Edit Profile (opens in new tab) Davis, Richard A. Co-Author Distance Author ID: davis.richard-a Published as: Davis, Richard A.; Davis, Richard; Davis, R. A.; Davis, R. more...less Homepage: http://www.stat.columbia.edu/~rdavis/ External Links: MGP · dblp Documents Indexed: 139 Publications since 1979, including 9 Books 9 Contributions as Editor · 1 Further Contribution Co-Authors: 87 Co-Authors with 134 Joint Publications 3,021 Co-Co-Authors all top 5 Co-Authors 8 single-authored 22 Mikosch, Thomas 19 Brockwell, Peter J. 17 Resnick, Sidney Ira 11 Breidt, F. Jay 8 Dunsmuir, William T. M. 6 Klüppelberg, Claudia 6 Wan, Phyllis 5 Rosenblatt, Murray 5 Samorodnitsky, Gennady Pinkhosovich 4 Andrews, Beth 4 Song, Li 4 Steinkohl, Christina 4 Yao, Yi-Ching 3 Basrak, Bojan 3 Embrechts, Paul 3 Lii, Keh-Shin 3 Pipiras, Vladas 3 Rodriguez-Yam, Gabriel A. 3 Yang, Yu 3 Yau, Chun Yip 2 Baek, Changryong 2 Calder, Matthew 2 Chen, Changhua 2 Chen, Meiching 2 Cohen, Joel E. 2 Cooley, Daniel S. 2 Fokianos, Konstantinos 2 Holan, Scott H. 2 Huang, Dawei 2 Lee, Thomas C. M. 2 Liu, Heng 2 Lund, Robert B. 2 Marengo, James E. 2 Mulrow, Edward 2 Naveau, Philippe 2 Nielsen, Mikkel Slot 2 Pfaffel, Oliver 2 Politis, Dimitris Nicolas 2 Ravishanker, Nalini 2 Streett, Sarah B. 2 Trindade, A. Alexandre 2 Wang, Tiandong 2 Wang, Ying 2 Wu, Rongning 2 Wu, Wei 2 Xu, Hui 1 Ahser, Jana 1 Andersen, Torben G. 1 Bai, Zhi-Dong 1 Boes, Duane C. 1 Bradley, Richard C. jun. 1 Brillinger, David R. 1 Buhl, Sven 1 Carriquiry, Alicia L. 1 Chernick, Michael R. 1 Cho, Yong Bum 1 Cribben, Ivor 1 do Rêgo Sousa, Thiago 1 Donahue, Rafe M. J. 1 Drees, Holger 1 Efron, Bradley 1 Fernandes, Leon 1 Ferraz do Nascimento, Fernando 1 Franke, Jürgen 1 French, Joshua P. 1 Gamerman, Dani 1 Ghosh, Souvik 1 Gneiting, Tilmann 1 Haberman, Shelby J. 1 Hancock, Stacey A. 1 Heiny, Johannes 1 Hsing, Tailen 1 Hsu, Nan-Jung 1 Huang, Wenying 1 Hueter, Irene 1 Hyndman, Rob J. 1 Joe, Harry 1 Knight, Keith 1 Kou, Samuel 1 Kreiß, Jens-Peter 1 Li, Wai Keung 1 Liu, Jian 1 Liu, Jingchen 1 Livsey, James 1 Matsui, Muneya 1 McCormick, William P. 1 Newton, Michael A. 1 Ng, Serena 1 Ombao, Hernando C. 1 Paddock, Susan M. 1 Patton, Andrew J. 1 Prewitt, Kenneth 1 Raftery, Adrian E. 1 Rohde, Victor Ulrich 1 Salehi, Habib 1 Segers, Johan 1 Stelzer, Robert 1 Straf, Miron L. 1 Tadjuidje-Kamgaing, Joseph 1 Towsley, Donald Fred ...and 9 more Co-Authors all top 5 Serials 15 Stochastic Processes and their Applications 11 Journal of Time Series Analysis 8 The Annals of Statistics 7 Journal of Econometrics 6 The Annals of Probability 6 Journal of Multivariate Analysis 6 Statistica Sinica 6 Extremes 5 Oberwolfach Reports 4 Journal of Applied Probability 4 Statistics & Probability Letters 4 The Annals of Applied Probability 4 Bernoulli 4 Electronic Journal of Statistics 3 Biometrika 3 Journal of the American Statistical Association 3 The Annals of Applied Statistics 3 Springer Series in Statistics 3 Springer Texts in Statistics 2 Advances in Applied Probability 2 Probability and Mathematical Statistics 2 Communications in Statistics. Stochastic Models 1 Scandinavian Journal of Statistics 1 Sankhyā. Series A. Methods and Techniques 1 Statistica Neerlandica 1 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 1 Statistical Science 1 Journal of Theoretical Probability 1 Stochastic Hydrology and Hydraulics 1 Proceedings of the National Academy of Sciences of the United States of America 1 Computational Statistics and Data Analysis 1 Journal of the Royal Statistical Society. Series B. Statistical Methodology 1 Probability in the Engineering and Informational Sciences 1 Methodology and Computing in Applied Probability 1 Brazilian Journal of Probability and Statistics 1 Journal of Forecasting 1 Journal of the Korean Statistical Society 1 Journal of Statistical Theory and Practice 1 Journal of Business and Economic Statistics 1 Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences 1 Chapman & Hall/CRC Handbooks of Modern Statistical Methods all top 5 Fields 130 Statistics (62-XX) 73 Probability theory and stochastic processes (60-XX) 14 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 13 Numerical analysis (65-XX) 10 General and overarching topics; collections (00-XX) 4 Geophysics (86-XX) 3 History and biography (01-XX) 2 Combinatorics (05-XX) 2 Convex and discrete geometry (52-XX) 2 Operations research, mathematical programming (90-XX) 2 Systems theory; control (93-XX) 1 Ordinary differential equations (34-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 131 Publications have been cited 4,512 times in 3,243 Documents Cited by ▼ Year ▼ Time series: theory and methods. 2nd ed. Zbl 0709.62080Brockwell, Peter J.; Davis, Richard A. 1,000 1991 Applications of innovation representations in time series analysis. Zbl 0673.62085Brockwell, P. J.; Davis, R. A. 261 1988 Time series: theory and methods. Zbl 0604.62083Brockwell, Peter J.; Davis, Richard A. 248 1987 Regular variation of GARCH processes. Zbl 1060.60033Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 173 2002 Introduction to time series and forecasting. 2nd ed. Zbl 0994.62085Brockwell, Peter J.; Davis, Richard A. 162 2002 Limit theory for moving averages of random variables with regularly varying tail probabilities. Zbl 0562.60026Davis, Richard; Resnick, Sidney 133 1985 Limit theory for the sample covariance and correlation functions of moving averages. Zbl 0605.62092Davis, Richard; Resnick, Sidney 122 1986 Structural break estimation for nonstationary time series models. Zbl 1118.62359Davis, Richard A.; Lee, Thomas C. M.; Rodriguez-Yam, Gabriel A. 107 2006 M-estimation for autoregression with infinite variance. Zbl 0801.62081Davis, Richard A.; Knight, Keith; Liu, Jian 102 1992 Point process and partial sum convergence for weakly dependent random variables with infinite variance. Zbl 0837.60017Davis, Richard A.; Hsing, Tailen 97 1995 The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092Davis, Richard A.; Mikosch, Thomas 96 1998 A characterization of multivariate regular variation. Zbl 1070.60011Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 80 2002 Time series: Theory and methods. 2nd printing of the 1991 2nd ed. Zbl 1169.62074Brockwell, Peter J.; Davis, Richard A. 74 2009 Testing for a change in the parameter values and order of an autoregressive model. Zbl 0822.62072Davis, Richard A.; Huang, Dawei; Yao, Yi-Ching 66 1995 Observation-driven models for Poisson counts. Zbl 1436.62418Davis, Richard A.; Dunsmuir, William T. M.; Streett, Sarah B. 65 2003 The extremogram: a correlogram for extreme events. Zbl 1200.62104Davis, Richard A.; Mikosch, Thomas 61 2009 Tail estimates motivated by extreme value theory. Zbl 0555.62035Davis, Richard; Resnick, Sidney 56 1984 Introduction to time series and forecasting. Zbl 0868.62067Brockwell, Peter J.; Davis, Richard A. 56 1996 Limit theory for bilinear processes with heavy-tailed noise. Zbl 0879.60053Davis, Richard A.; Resnick, Sidney I. 52 1996 On autocorrelation in a Poisson regression model. Zbl 0956.62075Davis, Richard A.; Dunsmuir, William T. M.; Wang, Ying 51 2000 Basic properties and prediction of max-ARMA processes. Zbl 0716.62098Davis, Richard A.; Resnick, Sidney I. 49 1989 A negative binomial model for time series of counts. Zbl 1170.62062Davis, Richard A.; Wu, Rongning 43 2009 Theory and inference for a class of nonlinear models with application to time series of counts. Zbl 1356.62137Davis, Richard A.; Liu, Heng 43 2016 More limit theory for the sample correlation function of moving averages. Zbl 0572.62075Davis, Richard; Resnick, Sidney 38 1985 Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes. Zbl 1168.62077Andrews, Beth; Calder, Matthew; Davis, Richard A. 38 2009 Introduction to time series and forecasting. 3rd edition. Zbl 1355.62001Brockwell, Peter J.; Davis, Richard A. 37 2016 Stable limits for partial sums of dependent random variables. Zbl 0511.60021Davis, Richard A. 34 1983 Estimation for nonnegative Lévy-driven Ornstein-Uhlenbeck processes. Zbl 1513.62162Brockwell, Peter J.; Davis, Richard A.; Yang, Yu 34 2007 Self-excited threshold Poisson autoregression. Zbl 1367.62267Wang, Chao; Liu, Heng; Yao, Jian-Feng; Davis, Richard A.; Li, Wai Keung 34 2014 Least absolute deviation estimation for regression with ARMA errors. Zbl 0883.62097Davis, Richard A.; Dunsmuir, William T. M. 34 1997 Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution. Zbl 0657.60028Davis, Richard; Resnick, Sidney 31 1988 Modeling time series of count data. Zbl 1069.62540Davis, Richard A.; Wang, Ying; Dunsmuir, William T. M. 29 1999 Gauss-Newton and M-estimation for ARMA processes with infinite variance. Zbl 0902.62102Davis, R. A. 28 1996 Maxima and minima of stationary sequences. Zbl 0401.60019Davis, Richard A. 28 1979 Estimation for non-negative Lévy-driven CARMA processes. Zbl 1214.62091Brockwell, Peter J.; Davis, Richard A.; Yang, Yu 28 2011 Least absolute deviation estimation for all-pass time series models. Zbl 1012.62094Breidt, F. Jay; Davis, Richard A.; Trindade, A. Alexandre 27 2001 Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040Davis, Richard A.; Mikosch, Thomas 27 2008 Break detection for a class of nonlinear time series models. Zbl 1199.62006Davis, Richard A.; Lee, Thomas C. M.; Rodriguez-Yam, Gabriel A. 26 2008 Maximum likelihood estimation for all-pass time series models. Zbl 1102.62091Andrews, Beth; Davis, Richard A.; Breidt, F. Jay 23 2006 Prediction of stationary max-stable processes. Zbl 0779.60048Davis, Richard A.; Resnick, Sidney I. 23 1993 Extreme value theory for GARCH processes. Zbl 1178.62094Davis, Richard A.; Mikosch, Thomas 23 2009 Estimation for first-order autoregressive processes with positive or bounded innovations. Zbl 0692.62070Davis, Richard A.; McCormick, William P. 22 1989 Continuous-time Gaussian autoregression. Zbl 1145.62070Brockwell, Peter J.; Davis, Richard A.; Yang, Yu. 22 2007 Measures of serial extremal dependence and their estimation. Zbl 1294.60076Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei 22 2013 Time-reversibility, identifiability and independence of innovations for stationary time series. Zbl 0753.62058Breidt, F. J.; Davis, R. A. 21 1992 Extremes of moving averages of random variables with finite endpoint. Zbl 0726.60038Davis, Richard A.; Resnick, Sidney I. 21 1991 Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038Davis, Richard A.; Mikosch, Thomas 21 2001 Extremes of stochastic volatility models. Zbl 1178.62112Davis, Richard A.; Mikosch, Thomas 21 2009 Maximum likelihood estimation for noncausal autoregressive processes. Zbl 0711.62072Breidt, F. Jay; Davis, Richard A.; Lii, Keh-Shin; Rosenblatt, Murray 20 1991 Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor 20 2012 Statistical inference for max-stable processes in space and time. Zbl 1411.60071Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 19 2013 Nonstandard regular variation of in-degree and out-degree in the preferential attachment model. Zbl 1343.60138Samorodnitsky, Gennady; Resnick, Sidney; Towsley, Don; Davis, Richard; Willis, Amy; Wan, Phyllis 19 2016 Comments on pairwise likelihood in time series models. Zbl 1206.62146Davis, Richard A.; Yau, Chun Yip 19 2011 Simple consistent estimation of the coefficients of a linear filter. Zbl 0637.62087Brockwell, P. J.; Davis, R. A. 18 1988 The pairwise beta distribution: A flexible parametric multivariate model for extremes. Zbl 1203.62104Cooley, Daniel; Davis, Richard A.; Naveau, Philippe 18 2010 The sample ACF of a simple bilinear process. Zbl 0997.60012Basrak, B.; Davis, R. A.; Mikosch, T. 18 1999 Applications of distance correlation to time series. Zbl 1414.62357Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis 17 2018 Max-stable processes for modeling extremes observed in space and time. Zbl 1294.62118Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 17 2013 Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series. Zbl 1384.60023Davis, Richard A.; Heiny, Johannes; Mikosch, Thomas; Xie, Xiaolei 17 2016 The asymptotic behavior of the likelihood ratio statistic for testing a shift in mean in a sequence of independent normal variates. Zbl 0691.62026Yao, Yi-Ching; Davis, Richard A. 15 1986 Handbook of discrete-valued time series. Zbl 1331.62003 15 2015 Extremes in autoregressive processes with uniform marginal distributions. Zbl 0503.62021Chernick, Michael R.; Davis, Richard A. 14 1982 Limit laws for the maximum and minimum of stationary sequences. Zbl 0476.60024Davis, Richard A. 14 1982 The convex hull of a random sample in \({\mathbb{R}}^ 2\). Zbl 0621.60014Davis, R.; Mulrow, E.; Resnick, S. 13 1987 Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004 13 2009 Estimation for state-space models based on a likelihood approximation. Zbl 1070.62070Davis, Richard A.; Rodriguez-Yam, Gabriel 13 2005 Probabilistic properties of stochastic volatility models. Zbl 1200.62129Davis, Richard A.; Mikosch, Thomas 13 2009 Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails. Zbl 1284.60016Davis, Richard A.; Pfaffel, Oliver; Stelzer, Robert 12 2014 Maximum likelihood estimation for an observation driven model for Poisson counts. Zbl 1078.62091Davis, Richard A.; Dunsmuir, William T. M.; Streett, Sarah B. 12 2005 The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556Davis, Richard A.; Mikosch, Thomas 12 1999 Almost sure limit sets of random samples in \(\mathbb{R}^d\). Zbl 0656.60026Davis, Richard A.; Mulrow, Edward; Resnick, Sidney I. 11 1988 Parameter estimation in low order fractionally differenced ARMA processes. Zbl 0687.62079Boes, D. C.; Davis, R. A.; Gupta, S. N. 11 1989 Fitting the linear preferential attachment model. Zbl 1387.62074Wan, Phyllis; Wang, Tiandong; Davis, Richard A.; Resnick, Sidney I. 11 2017 Maximum and minimum of one-dimensional diffusions. Zbl 0487.60067Davis, Richard A. 11 1982 Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. Zbl 1331.60017Davis, Richard A.; Mikosch, Thomas; Pfaffel, Oliver 11 2016 Extremes of stochastic volatility models. Zbl 0941.60069Breidt, F. Jay; Davis, Richard A. 10 1998 Improved bootstrap prediction intervals for autoregressions. Zbl 0813.62084Breidt, F. Jay; Davis, Richard A.; Dunsmuir, William T. M. 10 1995 Least absolute deviation estimation for general autoregressive moving average time-series models. Zbl 1222.62111Wu, Rongning; Davis, Richard A. 10 2010 Bootstrapping \(M\)-estimates in regression and autoregression with infinite variance. Zbl 1045.62516Davis, Richard A.; Wu, Wei 10 1997 Inference on the tail process with application to financial time series modeling. Zbl 1452.62759Davis, Richard A.; Drees, Holger; Segers, Johan; Warchoł, Michał 8 2018 Are extreme value estimation methods useful for network data? Zbl 1460.62085Wan, Phyllis; Wang, Tiandong; Davis, Richard A.; Resnick, Sidney I. 8 2020 Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data. Zbl 1257.62118Cooley, Daniel; Davis, Richard A.; Naveau, Philippe 8 2012 Consistency of minimum description length model selection for piecewise stationary time series models. Zbl 1337.62254Davis, Richard A.; Yau, Chun Yip 8 2013 Inference for linear processes with stable noise. Zbl 0922.62086Calder, M.; Davis, R. A. 8 1998 On almost sure behavior of change-point estimators. Zbl 1163.62317Yao, Yi-Ching; Huang, Dawei; Davis, Richard 8 1994 Rank-based estimation for all-pass time series models. Zbl 1117.62089Andrews, Beth; Davis, Richard A.; Breidt, F. Jay 8 2007 Model identification for infinite variance autoregressive processes. Zbl 1443.62239Andrews, Beth; Davis, Richard A. 8 2013 The asymptotic distribution of the maxima of a Gaussian random field on a lattice. Zbl 1329.60096French, Joshua P.; Davis, Richard A. 7 2013 Semiparametric estimation for isotropic max-stable space-time processes. Zbl 1434.62183Buhl, Sven; Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 6 2019 Inference for \(MA(1)\) processes with a root on or near the unit circle. Zbl 0847.62075Davis, Richard A.; Chen, Meiching; Dunsmuir, William T. M. 6 1995 Asymptotic properties of the empirical spatial extremogram. Zbl 1468.62284Cho, Yong Bum; Davis, Richard A.; Ghosh, Souvik 6 2016 \(M\)-estimation for linear regression with infinite variance. Zbl 0876.62055Davis, Richard A.; Wu, Wei 6 1997 Limit laws for upper and lower extremes from stationary mixing sequences. Zbl 0518.62021Davis, Richard A. 5 1983 Likelihood inference for discriminating between long-memory and change-point models. Zbl 1282.62208Yau, Chun Yip; Davis, Richard A. 5 2012 Sparse seasonal and periodic vector autoregressive modeling. Zbl 1467.62011Baek, Changryong; Davis, Richard A.; Pipiras, Vladas 5 2017 ITSM: An interactive time series modelling package for the PC. Written in collaboration with R. J. Hyndman. Including floppy disks. Zbl 0714.62080Brockwell, Peter J.; Davis, Richard A. 5 1991 The rate of convergence in distribution of the maxima. Zbl 0476.62021Davis, Richard A. 5 1982 Heavy-tailed distributions, correlations, kurtosis and Taylor’s law of fluctuation scaling. Zbl 1472.60030Cohen, Joel E.; Davis, Richard A.; Samorodnitsky, Gennady 5 2020 Unit roots in moving averages beyond first order. Zbl 1246.62183Davis, Richard A.; Song, Li 4 2011 A class of stochastic volatility models for environmental applications. Zbl 1294.62203Huang, Wenying; Wang, Ke; Breidt, F. Jay; Davis, Richard A. 4 2011 Goodness-of-fit testing for time series models via distance covariance. Zbl 07491146Wan, Phyllis; Davis, Richard A. 2 2022 Count time series: a methodological review. Zbl 1510.62356Davis, Richard A.; Fokianos, Konstantinos; Holan, Scott H.; Joe, Harry; Livsey, James; Lund, Robert; Pipiras, Vladas; Ravishanker, Nalini 2 2021 Indirect inference for time series using the empirical characteristic function and control variates. Zbl 1476.62181Davis, Richard A.; do Rêgo Sousa, Thiago; Klüppelberg, Claudia 1 2021 Are extreme value estimation methods useful for network data? Zbl 1460.62085Wan, Phyllis; Wang, Tiandong; Davis, Richard A.; Resnick, Sidney I. 8 2020 Heavy-tailed distributions, correlations, kurtosis and Taylor’s law of fluctuation scaling. Zbl 1472.60030Cohen, Joel E.; Davis, Richard A.; Samorodnitsky, Gennady 5 2020 Extreme value analysis without the largest values: what can be done? Zbl 1440.62174Zou, Jingjing; Davis, Richard A.; Samorodnitsky, Gennady 3 2020 Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes. Zbl 1466.60116Davis, Richard A.; Nielsen, Mikkel Slot; Rohde, Victor 1 2020 Noncausal vector AR processes with application to economic time series. Zbl 1456.62186Davis, Richard A.; Song, Li 1 2020 Semiparametric estimation for isotropic max-stable space-time processes. Zbl 1434.62183Buhl, Sven; Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 6 2019 Threshold selection for multivariate heavy-tailed data. Zbl 1418.62220Wan, Phyllis; Davis, Richard A. 3 2019 Applications of distance correlation to time series. Zbl 1414.62357Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis 17 2018 Inference on the tail process with application to financial time series modeling. Zbl 1452.62759Davis, Richard A.; Drees, Holger; Segers, Johan; Warchoł, Michał 8 2018 Periodic dynamic factor models: estimation approaches and applications. Zbl 1409.62167Baek, Changryong; Davis, Richard A.; Pipiras, Vladas 3 2018 Semi-parametric estimation for non-Gaussian non-minimum phase ARMA models. Zbl 1416.62482Davis, Richard A.; Zhang, Jing 1 2018 Fitting the linear preferential attachment model. Zbl 1387.62074Wan, Phyllis; Wang, Tiandong; Davis, Richard A.; Resnick, Sidney I. 11 2017 Sparse seasonal and periodic vector autoregressive modeling. Zbl 1467.62011Baek, Changryong; Davis, Richard A.; Pipiras, Vladas 5 2017 Theory and inference for a class of nonlinear models with application to time series of counts. Zbl 1356.62137Davis, Richard A.; Liu, Heng 43 2016 Introduction to time series and forecasting. 3rd edition. Zbl 1355.62001Brockwell, Peter J.; Davis, Richard A. 37 2016 Nonstandard regular variation of in-degree and out-degree in the preferential attachment model. Zbl 1343.60138Samorodnitsky, Gennady; Resnick, Sidney; Towsley, Don; Davis, Richard; Willis, Amy; Wan, Phyllis 19 2016 Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series. Zbl 1384.60023Davis, Richard A.; Heiny, Johannes; Mikosch, Thomas; Xie, Xiaolei 17 2016 Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. Zbl 1331.60017Davis, Richard A.; Mikosch, Thomas; Pfaffel, Oliver 11 2016 Asymptotic properties of the empirical spatial extremogram. Zbl 1468.62284Cho, Yong Bum; Davis, Richard A.; Ghosh, Souvik 6 2016 On consistency of minimum description length model selection for piecewise autoregressions. Zbl 1443.62250Davis, Richard A.; Hancock, Stacey A.; Yao, Yi-Ching 2 2016 A Bayesian semi-parametric approach to extreme regime identification. Zbl 1359.62080Ferraz do Nascimento, Fernando; Gamerman, Dani; Davis, Richard 1 2016 Handbook of discrete-valued time series. Zbl 1331.62003 15 2015 Self-excited threshold Poisson autoregression. Zbl 1367.62267Wang, Chao; Liu, Heng; Yao, Jian-Feng; Davis, Richard A.; Li, Wai Keung 34 2014 Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails. Zbl 1284.60016Davis, Richard A.; Pfaffel, Oliver; Stelzer, Robert 12 2014 Measures of serial extremal dependence and their estimation. Zbl 1294.60076Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei 22 2013 Statistical inference for max-stable processes in space and time. Zbl 1411.60071Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 19 2013 Max-stable processes for modeling extremes observed in space and time. Zbl 1294.62118Davis, Richard A.; Klüppelberg, Claudia; Steinkohl, Christina 17 2013 Consistency of minimum description length model selection for piecewise stationary time series models. Zbl 1337.62254Davis, Richard A.; Yau, Chun Yip 8 2013 Model identification for infinite variance autoregressive processes. Zbl 1443.62239Andrews, Beth; Davis, Richard A. 8 2013 The asymptotic distribution of the maxima of a Gaussian random field on a lattice. Zbl 1329.60096French, Joshua P.; Davis, Richard A. 7 2013 Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor 20 2012 Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data. Zbl 1257.62118Cooley, Daniel; Davis, Richard A.; Naveau, Philippe 8 2012 Likelihood inference for discriminating between long-memory and change-point models. Zbl 1282.62208Yau, Chun Yip; Davis, Richard A. 5 2012 Functional convergence of stochastic integrals with application to statistical inference. Zbl 1252.60050Davis, Richard A.; Song, Li 2 2012 Estimation for non-negative Lévy-driven CARMA processes. Zbl 1214.62091Brockwell, Peter J.; Davis, Richard A.; Yang, Yu 28 2011 Comments on pairwise likelihood in time series models. Zbl 1206.62146Davis, Richard A.; Yau, Chun Yip 19 2011 Unit roots in moving averages beyond first order. Zbl 1246.62183Davis, Richard A.; Song, Li 4 2011 A class of stochastic volatility models for environmental applications. Zbl 1294.62203Huang, Wenying; Wang, Ke; Breidt, F. Jay; Davis, Richard A. 4 2011 Selected Works of Murray Rosenblatt. Edited by Richard A. Davis, Keh-Shin Lii and Dimitris N. Politis. Zbl 1232.60004Rosenblatt, Murray 2 2011 Discussion of: “A statistical analysis of multiple temperature proxies: are reconstructions of surface temperatures over the last 1000 years reliable?”. Zbl 1454.62440Davis, Richard A.; Liu, Jingchen 2 2011 Inference for regression models with errors from a non-invertible MA(1) process. Zbl 1217.91141Chen, Mei-Ching; Davis, Richard A.; Song, Li 2 2011 The pairwise beta distribution: A flexible parametric multivariate model for extremes. Zbl 1203.62104Cooley, Daniel; Davis, Richard A.; Naveau, Philippe 18 2010 Least absolute deviation estimation for general autoregressive moving average time-series models. Zbl 1222.62111Wu, Rongning; Davis, Richard A. 10 2010 Time series: Theory and methods. 2nd printing of the 1991 2nd ed. Zbl 1169.62074Brockwell, Peter J.; Davis, Richard A. 74 2009 The extremogram: a correlogram for extreme events. Zbl 1200.62104Davis, Richard A.; Mikosch, Thomas 61 2009 A negative binomial model for time series of counts. Zbl 1170.62062Davis, Richard A.; Wu, Rongning 43 2009 Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes. Zbl 1168.62077Andrews, Beth; Calder, Matthew; Davis, Richard A. 38 2009 Extreme value theory for GARCH processes. Zbl 1178.62094Davis, Richard A.; Mikosch, Thomas 23 2009 Extremes of stochastic volatility models. Zbl 1178.62112Davis, Richard A.; Mikosch, Thomas 21 2009 Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004 13 2009 Probabilistic properties of stochastic volatility models. Zbl 1200.62129Davis, Richard A.; Mikosch, Thomas 13 2009 Autoregressive processes with data-driven regime switching. Zbl 1224.62061Kamgaing, Joseph Tadjuidje; Ombao, Hernando; Davis, Richard A. 4 2009 A conversation with Murray Rosenblatt. Zbl 1327.01036Brillinger, David R.; Davis, Richard A. 1 2009 Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040Davis, Richard A.; Mikosch, Thomas 27 2008 Break detection for a class of nonlinear time series models. Zbl 1199.62006Davis, Richard A.; Lee, Thomas C. M.; Rodriguez-Yam, Gabriel A. 26 2008 Estimation for nonnegative Lévy-driven Ornstein-Uhlenbeck processes. Zbl 1513.62162Brockwell, Peter J.; Davis, Richard A.; Yang, Yu 34 2007 Continuous-time Gaussian autoregression. Zbl 1145.62070Brockwell, Peter J.; Davis, Richard A.; Yang, Yu. 22 2007 Rank-based estimation for all-pass time series models. Zbl 1117.62089Andrews, Beth; Davis, Richard A.; Breidt, F. Jay 8 2007 Structural break estimation for nonstationary time series models. Zbl 1118.62359Davis, Richard A.; Lee, Thomas C. M.; Rodriguez-Yam, Gabriel A. 107 2006 Maximum likelihood estimation for all-pass time series models. Zbl 1102.62091Andrews, Beth; Davis, Richard A.; Breidt, F. Jay 23 2006 Pile-up probabilities for the Laplace likelihood estimator of a non-invertible first order moving average. Zbl 1268.62107Breidt, F. Jay; Davis, Richard A.; Hsu, Nan-Jung; Rosenblatt, Murray 3 2006 Estimation for state-space models based on a likelihood approximation. Zbl 1070.62070Davis, Richard A.; Rodriguez-Yam, Gabriel 13 2005 Maximum likelihood estimation for an observation driven model for Poisson counts. Zbl 1078.62091Davis, Richard A.; Dunsmuir, William T. M.; Streett, Sarah B. 12 2005 Asymptotic properties of some subset vector autoregressive process estimators. Zbl 1074.62054Brockwell, Peter J.; Davis, Richard A.; Trindade, A. Alexandre 1 2004 Observation-driven models for Poisson counts. Zbl 1436.62418Davis, Richard A.; Dunsmuir, William T. M.; Streett, Sarah B. 65 2003 Regular variation of GARCH processes. Zbl 1060.60033Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 173 2002 Introduction to time series and forecasting. 2nd ed. Zbl 0994.62085Brockwell, Peter J.; Davis, Richard A. 162 2002 A characterization of multivariate regular variation. Zbl 1070.60011Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 80 2002 Least absolute deviation estimation for all-pass time series models. Zbl 1012.62094Breidt, F. Jay; Davis, Richard A.; Trindade, A. Alexandre 27 2001 Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038Davis, Richard A.; Mikosch, Thomas 21 2001 The sample autocorrelations of financial time series models. Zbl 1053.62565Davis, Richard A.; Mikosch, Thomas 1 2001 On autocorrelation in a Poisson regression model. Zbl 0956.62075Davis, Richard A.; Dunsmuir, William T. M.; Wang, Ying 51 2000 Modeling time series of count data. Zbl 1069.62540Davis, Richard A.; Wang, Ying; Dunsmuir, William T. M. 29 1999 The sample ACF of a simple bilinear process. Zbl 0997.60012Basrak, B.; Davis, R. A.; Mikosch, T. 18 1999 The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556Davis, Richard A.; Mikosch, Thomas 12 1999 The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092Davis, Richard A.; Mikosch, Thomas 96 1998 Extremes of stochastic volatility models. Zbl 0941.60069Breidt, F. Jay; Davis, Richard A. 10 1998 Inference for linear processes with stable noise. Zbl 0922.62086Calder, M.; Davis, R. A. 8 1998 Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise. Zbl 0926.62078Davis, Richard A.; Mikosch, Thomas 3 1998 Least absolute deviation estimation for regression with ARMA errors. Zbl 0883.62097Davis, Richard A.; Dunsmuir, William T. M. 34 1997 Bootstrapping \(M\)-estimates in regression and autoregression with infinite variance. Zbl 1045.62516Davis, Richard A.; Wu, Wei 10 1997 \(M\)-estimation for linear regression with infinite variance. Zbl 0876.62055Davis, Richard A.; Wu, Wei 6 1997 Introduction to time series and forecasting. Zbl 0868.62067Brockwell, Peter J.; Davis, Richard A. 56 1996 Limit theory for bilinear processes with heavy-tailed noise. Zbl 0879.60053Davis, Richard A.; Resnick, Sidney I. 52 1996 Gauss-Newton and M-estimation for ARMA processes with infinite variance. Zbl 0902.62102Davis, R. A. 28 1996 Order determination for multivariate autoregressive processes using resampling methods. Zbl 0877.62082Chen, Changhua; Davis, Richard A.; Brockwell, Peter J. 2 1996 Point process and partial sum convergence for weakly dependent random variables with infinite variance. Zbl 0837.60017Davis, Richard A.; Hsing, Tailen 97 1995 Testing for a change in the parameter values and order of an autoregressive model. Zbl 0822.62072Davis, Richard A.; Huang, Dawei; Yao, Yi-Ching 66 1995 Improved bootstrap prediction intervals for autoregressions. Zbl 0813.62084Breidt, F. Jay; Davis, Richard A.; Dunsmuir, William T. M. 10 1995 Inference for \(MA(1)\) processes with a root on or near the unit circle. Zbl 0847.62075Davis, Richard A.; Chen, Meiching; Dunsmuir, William T. M. 6 1995 On permissible correlations for locally correlated stationary processes. Zbl 0813.62077Donahue, Rafe M. J.; Brockwell, Peter J.; Davis, Richard A. 1 1995 On almost sure behavior of change-point estimators. Zbl 1163.62317Yao, Yi-Ching; Huang, Dawei; Davis, Richard 8 1994 ITSM for Windows. A user’s guide to time series modelling and forecasting. Incl. 1 disk. Zbl 0801.62079Brockwell, Peter J.; Davis, Richard A. 1 1994 Prediction of stationary max-stable processes. Zbl 0779.60048Davis, Richard A.; Resnick, Sidney I. 23 1993 Order determination for autoregressive processes using resampling methods. Zbl 0822.62071Chen, Changhua; Davis, Richard A.; Brockwell, Peter J.; Bai, Zhi Dong 2 1993 M-estimation for autoregression with infinite variance. Zbl 0801.62081Davis, Richard A.; Knight, Keith; Liu, Jian 102 1992 Time-reversibility, identifiability and independence of innovations for stationary time series. Zbl 0753.62058Breidt, F. J.; Davis, R. A. 21 1992 ...and 31 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,679 Authors 64 Davis, Richard A. 59 Mikosch, Thomas 40 Resnick, Sidney Ira 37 Lee, Sangyeol 33 Politis, Dimitris Nicolas 29 Kokoszka, Piotr S. 29 Samorodnitsky, Gennady Pinkhosovich 28 Horváth, Lajos 28 Klüppelberg, Claudia 26 Paparoditis, Efstathios 24 Zhang, Rongmao 23 Francq, Christian 23 Lund, Robert B. 22 Hashorva, Enkelejd 21 Brockwell, Peter J. 20 Chan, Ngai Hang 19 Ling, Shiqing 19 McElroy, Tucker S. 19 Schmid, Wolfgang 18 Hallin, Marc 18 Wang, Dehui 18 Zhu, Fukang 17 Fokianos, Konstantinos 17 Kulik, Rafał 17 Taqqu, Murad S. 16 Basawa, Ishwar V. 16 Soulier, Philippe 15 Peng, Liang 15 Yau, Chun Yip 14 Soltani, Ahmad Reza 14 Wu, Rongning 14 Zakoïan, Jean-Michel 13 Dette, Holger 13 Fasen, Vicky 13 Stelzer, Robert 13 Weiß, Christian H. 12 Aue, Alexander 12 Basrak, Bojan 12 Heiny, Johannes 12 Hidalgo, Javier 12 Hušková, Marie 12 Meerschaert, Mark Marvin 12 Pipiras, Vladas 12 Tjøstheim, Dag B. 12 Wintenberger, Olivier 12 Zhang, Zhengjun 11 Bondon, Pascal 11 Ferreira, Helena 11 Hill, Jonathan B. 11 Krizmanić, Danijel 11 Li, Qi 11 Lindner, Alexander M. 11 Palma, Wilfredo 11 Scotto, Manuel González 11 Wang, Tiandong 11 Wu, Wei Biao 10 Drees, Holger 10 Jentsch, Carsten 10 Kirch, Claudia 10 Mainassara, Yacouba Boubacar 10 Nematollahi, A. R. 10 Peiris, M. Shelton 10 Segers, Johan 10 Shin, Dongwan 10 Veraart, Almut E. D. 10 Yang, Kai 9 Aknouche, Abdelhakim 9 Baek, Changryong 9 Chen, Cathy W. S. 9 Cui, Yunwei 9 Dahlhaus, Rainer 9 Duchesne, Pierre 9 Ferreira, Marta 9 Fryzlewicz, Piotr 9 Hsing, Tailen 9 Kreiß, Jens-Peter 9 Li, Han 9 Maleki, Mohsen 9 Matsui, Muneya 9 Meintanis, Simos G. 9 Nadarajah, Saralees 9 Schlather, Martin 9 Stoev, Stilian A. 9 Tang, Qihe 9 Tawn, Jonathan A. 9 Yao, Qiwei 9 You, Jinhong 8 Bose, Arup 8 Bosq, Denis 8 Breidt, F. Jay 8 Damek, Ewa 8 Hu, Xuemei 8 Inoue, Akihiko 8 Jirak, Moritz 8 Kakizawa, Yoshihide 8 Li, Wai Keung 8 Lopes, Sílvia R. C. 8 McCormick, William P. 8 Morettin, Pedro Alberto 8 Ombao, Hernando C. ...and 3,579 more Authors all top 5 Cited in 316 Serials 201 Journal of Time Series Analysis 168 Statistics & Probability Letters 149 Communications in Statistics. 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