Zbl 0962.62042
Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef
36
1999
Testing the equality of covariance operators in functional samples. Zbl 1259.62031
Fremdt, Stefan; Steinebach, Josef G.; Horváth, Lajos; Kokoszka, Piotr
35
2013
Change-point in the mean of dependent observations. Zbl 0935.62097
Kokoszka, Piotr; Leipus, Remigijus
32
1998
Empirical process of the squared residuals of an ARCH sequence. Zbl 1012.62053
Horváth, Lajos; Kokoszka, Piotr; Teyssière, Gilles
31
2001
Testing the stability of the functional autoregressive process. Zbl 1178.62099
Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr
26
2010
Portmanteau test of independence for functional observations. Zbl 1332.62322
Gabrys, Robertas; Kokoszka, Piotr
26
2007
Estimation of a change-point in the mean function of functional data. Zbl 1176.62025
Aue, Alexander; Gabrys, Robertas; Horváth, Lajos; Kokoszka, Piotr
25
2009
Tests for error correlation in the functional linear model. Zbl 1390.62118
Gabrys, Robertas; Horváth, Lajos; Kokoszka, Piotr
24
2010
Infinite variance stable ARMA processes. Zbl 0804.62082
Kokoszka, Piotr S.; Taqqu, Murad S.
23
1994
Approximations and limit theory for quadratic forms of linear processes. Zbl 1107.62038
Bhansali, R. J.; Giraitis, L.; Kokoszka, P. S.
22
2007
Testing for parameter constancy in GARCH\((p,q)\) models. Zbl 1058.62070
Berkes, Istvan; Horváth, Lajos; Kokoszka, Piotr
21
2005
Determining the order of the functional autoregressive model. Zbl 1274.62600
Kokoszka, Piotr; Reimherr, Matthew
21
2013
A bootstrap approximation to a unit root test statistic for heavy-tailed observations. Zbl 1116.62393
Horváth, Lajos; Kokoszka, Piotr
20
2003
Detecting changes in the mean of functional observations. Zbl 1411.62153
Berkes, István; Gabrys, Robertas; Horváth, Lajos; Kokoszka, Piotr
19
2009
Testing for long memory in the presence of a general trend. Zbl 1140.62341
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus
19
2001
Two sample inference in functional linear models. Zbl 1191.62088
Horváth, Lajos; Kokoszka, Piotr; Reimherr, Matthew
18
2009
Testing for parameter changes in ARCH models. Zbl 0972.62012
Kokoszka, P.; Leipus, R.
18
1999
Convergence of quadratic forms with nonvanishing diagonal. Zbl 1283.62027
Bhansali, R. J.; Giraitis, L.; Kokoszka, P. S.
18
2007
Functional data analysis with increasing number of projections. Zbl 1359.62197
Fremdt, Stefan; Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef G.
18
2014
Testing for lack of dependence in the functional linear model. Zbl 1144.62316
Kokoszka, Piotr; Maslova, Inga; Sojka, Jan; Zhu, Lie
16
2008
Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals. Zbl 1060.62097
Horváth, Lajos; Kokoszka, Piotr; Teyssière, Gilles
16
2004
Testing for changes in polynomial regression. Zbl 1155.62027
Aue, Alexander; Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr
16
2008
Change-point detection with nonparametric regression. Zbl 1010.62036
Horváth, Lajos; Kokoszka, Piotr
16
2002
Approximations for weighted bootstrap processes with an application. Zbl 0982.60019
Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef
15
2000
The integrated periodogram for long-memory processes with finite or infinite variance. Zbl 0885.62108
Kokoszka, P.; Mikosch, T.
15
1997
Estimation and testing for spatially indexed curves with application to ionospheric and magnetic field trends. Zbl 1243.62122
Gromenko, Oleksandr; Kokoszka, Piotr; Zhu, Lie; Sojka, Jan
15
2012
On sequential detection of parameter changes in linear regression. Zbl 1117.62079
Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef
15
2007
Monitoring constancy of variance in conditionally heteroskedastic time series. Zbl 1125.62102
Horváth, Lajos; Kokoszka, Piotr; Zhang, Aonan
15
2006
Asymptotic normality of the principal components of functional time series. Zbl 1275.62066
Kokoszka, Piotr; Reimherr, Matthew
14
2013
Prediction of infinite variance fractional ARIMA. Zbl 0857.60032
Kokoszka, Piotr S.
13
1996
Almost sure convergence of the Bartlett estimator. Zbl 1092.62030
Berkes, István; Horváth, Lajos; Kokoszka, Piotr; Shao, Qi-Man
13
2005
Sample autocovariances of long-memory time series. Zbl 1155.62323
Horváth, Lajos; Kokoszka, Piotr
12
2008
Subsampling the mean of heavy-tailed dependent observations. Zbl 1051.62078
Kokoszka, Piotr; Wolf, Michael
11
2004
Empirical properties of forecasts with the functional autoregressive model. Zbl 1304.65026
Didericksen, Devin; Kokoszka, Piotr; Zhang, Xi
11
2012
Testing for stochastic dominance using the weighted McFadden-type statistic. Zbl 1345.62076
Horváth, Lajos; Kokoszka, Piotr; Zitikis, Ričardas
10
2006
Monitoring shifts in mean: asymptotic normality of stopping times. Zbl 1367.62242
Aue, Alexander; Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef
10
2008
Detection and estimation of changes in regime. Zbl 1031.62075
Kokoszka, Piotr; Leipus, Remigijus
9
2003
Approximation for bootstrapped empirical processes. Zbl 0959.62043
Csörgő, Miklós; Horváth, Lajos; Kokoszka, Piotr
8
2000
Large sample distribution of weighted sums of ARCH(\(p\)) squared residual correlations. Zbl 0973.62074
Horváth, Lajos; Kokoszka, Piotr
8
2001
Infinite variance stable moving averages with long memory. Zbl 0857.62087
Kokoszka, Piotr S.; Taqqu, Murad S.
8
1996
Subsampling unit root tests for heavy-tailed observations. Zbl 1045.62086
Jach, Agnieszka; Kokoszka, Piotr
8
2004
Estimation of the memory parameter by fitting fractionally differenced autoregressive models. Zbl 1101.62073
Bhansali, R. J.; Giraitis, L.; Kokoszka, P. S.
8
2006
Inference for the autocovariance of a functional time series under conditional heteroscedasticity. Zbl 1378.62073
Kokoszka, Piotr; Rice, Gregory; Shang, Han Lin
8
2017
Testing for periodicity in functional time series. Zbl 1416.62496
Hörmann, Siegfried; Kokoszka, Piotr; Nisol, Gilles
8
2018
Near-integrated GARCH sequences. Zbl 1059.62092
Berkes, István; Horváth, Lajos; Kokoszka, Piotr
7
2005
Consistency of the mean and the principal components of spatially distributed functional data. Zbl 1457.62193
Hörmann, Siegfried; Kokoszka, Piotr
7
2013
New classes of self-similar symmetric stable random fields. Zbl 0806.60026
Kokoszka, Piotr S.; Taqqu, Murad S.
6
1994
Testing normality of functional time series. Zbl 1416.62489
Górecki, Tomasz; Hörmann, Siegfried; Horváth, Lajos; Kokoszka, Piotr
6
2018
On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives. Zbl 1029.62075
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
6
2003
Dependent functional data. Zbl 06169714
Kokoszka, Piotr
6
2012
Asymptotics for GARCH squared residual correlations. Zbl 1441.62608
Berkes, István; Horváth, Lajos; Kokoszka, Piotr
6
2003
Testing separability of space-time functional processes. Zbl 07072216
Constantinou, P.; Kokoszka, Piotr; Reimherr, M.
5
2017
Wavelet-domain test for long-range dependence in the presence of a trend. Zbl 1148.62072
Jach, Agnieszka; Kokoszka, Piotr
5
2008
The asymptotic behavior of quadratic forms in heavy-tailed strongly dependent random variables. Zbl 0889.60017
Kokoszka, P. S.; Taqqu, M. S.
5
1997
Monitoring the intraday volatility pattern. Zbl 1462.62719
Gabrys, Robertas; Hörmann, Siegfried; Kokoszka, Piotr
5
2013
Computer investigation of the rate of convergence of LePage type series to \(\alpha\)-stable random variables. Zbl 0813.60014
Janicki, Aleksander; Kokoszka, Piotr
4
1992
Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity. Zbl 1054.62104
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
4
2000
Can one use the Durbin-Levinson algorithm to generate infinite variance fractional ARIMA time series? Zbl 0978.62082
Kokoszka, Piotr S.; Taqqu, Murad S.
4
2001
A weighted goodness-of-fit test for GARCH(1,1) specification. Zbl 1047.62015
Berkes, I.; Horváth, L.; Kokoszka, P.
4
2004
Impulse responses of fractionally integrated processes with long memory. Zbl 1230.62118
Hassler, Uwe; Kokoszka, Piotr
4
2010
Estimation in functional lagged regression. Zbl 1325.62168
Hörmann, Siegfried; Kidziński, Łukasz; Kokoszka, Piotr
4
2015
Discrete time parametric models with long memory and infinite variance. Zbl 0990.62080
Kokoszka, P. S.; Taqqu, M. S.
4
1999
Estimation of the maximal moment exponent of a GARCH(1,1) sequence. Zbl 1441.62609
Berkes, István; Horváth, Lajos; Kokoszka, Piotr
4
2003
Asymptotic dependence of moving average type self-similar stable random fields. Zbl 0771.60026
Kokoszka, Piotr S.; Taqqu, Murad S.
3
1993
Asymptotic dependence of stable self-similar processes of Chentsov type. Zbl 0787.60047
Kokoszka, Piotr S.; Taqqu, Murad S.
3
1992
Probabilistic and statistical properties of GARCH processes. Zbl 1060.62094
Berkes, István; Horváth, Lajos; Kokoszka, Piotr
3
2004
Prediction of long-memory time series. Zbl 1039.62088
Bhansali, R. J.; Kokoszka, P. S.
3
2003
The periodogram at the Fourier frequencies. Zbl 1025.62030
Kokoszka, P.; Mikosch, T.
3
2000
Nonlinearity of ARCH and stochastic volatility models and Bartlett’s formula. Zbl 1260.62068
Kokoszka, Piotr S.; Politis, Dimitris N.
3
2011
KPSS test for functional time series. Zbl 1440.62333
Kokoszka, Piotr; Young, Gabriel
3
2016
Editorial for the special issue on high-dimensional and functional data analysis. Zbl 1471.00015
3
2019
Nonparametric inference in small data sets of spatially indexed curves with application to ionospheric trend determination. Zbl 1400.62064
Gromenko, Oleksandr; Kokoszka, Piotr
3
2013
Ergodicity and weak mixing of semistable processes. Zbl 0781.60029
Kokoszka, Piotr; Podgórski, Krzysztof
2
1992
Multivariate analysis of variance and change points estimation for high-dimensional longitudinal data. Zbl 1469.62431
Zhong, Ping-Shou; Li, Jun; Kokoszka, Piotr
2
2021
Principal components analysis of periodically correlated functional time series. Zbl 1416.62503
Kidziński, Łukasz; Kokoszka, Piotr; Jouzdani, Neda Mohammadi
2
2018
Detection of change in the spatiotemporal mean function. Zbl 1414.62400
Gromenko, Oleksandr; Kokoszka, Piotr; Reimherr, Matthew
2
2017
A characterization of mixing processes of type G. Zbl 0853.60034
Kokoszka, Piotr S.; Taqqu, Murad S.
2
1996
Prediction of long-memory time series: An overview. Zbl 1034.62091
Bhansali, R. J.; Kokoszka, P. S.
2
2001
Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study. Zbl 1182.62177
Jach, Agnieszka; Kokoszka, Piotr
2
2010
Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models. Zbl 1224.62058
Jach, Agnieszka; Kokoszka, Piotr
2
2010
Bootstrap unit root tests for heavy-tailed time series. Zbl 1126.91406
Kokoszka, Piotr; Parfionovas, Andrejus
2
2004
Testing separability of functional time series. Zbl 1401.62147
Constantinou, Panayiotis; Kokoszka, Piotr; Reimherr, Matthew
2
2018
Quantifying the risk of heat waves using extreme value theory and spatio-temporal functional data. Zbl 1471.62065
French, Joshua; Kokoszka, Piotr; Stoev, Stilian; Hall, Lauren
2
2019
Some recent developments in inference for geostatistical functional data. Zbl 1435.62413
Kokoszka, Piotr; Reimherr, Matthew
2
2019
Wasserstein autoregressive models for density time series. Zbl 07476226
Zhang, Chao; Kokoszka, Piotr; Petersen, Alexander
1
2022
Wasserstein autoregressive models for density time series. Zbl 07476226
Zhang, Chao; Kokoszka, Piotr; Petersen, Alexander
1
2022
Multivariate analysis of variance and change points estimation for high-dimensional longitudinal data. Zbl 1469.62431
Zhong, Ping-Shou; Li, Jun; Kokoszka, Piotr
2
2021
Editorial for the special issue on high-dimensional and functional data analysis. Zbl 1471.00015
3
2019
Quantifying the risk of heat waves using extreme value theory and spatio-temporal functional data. Zbl 1471.62065
French, Joshua; Kokoszka, Piotr; Stoev, Stilian; Hall, Lauren
2
2019
Some recent developments in inference for geostatistical functional data. Zbl 1435.62413
Kokoszka, Piotr; Reimherr, Matthew
2
2019
Hill estimator of projections of functional data on principal components. Zbl 1418.62218
Kim, Mihyun; Kokoszka, Piotr
1
2019
Principal components analysis of regularly varying functions. Zbl 1428.62258
Kokoszka, Piotr; Stoev, Stilian; Xiong, Qian
1
2019
Testing for periodicity in functional time series. Zbl 1416.62496
Hörmann, Siegfried; Kokoszka, Piotr; Nisol, Gilles
8
2018
Testing normality of functional time series. Zbl 1416.62489
Górecki, Tomasz; Hörmann, Siegfried; Horváth, Lajos; Kokoszka, Piotr
6
2018
Principal components analysis of periodically correlated functional time series. Zbl 1416.62503
Kidziński, Łukasz; Kokoszka, Piotr; Jouzdani, Neda Mohammadi
2
2018
Testing separability of functional time series. Zbl 1401.62147
Constantinou, Panayiotis; Kokoszka, Piotr; Reimherr, Matthew
2
2018
Introduction to functional data analysis. Zbl 1411.62004
Kokoszka, Piotr; Reimherr, Matthew
58
2017
Inference for the autocovariance of a functional time series under conditional heteroscedasticity. Zbl 1378.62073
Kokoszka, Piotr; Rice, Gregory; Shang, Han Lin
8
2017
Testing separability of space-time functional processes. Zbl 07072216
Constantinou, P.; Kokoszka, Piotr; Reimherr, M.
5
2017
Detection of change in the spatiotemporal mean function. Zbl 1414.62400
Gromenko, Oleksandr; Kokoszka, Piotr; Reimherr, Matthew
2
2017
Wavelet semi-parametric inference for long memory in volatility in the presence of a trend. Zbl 07192014
Jach, Agnieszka; Kokoszka, Piotr
1
2017
Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price. Zbl 1362.62185
Kokoszka, Piotr; Miao, Hong; Zheng, Ben
1
2017
KPSS test for functional time series. Zbl 1440.62333
Kokoszka, Piotr; Young, Gabriel
3
2016
Estimation in functional lagged regression. Zbl 1325.62168
Hörmann, Siegfried; Kidziński, Łukasz; Kokoszka, Piotr
4
2015
Testing stationarity of functional time series. Zbl 1293.62186
Horváth, Lajos; Kokoszka, Piotr; Rice, Gregory
37
2014
Functional data analysis with increasing number of projections. Zbl 1359.62197
Fremdt, Stefan; Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef G.
18
2014
Testing the equality of covariance operators in functional samples. Zbl 1259.62031
Fremdt, Stefan; Steinebach, Josef G.; Horváth, Lajos; Kokoszka, Piotr
35
2013
Determining the order of the functional autoregressive model. Zbl 1274.62600
Kokoszka, Piotr; Reimherr, Matthew
21
2013
Asymptotic normality of the principal components of functional time series. Zbl 1275.62066
Kokoszka, Piotr; Reimherr, Matthew
14
2013
Consistency of the mean and the principal components of spatially distributed functional data. Zbl 1457.62193
Hörmann, Siegfried; Kokoszka, Piotr
7
2013
Monitoring the intraday volatility pattern. Zbl 1462.62719
Gabrys, Robertas; Hörmann, Siegfried; Kokoszka, Piotr
5
2013
Nonparametric inference in small data sets of spatially indexed curves with application to ionospheric trend determination. Zbl 1400.62064
Gromenko, Oleksandr; Kokoszka, Piotr
3
2013
Estimation of the mean of functional time series and a two-sample problem. Zbl 07555440
Horváth, Lajos; Kokoszka, Piotr; Reeder, Ron
1
2013
Inference for functional data with applications. Zbl 1279.62017
Horváth, Lajos; Kokoszka, Piotr
346
2012
Estimation and testing for spatially indexed curves with application to ionospheric and magnetic field trends. Zbl 1243.62122
Gromenko, Oleksandr; Kokoszka, Piotr; Zhu, Lie; Sojka, Jan
15
2012
Empirical properties of forecasts with the functional autoregressive model. Zbl 1304.65026
Didericksen, Devin; Kokoszka, Piotr; Zhang, Xi
11
2012
Dependent functional data. Zbl 06169714
Kokoszka, Piotr
6
2012
Functional prediction of intraday cumulative returns. Zbl 07257884
Kokoszka, Piotr; Zhang, Xi
1
2012
Nonlinearity of ARCH and stochastic volatility models and Bartlett’s formula. Zbl 1260.62068
Kokoszka, Piotr S.; Politis, Dimitris N.
3
2011
Weakly dependent functional data. Zbl 1189.62141
Hörmann, Siegfried; Kokoszka, Piotr
87
2010
Testing the stability of the functional autoregressive process. Zbl 1178.62099
Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr
26
2010
Tests for error correlation in the functional linear model. Zbl 1390.62118
Gabrys, Robertas; Horváth, Lajos; Kokoszka, Piotr
24
2010
Impulse responses of fractionally integrated processes with long memory. Zbl 1230.62118
Hassler, Uwe; Kokoszka, Piotr
4
2010
Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study. Zbl 1182.62177
Jach, Agnieszka; Kokoszka, Piotr
2
2010
Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models. Zbl 1224.62058
Jach, Agnieszka; Kokoszka, Piotr
2
2010
Estimation of a change-point in the mean function of functional data. Zbl 1176.62025
Aue, Alexander; Gabrys, Robertas; Horváth, Lajos; Kokoszka, Piotr
25
2009
Detecting changes in the mean of functional observations. Zbl 1411.62153
Berkes, István; Gabrys, Robertas; Horváth, Lajos; Kokoszka, Piotr
19
2009
Two sample inference in functional linear models. Zbl 1191.62088
Horváth, Lajos; Kokoszka, Piotr; Reimherr, Matthew
18
2009
Testing for lack of dependence in the functional linear model. Zbl 1144.62316
Kokoszka, Piotr; Maslova, Inga; Sojka, Jan; Zhu, Lie
16
2008
Testing for changes in polynomial regression. Zbl 1155.62027
Aue, Alexander; Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr
16
2008
Sample autocovariances of long-memory time series. Zbl 1155.62323
Horváth, Lajos; Kokoszka, Piotr
12
2008
Monitoring shifts in mean: asymptotic normality of stopping times. Zbl 1367.62242
Aue, Alexander; Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef
10
2008
Wavelet-domain test for long-range dependence in the presence of a trend. Zbl 1148.62072
Jach, Agnieszka; Kokoszka, Piotr
5
2008
Distributional analysis of empirical volatility in GARCH processes. Zbl 1158.62055
Horváth, Lajos; Kokoszka, Piotr; Zitikis, Ričardas
1
2008
Portmanteau test of independence for functional observations. Zbl 1332.62322
Gabrys, Robertas; Kokoszka, Piotr
26
2007
Approximations and limit theory for quadratic forms of linear processes. Zbl 1107.62038
Bhansali, R. J.; Giraitis, L.; Kokoszka, P. S.
22
2007
Convergence of quadratic forms with nonvanishing diagonal. Zbl 1283.62027
Bhansali, R. J.; Giraitis, L.; Kokoszka, P. S.
18
2007
On sequential detection of parameter changes in linear regression. Zbl 1117.62079
Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef
15
2007
Intermittency, long-memory and financial returns. Zbl 1181.91340
Bhansali, Raj; Holland, Mark P.; Kokoszka, Piotr S.
1
2007
On discriminating between long-range dependence and changes in mean. Zbl 1112.62085
Berkes, István; Horváth, Lajos; Kokoszka, Piotr; Shao, Qi-Man
44
2006
Change-point monitoring in linear models. Zbl 1106.62067
Aue, Alexander; Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr
41
2006
Monitoring constancy of variance in conditionally heteroskedastic time series. Zbl 1125.62102
Horváth, Lajos; Kokoszka, Piotr; Zhang, Aonan
15
2006
Testing for stochastic dominance using the weighted McFadden-type statistic. Zbl 1345.62076
Horváth, Lajos; Kokoszka, Piotr; Zitikis, Ričardas
10
2006
Estimation of the memory parameter by fitting fractionally differenced autoregressive models. Zbl 1101.62073
Bhansali, R. J.; Giraitis, L.; Kokoszka, P. S.
8
2006
Testing for parameter constancy in GARCH\((p,q)\) models. Zbl 1058.62070
Berkes, Istvan; Horváth, Lajos; Kokoszka, Piotr
21
2005
Almost sure convergence of the Bartlett estimator. Zbl 1092.62030
Berkes, István; Horváth, Lajos; Kokoszka, Piotr; Shao, Qi-Man
13
2005
Near-integrated GARCH sequences. Zbl 1059.62092
Berkes, István; Horváth, Lajos; Kokoszka, Piotr
7
2005
Corrigendum to: “Rescaled variance and related tests for long memory in volatility and levels”. Zbl 1335.62133
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
1
2005
Monitoring changes in linear models. Zbl 1075.62054
Horváth, Lajos; Hušková, Marie; Kokoszka, Piotr; Steinebach, Josef
73
2004
Sequential change-point detection in \(\text{GARCH}(p,q)\) models. Zbl 1069.62058
Berkes, István; Gombay, Edit; Horváth, Lajos; Kokoszka, Piotr
36
2004
Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals. Zbl 1060.62097
Horváth, Lajos; Kokoszka, Piotr; Teyssière, Gilles
16
2004
Subsampling the mean of heavy-tailed dependent observations. Zbl 1051.62078
Kokoszka, Piotr; Wolf, Michael
11
2004
Subsampling unit root tests for heavy-tailed observations. Zbl 1045.62086
Jach, Agnieszka; Kokoszka, Piotr
8
2004
A weighted goodness-of-fit test for GARCH(1,1) specification. Zbl 1047.62015
Berkes, I.; Horváth, L.; Kokoszka, P.
4
2004
Probabilistic and statistical properties of GARCH processes. Zbl 1060.62094
Berkes, István; Horváth, Lajos; Kokoszka, Piotr
3
2004
Bootstrap unit root tests for heavy-tailed time series. Zbl 1126.91406
Kokoszka, Piotr; Parfionovas, Andrejus
2
2004
Chaotic maps with slowly decaying correlations and intermittency. Zbl 1067.62092
Bhansali, R. J.; Holland, M. P.; Kokoszka, P. S.
1
2004
GARCH processes: structure and estimation. Zbl 1064.62094
Berkes, István; Horváth, Lajos; Kokoszka, Piotr
157
2003
Rescaled variance and related tests for long memory in volatility and levels. Zbl 1027.62064
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
70
2003
A bootstrap approximation to a unit root test statistic for heavy-tailed observations. Zbl 1116.62393
Horváth, Lajos; Kokoszka, Piotr
20
2003
Detection and estimation of changes in regime. Zbl 1031.62075
Kokoszka, Piotr; Leipus, Remigijus
9
2003
On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives. Zbl 1029.62075
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
6
2003
Asymptotics for GARCH squared residual correlations. Zbl 1441.62608
Berkes, István; Horváth, Lajos; Kokoszka, Piotr
6
2003
Estimation of the maximal moment exponent of a GARCH(1,1) sequence. Zbl 1441.62609
Berkes, István; Horváth, Lajos; Kokoszka, Piotr
4
2003
Prediction of long-memory time series. Zbl 1039.62088
Bhansali, R. J.; Kokoszka, P. S.
3
2003
Change-point detection with nonparametric regression. Zbl 1010.62036
Horváth, Lajos; Kokoszka, Piotr
16
2002
Empirical process of the squared residuals of an ARCH sequence. Zbl 1012.62053
Horváth, Lajos; Kokoszka, Piotr; Teyssière, Gilles
31
2001
Testing for long memory in the presence of a general trend. Zbl 1140.62341
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus
19
2001
Large sample distribution of weighted sums of ARCH(\(p\)) squared residual correlations. Zbl 0973.62074
Horváth, Lajos; Kokoszka, Piotr
8
2001
Can one use the Durbin-Levinson algorithm to generate infinite variance fractional ARIMA time series? Zbl 0978.62082
Kokoszka, Piotr S.; Taqqu, Murad S.
4
2001
Prediction of long-memory time series: An overview. Zbl 1034.62091
Bhansali, R. J.; Kokoszka, P. S.
2
2001
Stationary ARCH models: Dependence structure and central limit theorem. Zbl 0986.60030
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus
83
2000
Change-point estimation in ARCH models. Zbl 0997.62068
Kokoszka, Piotr; Leipus, Remigijus
52
2000
Approximations for weighted bootstrap processes with an application. Zbl 0982.60019
Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef
15
2000
Approximation for bootstrapped empirical processes. Zbl 0959.62043
Csörgő, Miklós; Horváth, Lajos; Kokoszka, Piotr
8
2000
Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity. Zbl 1054.62104
Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; Teyssière, Gilles
4
2000
The periodogram at the Fourier frequencies. Zbl 1025.62030
Kokoszka, P.; Mikosch, T.
3
2000
Testing for changes in multivariate dependent observations with an application to temperature changes. Zbl 0962.62042
Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef
36
1999
Testing for parameter changes in ARCH models. Zbl 0972.62012
Kokoszka, P.; Leipus, R.
18
1999
Discrete time parametric models with long memory and infinite variance. Zbl 0990.62080
Kokoszka, P. S.; Taqqu, M. S.
4
1999
Change-point in the mean of dependent observations. Zbl 0935.62097
Kokoszka, Piotr; Leipus, Remigijus
32
1998
The effect of long-range dependence on change-point estimators. Zbl 0946.62078
Horváth, Lajos; Kokoszka, Piotr
39
1997
The integrated periodogram for long-memory processes with finite or infinite variance. Zbl 0885.62108
Kokoszka, P.; Mikosch, T.
15
1997
The asymptotic behavior of quadratic forms in heavy-tailed strongly dependent random variables. Zbl 0889.60017
Kokoszka, P. S.; Taqqu, M. S.
5
1997
Parameter estimation for infinite variance fractional ARIMA. Zbl 0896.62092
Kokoszka, Piotr S.; Taqqu, Murad S.
48
1996
...and 10 more Documents
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Cited by 1,563 Authors

64 Kokoszka, Piotr S.
62 Horváth, Lajos
29 Hušková, Marie
26 Vieu, Philippe
23 Lee, Sangyeol
21 Aue, Alexander
19 Shang, Han Lin
19 Surgailis, Donatas
18 Steinebach, Josef G.
18 Tian, Zheng
18 Zakoïan, Jean-Michel
17 Francq, Christian
17 Rice, Gregory
16 Dette, Holger
16 Kirch, Claudia
16 Taqqu, Murad S.
15 Giraitis, Liudas
15 Reimherr, Matthew L.
14 Berkes, István
14 Hörmann, Siegfried
13 Bouzebda, Salim
13 Chen, Zhanshou
12 Ling, Shiqing
11 Aneiros-Pérez, Germán
11 Bardet, Jean-Marc
11 Jin, Hao
11 Meintanis, Simos G.
10 Beran, Jan
10 Leipus, Remigijus
10 Mikosch, Thomas
10 Qin, Ruibing
10 Steland, Ansgar
9 Alvarez-Andrade, Sergio
9 Zhang, Zhongzhan
8 Baek, Changryong
8 Goia, Aldo
8 Laksaci, Ali
8 Lee, Taewook
8 Ling, Nengxiang
8 Ruiz-Medina, María Dolores
8 Sabzikar, Farzad
8 Smaga, Łukasz
8 Vantini, Simone
8 Wang, Guochang
8 Wang, Lihong
7 Ciuperca, Gabriela
7 Doukhan, Paul
7 Härdle, Wolfgang Karl
7 Hlávka, Zdeněk
7 Jirak, Moritz
7 Menafoglio, Alessandra
7 Mojirsheibani, Majid
7 Pini, Alessia
7 Shao, Xiaofeng
7 Song, Junmo
7 Stoev, Stilian A.
7 Taniguchi, Masanobu
7 Wintenberger, Olivier
7 Yu, Ping
7 Zhang, Rongmao
6 Arvanitis, Stelios
6 Aston, John A. D.
6 Ben Hariz, Samir
6 Beyaztas, Ufuk
6 Davis, Richard A.
6 Du, Jiang
6 Jach, Agnieszka E.
6 Kengne, William Charky
6 Pan, Jiazhu
6 Peng, Liang
6 Philippe, Anne
6 Prášková, Zuzana
6 Qi, Peiyan
6 Secchi, Piercesare
6 Sibbertsen, Philipp
6 van Delft, Anne
6 Wang, Hui
6 Wylie, Jonathan J.
6 Zhang, Jinsuo
5 Aknouche, Abdelhakim
5 Boente, Graciela
5 Bongiorno, Enea G.
5 Cao, Ruiyuan
5 Chan, Ngai Hang
5 Fokianos, Konstantinos
5 Fremdt, Stefan
5 Genton, Marc G.
5 Gombay, Edit
5 Hidalgo, Javier
5 Hill, Jonathan B.
5 Koul, Hira Lal
5 Kreiß, Jens-Peter
5 Li, Fuxiao
5 Lund, Robert B.
5 Na, Okyoung
5 Paganoni, Anna Maria
5 Patilea, Valentin
5 Paulauskas, Vygantas Ionovič
5 Politis, Dimitris Nicolas
5 Rachdi, Mustapha
...and 1,463 more Authors
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122 Journal of Multivariate Analysis
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42 Stochastic Processes and their Applications
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10 Comptes Rendus. Mathématique. Académie des Sciences, Paris
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