Edit Profile (opens in new tab) Tsay, Ruey S. Co-Author Distance Author ID: tsay.ruey-s Published as: Tsay, Ruey S.; Tsay, R. S. External Links: MGP Documents Indexed: 93 Publications since 1983, including 7 Books 4 Contributions as Editor Co-Authors: 64 Co-Authors with 73 Joint Publications 1,413 Co-Co-Authors all top 5 Co-Authors 22 single-authored 9 Tiao, George C. 7 Chen, Rong 7 Peña, Daniel 6 McCulloch, Robert Edward 4 Ando, Tomohiro 3 Chan, Kung-Sik 3 Gao, Zhaoxing 3 Hsu, Nan-Jung 3 Huang, Hsin-Cheng 2 Chan, Ngai Hang 2 Han, Yuefeng 2 Li, Hong 2 Ling, Shiqing 2 Lopes, Hedibert Freitas 2 Min, Wanli 2 Ray, Bonnie K. 2 Tsai, Henghsiu 2 Wang, Yongning 1 Brockwell, Peter John 1 Chang, Changgee 1 Chen, Cathy W. S. 1 Chen, Chung 1 Chen, Elynn Y. 1 Chen, Songxi 1 Chen, Yiting 1 Chen, You-Lin 1 Cheng, Ching-Wei 1 Chu, Yea-Jane 1 Creal, Drew D. 1 Deb, Soudeep 1 Galeano, Pedro 1 Granger, Clive William John 1 Hall, Stephen G. F. 1 Hotta, Luiz Koodi 1 Huang, Shih-Hao 1 Hwang, Synian 1 Justel, Ana 1 Kao, Tzu-Chieh 1 Kariya, Takeaki 1 Kolar, Mladen 1 Ledolter, Johannes 1 Li, Wai Keung 1 Lin, Edward M. H. 1 Lin, Jin-Lung 1 Liou, R. W. 1 Liu, Jun S. 1 Man, K. S. 1 Mao, Ching-Sheng 1 Matteson, David S. 1 Montgomery, Alan L. 1 Pan, Guangming 1 Pankratz, Alan E. 1 Pourahmadi, Mohsen 1 Roberts, Harry V. 1 Russell, Jeffrey R. 1 Schervish, Mark J. 1 Shrestha, Keshab M. 1 Sim, Lai Heng 1 Terui, Nobuhiko 1 Tong, Howell 1 Wang, Taychang 1 Waung, W. Y.-Y. 1 Wikle, Christopher K. 1 Yang, Yaxing 1 Yao, Qiwei 1 Yeh, Jin-Huei 1 Zarnowitz, Victor 1 Zhang, Michael Yuanjie all top 5 Serials 15 Journal of the American Statistical Association 13 Statistica Sinica 9 Journal of Time Series Analysis 7 Biometrika 6 Wiley Series in Probability and Statistics 5 Journal of Econometrics 4 The Annals of Statistics 3 Journal of Forecasting 2 Journal of Statistical Planning and Inference 2 Statistical Science 2 Econometric Reviews 2 Communications in Statistics. Theory and Methods 2 Journal of Computational and Graphical Statistics 1 International Statistical Review 1 Sankhyā. Series B. Methodological 1 Journal of the Royal Statistical Society. Series C 1 The Annals of Applied Probability 1 Journal of the Royal Statistical Society. Series B 1 Computational Statistics and Data Analysis 1 Test 1 Bernoulli 1 Journal of Nonparametric Statistics 1 Studies in Nonlinear Dynamics and Econometrics 1 The Econometrics Journal 1 Applied Stochastic Models in Business and Industry 1 Statistics and Its Interface 1 Journal of Business and Economic Statistics 1 Journal of Agricultural, Biological, and Environmental Statistics all top 5 Fields 94 Statistics (62-XX) 23 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Numerical analysis (65-XX) 5 Probability theory and stochastic processes (60-XX) 4 General and overarching topics; collections (00-XX) 2 Computer science (68-XX) 2 Systems theory; control (93-XX) 1 History and biography (01-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 76 Publications have been cited 1,960 times in 1,633 Documents Cited by ▼ Year ▼ Analysis of financial time series. 2nd ed. Zbl 1086.91054 Tsay, Ruey S. 214 2005 Functional-coefficient autoregressive models. Zbl 0776.62066 Chen, Rong; Tsay, Ruey S. 169 1993 Analysis of financial time series. 3rd ed. Zbl 1209.91004 Tsay, Ruey S. 161 2010 Testing and modeling threshold autoregressive processes. Zbl 0683.62050 Tsay, Ruey S. 106 1989 Analysis of financial time series. Zbl 1037.91080 Tsay, Ruey S. 100 2002 Testing and modeling multivariate threshold models. Zbl 1063.62578 Tsay, Ruey S. 79 1998 Model specification in multivariate time series. Zbl 0693.62071 Tiao, George C.; Tsay, Ruey S. 77 1989 Nonlinearity tests for time series. Zbl 0603.62097 Tsay, Ruey S. 65 1986 A nonlinear autoregressive conditional duration model with applications to financial transaction data. Zbl 1108.62336 Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S. 61 2001 Outliers in multivariate time series. Zbl 1028.62073 Tsay, Ruey S.; Peña, Daniel; Pankratz, Alan E. 56 2000 Limiting properties of the least squares estimator of a continuous threshold autoregressive model. Zbl 0938.62089 Chan, K. S.; Tsay, Ruey S. 54 1998 Multivariate time series analysis. With R and financial applications. Zbl 1279.62012 Tsay, Ruey S. 47 2014 Conditional heteroscedastic time series models. Zbl 0636.62092 Tsay, Ruey S. 46 1987 Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models. Zbl 0537.62071 Tsay, Ruey S.; Tiao, George C. 38 1984 Bayesian analysis of autoregressive time series via the Gibbs sampler. Zbl 0800.62549 McCulloch, Robert E.; Tsay, Ruey S. 34 1994 Bayesian methods for change-point detection in long-range dependent processes. Zbl 1114.62092 Ray, Bonnie K.; Tsay, Ruey S. 34 2002 Particle filters and Bayesian inference in financial econometrics. Zbl 1217.91146 Lopes, Hedibert F.; Tsay, Ruey S. 33 2011 Bayesian inference and prediction for mean and variance shifts in autoregressive time series. Zbl 0800.62165 McCulloch, Robert E.; Tsay, Ruey S. 32 1993 Statistical analysis of economic time series via Markov switching models. Zbl 0807.62096 McCulloch, Robert E.; Tsay, Ruey S. 31 1994 Bandwidth selection for kernel regression with long-range dependent errors. Zbl 1090.62536 Ray, Bonnie K.; Tsay, Ruey S. 28 1997 Order selection in nonstationary autoregressive models. Zbl 0554.62075 Tsay, Ruey S. 26 1984 An introduction to analysis of financial data with R. Zbl 1279.91003 Tsay, Ruey S. 25 2013 Model checking via parametric bootstraps in time series analysis. Zbl 0825.62698 Tsay, R. S. 24 1992 Consistency properties of least squares estimates of autoregressive parameters in ARMA models. Zbl 0523.62076 Tiao, George C.; Tsay, Ruey S. 24 1983 Use of canonical analysis in time series model identification. Zbl 0576.62084 Tsay, Ruey S.; Tiao, George C. 24 1985 Asymptotic properties of multivariate nonstationary processes with applications to autoregressions. Zbl 0705.62082 Tsay, Ruey S.; Tiao, George C. 23 1990 Forecasting the U. S. unemployment rate. Zbl 0918.62091 Montgomery, Alan L.; Zarnowitz, Victor; Tsay, Ruey S.; Tiao, George C. 22 1998 High dimensional dynamic stochastic copula models. Zbl 1337.62115 Creal, Drew D.; Tsay, Ruey S. 22 2015 On the ergodicity of \(TAR(1)\) processes. Zbl 0795.93099 Chen, Rong; Tsay, Ruey S. 21 1991 Dynamic orthogonal components for multivariate time series. Zbl 1323.62086 Matteson, David S.; Tsay, Ruey S. 21 2011 Regression models with time series errors. Zbl 0533.62082 Tsay, Ruey S. 20 1984 Constrained factor models for high-dimensional matrix-variate time series. Zbl 1445.62143 Chen, Elynn Y.; Tsay, Ruey S.; Chen, Rong 16 2020 Additivity tests for nonlinear autoregression. Zbl 0823.62071 Chen, Rong; Liu, Jun S.; Tsay, Ruey S. 15 1995 Outlier detection in multivariate time series by projection pursuit. Zbl 1119.62360 Galeano, Pedro; Peña, Daniel; Tsay, Ruey S. 15 2006 Outliers in GARCH processes. Zbl 1260.91195 Hotta, Luiz K.; Tsay, Ruey S. 15 2012 Estimation of covariance matrix via the sparse Cholesky factor with lasso. Zbl 1233.62118 Chang, Changgee; Tsay, Ruey S. 12 2010 Quantile regression models with factor-augmented predictors and information criterion. Zbl 1218.62061 Ando, Tomohiro; Tsay, Ruey S. 11 2011 Detection of outlier patches in autoregressive time series. Zbl 0978.62081 Justel, Ana; Peña, Daniel; Tsay, Ruey S. 10 2001 Modelling structured correlation matrices. Zbl 1506.62305 Tsay, Ruey S.; Pourahmadi, Mohsen 10 2017 Constrained factor models. Zbl 1388.62179 Tsai, Henghsiu; Tsay, Ruey S. 10 2010 High-dimensional linear regression for dependent data with applications to nowcasting. Zbl 1464.62343 Han, Yuefeng; Tsay, Ruey S. 10 2020 Two canonical forms for vector ARMA processes. Zbl 0820.62076 Tsay, Ruey S. 9 1991 Detecting and modeling nonlinearity in univariate time series analysis. Zbl 0824.62085 Tsay, Ruey S. 8 1991 Identifying multivariate time series models. Zbl 0691.62080 Tsay, Ruey S. 8 1989 Nonlinear time series analysis. Zbl 1442.62002 Tsay, Ruey S.; Chen, Rong 8 2019 A unified approach to indentifying multivariate time series models. Zbl 0926.62083 Li, Hong; Tsay, Ruey S. 7 1998 A structural-factor approach to modeling high-dimensional time series and space-time data. Zbl 1412.62117 Gao, Zhaoxing; Tsay, Ruey S. 7 2019 A course in time series analysis. Lectures of the ECAS ’97, Madrid, Spain, September 15–19, 1997. Zbl 0960.62093 6 2001 Testing serial correlations in high-dimensional time series via extreme value theory. Zbl 1456.62222 Tsay, Ruey S. 5 2020 Statistical learning for big dependent data. Zbl 1465.62003 Peña, Daniel; Tsay, Ruey S. 5 2021 Parsimony inducing priors for large scale state-space models. Zbl 07557277 Lopes, Hedibert F.; McCulloch, Robert E.; Tsay, Ruey S. 5 2022 Multivariate volatility models. Zbl 1268.62137 Tsay, Ruey S. 4 2006 Model selection for generalized linear models with factor-augmented predictors. Zbl 1223.62129 Ando, Tomohiro; Tsay, Ruey S. 4 2009 Forecasting simultaneously high-dimensional time series: a robust model-based clustering approach. Zbl 1397.62235 Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; Shrestha, Keshab M. 4 2013 Nonlinear transfer functions. Zbl 0879.62079 Chen, Rong; Tsay, Ruey S. 3 1996 Asymptotic inference for non-invertible moving-average time series. Zbl 0835.62077 Chan, Ngai Hang; Tsay, Ruey S. 3 1996 Clustering multiple time series with structural breaks. Zbl 1419.62252 Wang, Yongning; Tsay, Ruey S. 3 2019 Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market. Zbl 1254.91626 Tsay, Ruey S.; Ando, Tomohiro 3 2012 High dimensional generalized linear models for temporal dependent data. Zbl 07634386 Han, Yuefeng; Tsay, Ruey S.; Wu, Wei Biao 3 2023 A time series approach to econometric models of Taiwan’s economy. (With comments and rejoinder). Zbl 0916.62088 Tiao, G. C.; Tsay, R. S.; Man, K. S.; Chu, Y. J.; Xu, K. K.; Chen, C.; Lin, J. L.; Hsu, C. M.; Lin, C. F.; Mao, C. S.; Ho, C. S.; Liou, R. W.; Yang, Y. F. 2 1998 Tests for multinormality with applications to time series. Zbl 0918.62052 Kariya, Takeaki; Tsay, Ruey S.; Terui, Nobuhiko; Li, Hong 2 1999 Usefulness of linear transformations in multivariate time-series analysis. Zbl 0825.62971 Tiao, George C.; Tsay, Ruey S.; Wang, Taychang 2 1994 On canonical analysis of multivariate time series. Zbl 1079.62065 Min, Wanli; Tsay, Ruey S. 2 2005 Nonlinearity in high-frequency financial data and hierarchical models. Zbl 1079.91553 McCulloch, Robert E.; Tsay, Ruey S. 2 2001 Doubly constrained factor models with applications. Zbl 1356.62078 Tsai, Henghsiu; Tsay, Ruey S.; Lin, Edward M. H.; Cheng, Ching-Wei 2 2016 Modeling high-dimensional time series: a factor model with dynamically dependent factors and diverging eigenvalues. Zbl 1506.62365 Gao, Zhaoxing; Tsay, Ruey S. 2 2022 Random aggregation with applications in high-frequency finance. Zbl 1217.91149 Tsay, Ruey S.; Yeh, Jin-Huei 1 2011 Discussion of “Feature matching in time series modeling” by Y. Xia and H. Tong. Zbl 1426.62256 Chan, Kung-Sik; Tsay, Ruey S. 1 2011 Bayesian modeling and forecasting in autoregressive models. Zbl 0725.62084 Schervish, Mark J.; Tsay, Ruey S. 1 1988 A predictive approach for selection of diffusion index models. Zbl 1491.62175 Ando, Tomohiro; Tsay, Ruey S. 1 2014 Time evolution of income distributions with subgroup decompositions. Zbl 1490.62430 Chen, Yi-Ting; Tsay, Ruey S. 1 2020 Tensor canonical correlation analysis with convergence and statistical guarantees. Zbl 07499913 Chen, You-Lin; Kolar, Mladen; Tsay, Ruey S. 1 2021 Matrix autoregressive spatio-temporal models. Zbl 07499942 Hsu, Nan-Jung; Huang, Hsin-Cheng; Tsay, Ruey S. 1 2021 Rate-optimal robust estimation of high-dimensional vector autoregressive models. Zbl 1539.62280 Wang, Di; Tsay, Ruey S. 1 2023 Testing independence between two spatial random fields. Zbl 07603059 Huang, Shih-Hao; Huang, Hsin-Cheng; Tsay, Ruey S.; Pan, Guangming 1 2021 Spatio-temporal models with space-time interaction and their applications to air pollution data. Zbl 1421.62156 Deb, Soudeep; Tsay, Ruey S. 1 2019 High dimensional generalized linear models for temporal dependent data. Zbl 07634386 Han, Yuefeng; Tsay, Ruey S.; Wu, Wei Biao 3 2023 Rate-optimal robust estimation of high-dimensional vector autoregressive models. Zbl 1539.62280 Wang, Di; Tsay, Ruey S. 1 2023 Parsimony inducing priors for large scale state-space models. Zbl 07557277 Lopes, Hedibert F.; McCulloch, Robert E.; Tsay, Ruey S. 5 2022 Modeling high-dimensional time series: a factor model with dynamically dependent factors and diverging eigenvalues. Zbl 1506.62365 Gao, Zhaoxing; Tsay, Ruey S. 2 2022 Statistical learning for big dependent data. Zbl 1465.62003 Peña, Daniel; Tsay, Ruey S. 5 2021 Tensor canonical correlation analysis with convergence and statistical guarantees. Zbl 07499913 Chen, You-Lin; Kolar, Mladen; Tsay, Ruey S. 1 2021 Matrix autoregressive spatio-temporal models. Zbl 07499942 Hsu, Nan-Jung; Huang, Hsin-Cheng; Tsay, Ruey S. 1 2021 Testing independence between two spatial random fields. Zbl 07603059 Huang, Shih-Hao; Huang, Hsin-Cheng; Tsay, Ruey S.; Pan, Guangming 1 2021 Constrained factor models for high-dimensional matrix-variate time series. Zbl 1445.62143 Chen, Elynn Y.; Tsay, Ruey S.; Chen, Rong 16 2020 High-dimensional linear regression for dependent data with applications to nowcasting. Zbl 1464.62343 Han, Yuefeng; Tsay, Ruey S. 10 2020 Testing serial correlations in high-dimensional time series via extreme value theory. Zbl 1456.62222 Tsay, Ruey S. 5 2020 Time evolution of income distributions with subgroup decompositions. Zbl 1490.62430 Chen, Yi-Ting; Tsay, Ruey S. 1 2020 Nonlinear time series analysis. Zbl 1442.62002 Tsay, Ruey S.; Chen, Rong 8 2019 A structural-factor approach to modeling high-dimensional time series and space-time data. Zbl 1412.62117 Gao, Zhaoxing; Tsay, Ruey S. 7 2019 Clustering multiple time series with structural breaks. Zbl 1419.62252 Wang, Yongning; Tsay, Ruey S. 3 2019 Spatio-temporal models with space-time interaction and their applications to air pollution data. Zbl 1421.62156 Deb, Soudeep; Tsay, Ruey S. 1 2019 Modelling structured correlation matrices. Zbl 1506.62305 Tsay, Ruey S.; Pourahmadi, Mohsen 10 2017 Doubly constrained factor models with applications. Zbl 1356.62078 Tsai, Henghsiu; Tsay, Ruey S.; Lin, Edward M. H.; Cheng, Ching-Wei 2 2016 High dimensional dynamic stochastic copula models. Zbl 1337.62115 Creal, Drew D.; Tsay, Ruey S. 22 2015 Multivariate time series analysis. With R and financial applications. Zbl 1279.62012 Tsay, Ruey S. 47 2014 A predictive approach for selection of diffusion index models. Zbl 1491.62175 Ando, Tomohiro; Tsay, Ruey S. 1 2014 An introduction to analysis of financial data with R. Zbl 1279.91003 Tsay, Ruey S. 25 2013 Forecasting simultaneously high-dimensional time series: a robust model-based clustering approach. Zbl 1397.62235 Wang, Yongning; Tsay, Ruey S.; Ledolter, Johannes; Shrestha, Keshab M. 4 2013 Outliers in GARCH processes. Zbl 1260.91195 Hotta, Luiz K.; Tsay, Ruey S. 15 2012 Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market. Zbl 1254.91626 Tsay, Ruey S.; Ando, Tomohiro 3 2012 Particle filters and Bayesian inference in financial econometrics. Zbl 1217.91146 Lopes, Hedibert F.; Tsay, Ruey S. 33 2011 Dynamic orthogonal components for multivariate time series. Zbl 1323.62086 Matteson, David S.; Tsay, Ruey S. 21 2011 Quantile regression models with factor-augmented predictors and information criterion. Zbl 1218.62061 Ando, Tomohiro; Tsay, Ruey S. 11 2011 Random aggregation with applications in high-frequency finance. Zbl 1217.91149 Tsay, Ruey S.; Yeh, Jin-Huei 1 2011 Discussion of “Feature matching in time series modeling” by Y. Xia and H. Tong. Zbl 1426.62256 Chan, Kung-Sik; Tsay, Ruey S. 1 2011 Analysis of financial time series. 3rd ed. Zbl 1209.91004 Tsay, Ruey S. 161 2010 Estimation of covariance matrix via the sparse Cholesky factor with lasso. Zbl 1233.62118 Chang, Changgee; Tsay, Ruey S. 12 2010 Constrained factor models. Zbl 1388.62179 Tsai, Henghsiu; Tsay, Ruey S. 10 2010 Model selection for generalized linear models with factor-augmented predictors. Zbl 1223.62129 Ando, Tomohiro; Tsay, Ruey S. 4 2009 Outlier detection in multivariate time series by projection pursuit. Zbl 1119.62360 Galeano, Pedro; Peña, Daniel; Tsay, Ruey S. 15 2006 Multivariate volatility models. Zbl 1268.62137 Tsay, Ruey S. 4 2006 Analysis of financial time series. 2nd ed. Zbl 1086.91054 Tsay, Ruey S. 214 2005 On canonical analysis of multivariate time series. Zbl 1079.62065 Min, Wanli; Tsay, Ruey S. 2 2005 Analysis of financial time series. Zbl 1037.91080 Tsay, Ruey S. 100 2002 Bayesian methods for change-point detection in long-range dependent processes. Zbl 1114.62092 Ray, Bonnie K.; Tsay, Ruey S. 34 2002 A nonlinear autoregressive conditional duration model with applications to financial transaction data. Zbl 1108.62336 Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S. 61 2001 Detection of outlier patches in autoregressive time series. Zbl 0978.62081 Justel, Ana; Peña, Daniel; Tsay, Ruey S. 10 2001 A course in time series analysis. Lectures of the ECAS ’97, Madrid, Spain, September 15–19, 1997. Zbl 0960.62093 6 2001 Nonlinearity in high-frequency financial data and hierarchical models. Zbl 1079.91553 McCulloch, Robert E.; Tsay, Ruey S. 2 2001 Outliers in multivariate time series. Zbl 1028.62073 Tsay, Ruey S.; Peña, Daniel; Pankratz, Alan E. 56 2000 Tests for multinormality with applications to time series. Zbl 0918.62052 Kariya, Takeaki; Tsay, Ruey S.; Terui, Nobuhiko; Li, Hong 2 1999 Testing and modeling multivariate threshold models. Zbl 1063.62578 Tsay, Ruey S. 79 1998 Limiting properties of the least squares estimator of a continuous threshold autoregressive model. Zbl 0938.62089 Chan, K. S.; Tsay, Ruey S. 54 1998 Forecasting the U. S. unemployment rate. Zbl 0918.62091 Montgomery, Alan L.; Zarnowitz, Victor; Tsay, Ruey S.; Tiao, George C. 22 1998 A unified approach to indentifying multivariate time series models. Zbl 0926.62083 Li, Hong; Tsay, Ruey S. 7 1998 A time series approach to econometric models of Taiwan’s economy. (With comments and rejoinder). Zbl 0916.62088 Tiao, G. C.; Tsay, R. S.; Man, K. S.; Chu, Y. J.; Xu, K. K.; Chen, C.; Lin, J. L.; Hsu, C. M.; Lin, C. F.; Mao, C. S.; Ho, C. S.; Liou, R. W.; Yang, Y. F. 2 1998 Bandwidth selection for kernel regression with long-range dependent errors. Zbl 1090.62536 Ray, Bonnie K.; Tsay, Ruey S. 28 1997 Nonlinear transfer functions. Zbl 0879.62079 Chen, Rong; Tsay, Ruey S. 3 1996 Asymptotic inference for non-invertible moving-average time series. Zbl 0835.62077 Chan, Ngai Hang; Tsay, Ruey S. 3 1996 Additivity tests for nonlinear autoregression. Zbl 0823.62071 Chen, Rong; Liu, Jun S.; Tsay, Ruey S. 15 1995 Bayesian analysis of autoregressive time series via the Gibbs sampler. Zbl 0800.62549 McCulloch, Robert E.; Tsay, Ruey S. 34 1994 Statistical analysis of economic time series via Markov switching models. Zbl 0807.62096 McCulloch, Robert E.; Tsay, Ruey S. 31 1994 Usefulness of linear transformations in multivariate time-series analysis. Zbl 0825.62971 Tiao, George C.; Tsay, Ruey S.; Wang, Taychang 2 1994 Functional-coefficient autoregressive models. Zbl 0776.62066 Chen, Rong; Tsay, Ruey S. 169 1993 Bayesian inference and prediction for mean and variance shifts in autoregressive time series. Zbl 0800.62165 McCulloch, Robert E.; Tsay, Ruey S. 32 1993 Model checking via parametric bootstraps in time series analysis. Zbl 0825.62698 Tsay, R. S. 24 1992 On the ergodicity of \(TAR(1)\) processes. Zbl 0795.93099 Chen, Rong; Tsay, Ruey S. 21 1991 Two canonical forms for vector ARMA processes. Zbl 0820.62076 Tsay, Ruey S. 9 1991 Detecting and modeling nonlinearity in univariate time series analysis. Zbl 0824.62085 Tsay, Ruey S. 8 1991 Asymptotic properties of multivariate nonstationary processes with applications to autoregressions. Zbl 0705.62082 Tsay, Ruey S.; Tiao, George C. 23 1990 Testing and modeling threshold autoregressive processes. Zbl 0683.62050 Tsay, Ruey S. 106 1989 Model specification in multivariate time series. Zbl 0693.62071 Tiao, George C.; Tsay, Ruey S. 77 1989 Identifying multivariate time series models. Zbl 0691.62080 Tsay, Ruey S. 8 1989 Bayesian modeling and forecasting in autoregressive models. Zbl 0725.62084 Schervish, Mark J.; Tsay, Ruey S. 1 1988 Conditional heteroscedastic time series models. Zbl 0636.62092 Tsay, Ruey S. 46 1987 Nonlinearity tests for time series. Zbl 0603.62097 Tsay, Ruey S. 65 1986 Use of canonical analysis in time series model identification. Zbl 0576.62084 Tsay, Ruey S.; Tiao, George C. 24 1985 Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models. Zbl 0537.62071 Tsay, Ruey S.; Tiao, George C. 38 1984 Order selection in nonstationary autoregressive models. Zbl 0554.62075 Tsay, Ruey S. 26 1984 Regression models with time series errors. Zbl 0533.62082 Tsay, Ruey S. 20 1984 Consistency properties of least squares estimates of autoregressive parameters in ARMA models. Zbl 0523.62076 Tiao, George C.; Tsay, Ruey S. 24 1983 all cited Publications top 5 cited Publications all top 5 Cited by 2,608 Authors 28 Tsay, Ruey S. 20 Chen, Rong 19 Ling, Shiqing 15 Li, Wai Keung 15 Peña, Daniel 14 Cai, Zongwu 13 Chen, Cathy W. S. 12 Battaglia, Francesco Paolo 12 McAleer, Michael 11 Beran, Jan 11 Fan, Jianqing 11 Li, Dong 10 Ghosh, Sucharita 10 Liu, Shuangzhe 10 Tong, Howell 9 Gerlach, Richard H. 9 Lian, Heng 9 Shin, Dongwan 8 Härdle, Wolfgang Karl 8 Paparoditis, Efstathios 8 Pourahmadi, Mohsen 8 Yao, Qiwei 8 Zhang, Riquan 7 Chan, Kung-Sik 7 Chan, Ngai Hang 7 Chan, Wai-Sum 7 De Gooijer, Jan G. 7 Galeano, Pedro 7 Hong, Yongmiao 7 Hotta, Luiz Koodi 7 Pan, Jiazhu 7 Wong, Heung 7 Wu, Wei Biao 7 Zhou, Zhou 6 Aknouche, Abdelhakim 6 Duchesne, Pierre 6 Francq, Christian 6 Gao, Jiti 6 Kang, Xiaoning 6 Koop, Gary 6 Leiva, Víctor 6 Lopes, Hedibert Freitas 6 Phillips, Peter Charles Bonest 6 Psaradakis, Zacharias 6 Ravishanker, Nalini 6 Shang, Pengjian 6 Wang, Lihong 6 Xia, Qiang 6 Zhao, Weihua 5 Ando, Tomohiro 5 Bai, Jushan 5 Baragona, Roberto 5 Bondon, Pascal 5 El Melhaoui, Saïd 5 Feng, Yuanhua 5 Fokianos, Konstantinos 5 Fried, Roland 5 Hallin, Marc 5 Hecq, Alain W. 5 Huang, Zhensheng 5 Hwang, Sun Young 5 Lee, Oesook 5 Lee, Sangyeol 5 Li, Guodong 5 Li, Qi 5 Lin, Jinguan 5 Liu, Xialu 5 Liu, Yonghui 5 Matteson, David S. 5 Meintanis, Simos George 5 Morettin, Pedro Alberto 5 Nieto, Fabio H. 5 Park, Byeong Uk 5 Peng, Liang 5 Perera, Indeewara 5 Polson, Nicholas G. 5 Roy, Roch 5 Ruiz, Esther 5 Saulo, Helton 5 Schmid, Wolfgang 5 Semmler, Willi 5 Tsai, Henghsiu 5 Tu, Yundong 5 Vahid, Farshid 5 Wang, Dehui 5 Xia, Yingcun 5 Yang, Yaxing 5 Yau, Chun Yip 5 Yu, Philip Leung Ho 5 Zhou, Yong 5 Zhu, Ke 5 Zhu, Lixing 4 Bodnar, Taras 4 Chan, Jennifer So Kuen 4 Chen, Min 4 Chiann, Chang 4 Dellaportas, Petros 4 Furno, Marilena 4 Girard, Stéphane 4 Goel, Anubha ...and 2,508 more Authors all top 5 Cited in 216 Serials 146 Journal of Econometrics 91 Journal of Time Series Analysis 87 Computational Statistics and Data Analysis 57 Journal of Statistical Planning and Inference 53 Communications in Statistics. Theory and Methods 49 Econometric Reviews 49 Journal of Statistical Computation and Simulation 37 Communications in Statistics. Simulation and Computation 36 Journal of Applied Statistics 35 Journal of Multivariate Analysis 31 Statistics & Probability Letters 29 Chilean Journal of Statistics 27 The Annals of Statistics 27 Economics Letters 27 Econometric Theory 27 Quantitative Finance 26 Studies in Nonlinear Dynamics and Econometrics 25 Journal of the American Statistical Association 22 Journal of Economic Dynamics & Control 22 Journal of Business and Economic Statistics 20 Mathematics and Computers in Simulation 19 Physica A 19 European Journal of Operational Research 17 Computational Statistics 17 Statistical Papers 17 Bernoulli 17 Applied Stochastic Models in Business and Industry 15 Annals of the Institute of Statistical Mathematics 14 Statistics 14 Statistica Sinica 14 Journal of Nonparametric Statistics 14 Electronic Journal of Statistics 13 Journal of Forecasting 13 Statistics and Computing 11 Insurance Mathematics & Economics 11 Acta Mathematicae Applicatae Sinica. English Series 11 Annals of Operations Research 10 Test 9 The Canadian Journal of Statistics 9 Revista Colombiana de Estadística 9 Australian & New Zealand Journal of Statistics 9 Statistical Methods and Applications 8 Journal of Computational and Applied Mathematics 8 The Econometrics Journal 8 Statistical Inference for Stochastic Processes 8 North American Actuarial Journal 8 Journal of the Korean Statistical Society 8 The Annals of Applied Statistics 7 Information Sciences 7 International Statistical Review 7 Stochastic Processes and their Applications 6 Metrika 6 Statistica Neerlandica 6 Statistical Science 6 Brazilian Journal of Probability and Statistics 6 Journal of Time Series Econometrics 5 Psychometrika 5 Automatica 5 Physica D 5 Computational Economics 5 Statistical Modelling 5 Journal of Statistical Theory and Practice 5 AStA. Advances in Statistical Analysis 5 Science China. Mathematics 5 Journal of Probability and Statistics 5 Bayesian Analysis 4 Lithuanian Mathematical Journal 4 Scandinavian Journal of Statistics 4 Kybernetika 4 International Journal of Approximate Reasoning 4 Mathematical and Computer Modelling 4 Mathematical Problems in Engineering 4 International Journal of Theoretical and Applied Finance 4 Extremes 4 Computational Management Science 4 Journal of Computational and Graphical Statistics 3 Applied Mathematics and Computation 3 Fuzzy Sets and Systems 3 International Economic Review 3 Journal of Applied Probability 3 Computers & Operations Research 3 Neural Networks 3 The Annals of Applied Probability 3 Automation and Remote Control 3 Mathematical Finance 3 Chaos 3 Discrete Dynamics in Nature and Society 3 Macroeconomic Dynamics 3 Communications in Nonlinear Science and Numerical Simulation 3 Journal of Systems Science and Complexity 3 Asia-Pacific Financial Markets 3 SORT. Statistics and Operations Research Transactions 3 Thai Journal of Mathematics 3 International Journal of Wavelets, Multiresolution and Information Processing 3 Statistical Methodology 3 Journal of the Italian Statistical Society 3 Wiley Interdisciplinary Reviews. WIREs Computational Statistics 3 Annals of Finance 2 Computers & Mathematics with Applications 2 International Journal of Systems Science ...and 116 more Serials all top 5 Cited in 33 Fields 1,467 Statistics (62-XX) 369 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 153 Numerical analysis (65-XX) 143 Probability theory and stochastic processes (60-XX) 41 Operations research, mathematical programming (90-XX) 36 Computer science (68-XX) 30 Systems theory; control (93-XX) 24 Dynamical systems and ergodic theory (37-XX) 17 Biology and other natural sciences (92-XX) 15 Information and communication theory, circuits (94-XX) 14 Statistical mechanics, structure of matter (82-XX) 9 Linear and multilinear algebra; matrix theory (15-XX) 9 Harmonic analysis on Euclidean spaces (42-XX) 8 Geophysics (86-XX) 5 Approximations and expansions (41-XX) 3 General and overarching topics; collections (00-XX) 3 Combinatorics (05-XX) 3 Measure and integration (28-XX) 2 History and biography (01-XX) 2 Functional analysis (46-XX) 2 Operator theory (47-XX) 2 Astronomy and astrophysics (85-XX) 1 Mathematical logic and foundations (03-XX) 1 Real functions (26-XX) 1 Functions of a complex variable (30-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Ordinary differential equations (34-XX) 1 Difference and functional equations (39-XX) 1 Differential geometry (53-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX) 1 Optics, electromagnetic theory (78-XX) 1 Relativity and gravitational theory (83-XX) Citations by Year