Journal of Time Series Analysis Short Title: J. Time Ser. Anal. Publisher: Wiley (Wiley-Blackwell), Oxford ISSN: 0143-9782; 1467-9892/e Online: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9892/issues Comments: Indexed cover-to-cover Documents Indexed: 1,603 Publications (since 1980) References Indexed: 1,146 Publications with 25,098 References. all top 5 Latest Issues 43, No. 4 (2022) 43, No. 3 (2022) 43, No. 2 (2022) 43, No. 1 (2022) 42, No. 5-6 (2021) 42, No. 4 (2021) 42, No. 3 (2021) 42, No. 2 (2021) 42, No. 1 (2021) 41, No. 6 (2020) 41, No. 5 (2020) 41, No. 4 (2020) 41, No. 3 (2020) 41, No. 2 (2020) 41, No. 1 (2020) 40, No. 6 (2019) 40, No. 5 (2019) 40, No. 4 (2019) 40, No. 3 (2019) 40, No. 2 (2019) 40, No. 1 (2019) 39, No. 6 (2018) 39, No. 5 (2018) 39, No. 4 (2018) 39, No. 3 (2018) 39, No. 2 (2018) 39, No. 1 (2018) 38, No. 6 (2017) 38, No. 5 (2017) 38, No. 4 (2017) 38, No. 3 (2017) 38, No. 2 (2017) 38, No. 1 (2017) 37, No. 6 (2016) 37, No. 5 (2016) 37, No. 4 (2016) 37, No. 3 (2016) 37, No. 2 (2016) 37, No. 1 (2016) 36, No. 6 (2015) 36, No. 5 (2015) 36, No. 4 (2015) 36, No. 3 (2015) 36, No. 2 (2015) 36, No. 1 (2015) 35, No. 6 (2014) 35, No. 5 (2014) 35, No. 4 (2014) 35, No. 3 (2014) 35, No. 2 (2014) 35, No. 1 (2014) 34, No. 6 (2013) 34, No. 5 (2013) 34, No. 4 (2013) 34, No. 3 (2013) 34, No. 2 (2013) 34, No. 1 (2013) 33, No. 6 (2012) 33, No. 5 (2012) 33, No. 4 (2012) 33, No. 3 (2012) 33, No. 2 (2012) 33, No. 1 (2012) 32, No. 6 (2011) 32, No. 5 (2011) 32, No. 4 (2011) 32, No. 3 (2011) 32, No. 2 (2011) 32, No. 1 (2011) 31, No. 6 (2010) 31, No. 5 (2010) 31, No. 4 (2010) 31, No. 3 (2010) 31, No. 2 (2010) 31, No. 1 (2010) 30, No. 6 (2009) 30, No. 5 (2009) 30, No. 4 (2009) 30, No. 3 (2009) 30, No. 2 (2009) 30, No. 1 (2009) 29, No. 6 (2008) 29, No. 5 (2008) 29, No. 4 (2008) 29, No. 3 (2008) 29, No. 2 (2008) 29, No. 1 (2008) 28, No. 6 (2007) 28, No. 5 (2007) 28, No. 4 (2007) 28, No. 3 (2007) 28, No. 2 (2007) 28, No. 1 (2007) 27, No. 6 (2006) 27, No. 5 (2006) 27, No. 4 (2006) 27, No. 3 (2006) 27, No. 2 (2006) 27, No. 1 (2006) 26, No. 6 (2005) ...and 105 more Volumes all top 5 Authors 21 Rao, Tata Subba 18 Taylor, A. M. Robert 17 Leybourne, Stephen J. 17 Politis, Dimitris Nicolas 16 Hurvich, Clifford M. 15 Taniguchi, Masanobu 14 Paparoditis, Efstathios 14 Taqqu, Murad S. 12 Francq, Christian 11 Kokoszka, Piotr S. 11 Newbold, Paul 11 Shin, Dongwan 10 Brockwell, Peter J. 10 Quinn, Barry G. 10 Saikkonen, Pentti 10 Tunnicliffe-Wilson, Granville 9 Horváth, Lajos 9 Kabaila, Paul V. 9 McLeod, Angus Ian 9 Perron, Pierre 9 Robinson, Peter Michael 9 Stoffer, David S. 8 Beran, Jan 8 Chambers, Marcus J. 8 Chan, Ngai Hang 8 Davis, Richard A. 8 Hannan, Edward James 8 Hassler, Uwe 8 Kapetanios, George 8 Lund, Robert B. 8 McCabe, Brendan P. M. 8 Poskitt, Donald Stephen 8 Pourahmadi, Mohsen 8 Tjøstheim, Dag B. 7 Cavaliere, Giuseppe 7 Deo, Rohit S. 7 Dette, Holger 7 Gourieroux, Christian 7 Hall, Alastair R. 7 Harvey, David I. 7 Kedem, Benjamin 7 Kurozumi, Eiji 7 Ling, Shiqing 7 Moulines, Eric 7 Nielsen, Morten Ørregaard 7 Phillips, Peter Charles Bonest 7 Psaradakis, Zacharias 7 Tong, Howell 7 Tsay, Ruey S. 7 Velasco, Carlos I. Hoyos 6 Aue, Alexander 6 Basawa, Ishwar V. 6 Battaglia, Francesco Paolo 6 Boshnakov, Georgi N. 6 Chan, Kung-Sik 6 Chanda, Kamal C. 6 Chen, Rong 6 Chen, Zhaoguo 6 Dahlhaus, Rainer 6 Fokianos, Konstantinos 6 Giraitis, Liudas 6 Granger, Clive William John 6 Hidalgo, Javier 6 Kakizawa, Yoshihide 6 Kim, Taehwan 6 Li, Dong 6 Li, Wai Keung 6 Lii, Keh-Shin 6 McElroy, Tucker S. 6 Meerschaert, Mark Marvin 6 Mélard, Guy 6 Peng, Liang 6 Reinsel, Gregory C. 6 Xiao, Zhijie 6 Zhu, Fukang 5 Abraham, Bovas 5 Aknouche, Abdelhakim 5 Anderson, Paul L. 5 Anderson, Theodore Wilbur jun. 5 Beltrão, Kaizô Iwakami 5 Bhansali, Rajendra J. 5 Billard, Lynne 5 Franke, Jürgen 5 Gray, Henry L. 5 Hallin, Marc 5 Iacone, Fabrizio 5 Jasiak, Joann 5 Jentsch, Carsten 5 Kavalieris, Laimonis 5 Kreiß, Jens-Peter 5 Lahiri, Soumendra Nath 5 Li, Tahsin 5 Lütkepohl, Helmut 5 Masry, Elias 5 Ombao, Hernando C. 5 Pham Dinh Tuan 5 Pipiras, Vladas 5 Rahbek, Anders 5 Rodrigues, Paulo M. M. 5 Shao, Qin ...and 1,585 more Authors all top 5 Fields 1,571 Statistics (62-XX) 275 Probability theory and stochastic processes (60-XX) 172 Numerical analysis (65-XX) 120 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 47 General and overarching topics; collections (00-XX) 38 Systems theory; control (93-XX) 17 Harmonic analysis on Euclidean spaces (42-XX) 16 Dynamical systems and ergodic theory (37-XX) 16 Geophysics (86-XX) 13 Biology and other natural sciences (92-XX) 10 History and biography (01-XX) 6 Linear and multilinear algebra; matrix theory (15-XX) 6 Computer science (68-XX) 5 Operations research, mathematical programming (90-XX) 5 Information and communication theory, circuits (94-XX) 4 Real functions (26-XX) 3 Difference and functional equations (39-XX) 3 Functional analysis (46-XX) 2 Ordinary differential equations (34-XX) 2 Partial differential equations (35-XX) 2 Astronomy and astrophysics (85-XX) 1 Combinatorics (05-XX) 1 Special functions (33-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 1,271 Publications have been cited 13,267 times in 7,342 Documents Cited by ▼ Year ▼ An introduction to long-memory time series models and fractional differencing. Zbl 0503.62079Granger, C. W. J.; Joyeux, Roselyne 481 1980 The estimation and application of long memory time series models. Zbl 0534.62062Geweke, John; Porter-Hudak, Susan 355 1983 First-order integer-valued autoregressive (INAR(1)) process. Zbl 0617.62096Al-Osh, M. A.; Alzaid, A. A. 299 1987 Nonparametric estimators for time series. Zbl 0544.62082Robinson, P. M. 197 1983 Multivariate local polynomial regression for time series: Uniform strong consistency and rates. Zbl 0876.62075Masry, Elias 180 1996 Integer-valued GARCH process. Zbl 1150.62046Ferland, René; Latour, Alain; Oraichi, Driss 153 2006 An approach to time series smoothing and forecasting using the EM algorithm. Zbl 0502.62085Shumway, R. H.; Stoffer, D. S. 151 1982 The integer-valued autoregressive (INAR(p)) model. Zbl 0727.62084Du, Jinguan; Li, Yuan 134 1991 Data augmentation and dynamic linear models. Zbl 0815.62065Frühwirth-Schnatter, Sylvia 130 1994 Least squares estimation of a shift in linear processes. Zbl 0808.62079Bai, Jushan 120 1994 Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067McLeod, A. I.; Li, W. K. 110 1983 Structural breaks in time series. Zbl 1274.62553Aue, Alexander; Horváth, Lajos 108 2013 Random coefficient autoregressive processes: A Markov chain analysis of stationarity and finiteness of moments. Zbl 0572.62069Feigin, Paul D.; Tweedie, Richard L. 87 1985 The mean squared error of Geweke and Porter-Hudak’s estimator of the memory parameter of a long-memory time series. Zbl 0920.62108Hurvich, Clifford M.; Deo, Rohit; Brodsky, Julia 87 1998 Analysis of low count time series data by Poisson autoregression. Zbl 1062.62174Freeland, R. K.; McCabe, B. P. M. 77 2004 A negative binomial integer-valued GARCH model. Zbl 1290.62092Zhu, Fukang 74 2011 On estimating thresholds in autoregressive models. Zbl 0596.62085Chan, K. S.; Tong, H. 73 1986 Testing for Gaussianity and linearity of a stationary time series. Zbl 0502.62079Hinich, Melvin J. 72 1982 On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070Li, W. K.; Mak, T. K. 70 1994 On generalized fractional processes. Zbl 0685.62075Gray, Henry L.; Zhang, Nien-Fan; Woodward, Wayne A. 70 1989 Bias-corrected nonparametric spectral estimation. Zbl 0811.62088Politis, Dimitris N.; Romano, Joseph P. 67 1995 Existence and stochastic structure of a non-negative integer-valued autoregressive process. Zbl 1127.62402Latour, Alain 64 1998 A distance measure for classifying ARIMA models. Zbl 0691.62083Piccolo, Domenico 61 1990 Kernel regression smoothing of time series. Zbl 0759.62016Härdle, Wolfgang; Vieu, Philippe 60 1992 Change-point detection in panel data. Zbl 1282.62181Horváth, Lajos; Hušková, Marie 57 2012 Inference for \(p\) th-order random coefficient integer-valued autoregressive processes. Zbl 1126.62086Zheng, Haitao; Basawa, Ishwar V.; Datta, Somnath 56 2006 Least-squares estimation of an unknown number of shifts in a time series. Zbl 0974.62070Lavielle, Marc; Moulines, Eric 55 2000 A sieve bootstrap for the test of a unit root. Zbl 1036.62070Chang, Yoosoon; Park, Joon Y. 53 2003 Recursive mean adjustment for unit root tests. Zbl 0979.62070Shin, Dong Wan; So, Beong Soo 53 2001 A test for linearity of stationary time series. Zbl 0499.62078Rao, T. Subba; Gabr, M. M. 52 1980 First-order integer valued AR processes with zero inflated Poisson innovations. Zbl 1281.62197Jazi, Mansour Aghababaei; Jones, Geoff; Lai, Chin-Diew 51 2012 Tests for comparing two estimated spectral densities. Zbl 0581.62076Coates, D. S.; Diggle, P. J. 50 1986 Large sample properties of parameter estimates for periodic ARMA models. Zbl 0984.62062Basawa, I. V.; Lund, Robert 46 2001 Modelling count data time series with Markov processes based on binomial thinning. Zbl 1111.62085Zhu, Rong; Joe, Harry 45 2006 Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Zbl 0813.62081Hurvich, Clifford M.; Ray, Bonnie K. 45 1995 Asymptotics for the low-frequency ordinates of the periodogram of a long- memory time series. Zbl 0782.62086Hurvich, Clifford M.; Beltrao, Kaizo I. 45 1993 Interventions in INGARCH processes. Zbl 1242.62095Fokianos, Konstantinos; Fried, Roland 45 2010 Identifiability in dynamic errors-in-variables models. Zbl 0536.93064Anderson, B. D. O.; Deistler, M. 44 1984 State-dependent models: A general approach to non-linear time series analysis. Zbl 0496.62076Priestley, M. B. 43 1980 Bootstrapping stationary autoregressive moving-average models. Zbl 0787.62092Kreiss, Jens-Peter; Franke, Jürgen 43 1992 Uniform limit theory for stationary autoregression. Zbl 1114.62087Giraitis, Liudas; Phillips, Peter C. B. 42 2006 Stationary discrete autoregressive-moving average time series generated by mixtures. Zbl 0526.62084Jacobs, P. A.; Lewis, P. A. W. 42 1983 ARMA models with ARCH errors. Zbl 0549.62079Weiss, Andrew A. 41 1984 Spectral analysis with tapered data. Zbl 0552.62068Dahlhaus, Rainer 41 1983 A dependence metric for possibly nonlinear processes. Zbl 1062.62178Granger, C. W.; Maasoumi, E.; Racine, J. 38 2004 Gaussian semiparametric estimation of nonstationary time series. Zbl 0922.62093Velasko, Carlos 37 1999 Recursive prediction and likelihood evaluation for periodic ARMA models. Zbl 0974.62085Lund, Robert; Basawa, I. V. 37 2000 Inference for single and multiple change-points in time series. Zbl 1275.62061Jandhyala, Venkata; Fotopoulos, Stergios; MacNeill, Ian; Liu, Pengyu 37 2013 On the spectral density of the wavelet coefficients of long-memory time series with application to the log-regression estimation of the memory parameter. Zbl 1150.62058Moulines, E.; Roueff, F.; Taqqu, M. S. 36 2007 Quasi-likelihood inference for negative binomial time series models. Zbl 1301.62084Christou, Vasiliki; Fokianos, Konstantinos 36 2014 Determining the bandwidth of a kernel spectrum estimate. Zbl 0608.62118Beltrão, Kaizô I.; Bloomfield, Peter 36 1987 Regression, autoregression models. Zbl 0588.62163Hannan, E. J.; Kavalieris, L. 36 1986 Vector autoregressive models with unit roots and reduced rank structure: Estimation, likelihood ratio test, and forecasting. Zbl 0770.62079Reinsel, Gregory C.; Ahn, Sung K. 36 1992 A \(k\)-factor GARMA long-memory model. Zbl 1017.62083Woodward, Wayne A.; Cheng, Q. C.; Gray, H. L. 36 1998 Time series models in non-normal situation: symmetric innovations. Zbl 0972.62084Tiku, M. L.; Wong, Wing-Keung; Vaughan, David C.; Bian, Guorui 35 2000 Estimation for nonlinear time series models using estimating equations. Zbl 0638.62083Thavaneswaran, A.; Abraham, B. 35 1988 Banded and tapered estimates for autocovariance matrices and the linear process bootstrap. Zbl 1226.60052McMurry, Timothy L.; Politis, Dimitris N. 35 2010 An efficient taper for potentially overdifferenced long-memory time series. Zbl 0958.62085Hurvich, Clifford M.; Chen, Willa W. 35 2000 Difference equations for the higher-order moments and cumulants of the INAR(1) model. Zbl 1062.62167Da Silva, Maria Eduarda; Olivera, Vera Lúcia 35 2004 The estimation of random coefficient autoregressive models. I. Zbl 0495.62083Nicholls, D. F.; Quinn, B. G. 34 1980 Semiparametric inference in seasonal and cyclical long memory processes. Zbl 0974.62079Arteche, Josu; Robinson, Peter M. 34 2000 Nonlinear transformations of integrated time series. Zbl 0721.62088Granger, C. W. J.; Hallman, Jeff 34 1991 Poisson QMLE of count time series models. Zbl 1381.62244Ahmad, Ali; Francq, Christian 33 2016 Bayesian threshold autoregressive models for nonlinear time series. Zbl 0779.62073Geweke, John; Terui, Nobuhiko 32 1993 Measuring nonlinear dependence in time-series, a distance correlation approach. Zbl 1301.62095Zhou, Zhou 32 2012 Towards a unified approach for proving geometric ergodicity and mixing properties of nonlinear autoregressive processes. Zbl 1092.62091Liebscher, Eckhard 32 2005 Bayesian methods for change-point detection in long-range dependent processes. Zbl 1114.62092Ray, Bonnie K.; Tsay, Ruey S. 31 2002 Nonparametric autoregression with multiplicative volatility and additive mean. Zbl 0932.62106Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens P. 30 1999 Bayesian analysis of autoregressive time series via the Gibbs sampler. Zbl 0800.62549McCulloch, Robert E.; Tsay, Ruey S. 30 1994 Highly robust estimation of the autocovariance function. Zbl 0970.62056Ma, Yanyuan; Genton, Marc G. 30 2000 Estimation in random coefficient autoregressive models. Zbl 1112.62084Aue, Alexander; Horváth, Lajos; Steinebach, Josef 29 2006 Inference in autoregression under heteroscedasticity. Zbl 1111.62082Phillips, Peter C. B.; Xu, Ke-Li 29 2006 Regression models for non-stationary categorical time series. Zbl 0616.62116Fahrmeir, Ludwig; Kaufmann, Heinz 29 1987 Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long-range dependence. Zbl 0870.62073Giraitis, Liudas; Robinson, Peter M.; Samarov, Alexander 28 1997 Estimation of the fractional difference parameter in the \(\text{ARIMA}(p,d,q)\) model using the smoothed periodogram. Zbl 0803.62084Reisen, Valderio A. 28 1994 Distributions of least squares estimators of autoregressive parameters for a process with complex roots on the unit circle. Zbl 0618.62088Ahtola, Juha; Tiao, George C. 28 1987 Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081Ling, Shiqing; Li, W. K. 28 1997 A test for second-order stationarity of a time series based on the discrete Fourier transform. Zbl 1290.62059Dwivedi, Yogesh; Rao, Suhasini Subba 27 2011 Conditional heteroskedasticity driven by hidden Markov chains. Zbl 0972.62077Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel 27 2001 Changepoints in times series of counts. Zbl 1281.62181Franke, Jürgen; Kirch, Claudia; Tadjuidje Kamgaing, Joseph 27 2012 Consistency of the averaged cross-periodogram in long memory series. Zbl 0938.62103Lobato, Ignacio N. 27 1997 Consistent estimation of the memory parameter for nonlinear time series. Zbl 1115.62084Dalla, Violetta; Giraitis, Liudas; Hidalgo, Javier 26 2006 (Mis)specification of long memory in seasonal time series. Zbl 0794.62059Hassler, Uwe 26 1994 Using the mutual information coefficient to identify lags in nonlinear models. Zbl 0807.62067Granger, Clive; Lin, Jin-Lung 26 1994 Statistical analysis of economic time series via Markov switching models. Zbl 0807.62096McCulloch, Robert E.; Tsay, Ruey S. 26 1994 A wavelet-based test for stationarity. Zbl 0972.62085von Sachs, Rainer; Neumann, Michael H. 26 2000 Temporal aggregation in the ARIMA process. Zbl 0614.62115Stram, Daniel O.; Wei, William W. S. 26 1986 Bayesian inference of threshold autoregressive models. Zbl 0833.62083Chen, Cathy W. S.; Lee, Jack C. 26 1995 Estimation in nonstationary random coefficient autoregressive models. Zbl 1224.62046Berkes, István; Horváth, Lajos; Ling, Shiqing 26 2009 Bootstrap predictive inference for ARIMA processes. Zbl 1062.62199Pascual, Lorenzo; Romo, Juan; Ruiz, Esther 26 2004 Bootstrapping unit root tests for integrated processes. Zbl 1023.62090Swensen, Anders Rygh 26 2003 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 Diagnostic checking of periodic autoregression models with application. Zbl 0800.62550McLeod, A. I. 25 1994 Testing for the randomness of autoregressive coefficients. Zbl 0505.62076Quinn, B. G.; Nicholls, D. F. 25 1982 Spatio-temporal smoothing and EM estimation for massive remote-sensing data sets. Zbl 1294.62119Katzfuss, Matthias; Cressie, Noel 25 2011 Nearest-neighbour methods for time series analysis. Zbl 0615.62115Yakowitz, S. 25 1987 Some doubly stochastic time series models. Zbl 0588.62169Tjøstheim, Dag 25 1986 First-order rounded integer-valued autoregressive (RINAR(l)) process. Zbl 1224.62060Kachour, M.; Yao, J. F. 25 2009 Maximum likelihood estimation of higher-order integer-valued autoregressive processes. Zbl 1198.62090Bu, Ruijun; McCabe, Brendan; Hadri, Kaddour 25 2008 Explosive random-coefficient AR(1) processes and related asymptotics for least-squares estimation. Zbl 1097.62081Hwang, S. Y.; Basawa, I. V. 24 2005 Wasserstein autoregressive models for density time series. Zbl 1493.62182Zhang, Chao; Kokoszka, Piotr; Petersen, Alexander 2 2022 Periodic autoregressive conditional duration. Zbl 1493.62089Aknouche, Abdelhakim; Almohaimeed, Bader; Dimitrakopoulos, Stefanos 1 2022 State heterogeneity analysis of financial volatility using high-frequency financial data. Zbl 1492.91351Chun, Dohyun; Kim, Donggyu 1 2022 Stationarity and ergodicity of Markov switching positive conditional mean models. Zbl 07569201Aknouche, Abdelhakim; Francq, Christian 1 2022 Modeling normalcy-dominant ordinal time series: an application to air quality level. Zbl 07569202Liu, Mengya; Zhu, Fukang; Zhu, Ke 1 2022 A new approach for open-end sequential change point monitoring. Zbl 1468.62338Gösmann, Josua; Kley, Tobias; Dette, Holger 4 2021 Necessary and sufficient conditions for the identifiability of observation-driven models. Zbl 1493.62518Douc, Randal; Roueff, François; Sim, Tepmony 3 2021 Mixtures of nonlinear Poisson autoregressions. Zbl 1468.62334Doukhan, Paul; Fokianos, Konstantinos; Rynkiewicz, Joseph 2 2021 Long range dependence for stable random processes. Zbl 1484.60041Makogin, Vitalii; Oesting, Marco; Rapp, Albert; Spodarev, Evgeny 1 2021 Quasi-maximum likelihood estimation of conditional autoregressive Wishart models. Zbl 1468.62291Asai, Manabu; So, Mike K. P. 1 2021 Spectral methods for small sample time series: a complete periodogram approach. Zbl 1476.62180Das, Sourav; Rao, Suhasini Subba; Yang, Junho 1 2021 Extensions of Rosenblatt’s results on the asymptotic behavior of the prediction error for deterministic stationary sequences. Zbl 1489.60052Babayan, Nikolay M.; Ginovyan, Mamikon S.; Taqqu, Murad S. 1 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 Local Whittle estimation of long-range dependence for functional time series. Zbl 1476.62188Li, Degui; Robinson, Peter M.; Shang, Han Lin 1 2021 A local limit theorem for linear random fields. Zbl 1477.60046Fortune, Timothy; Peligrad, Magda; Sang, Hailin 1 2021 Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model. Zbl 1476.62193Smetanina, Ekaterina; Wu, Wei Biao 1 2021 Tests for conditional heteroscedasticity of functional data. Zbl 1458.62325Rice, Gregory; Wirjanto, Tony; Zhao, Yuqian 4 2020 Robust linear interpolation and extrapolation of stationary time series in \(L^p\). Zbl 1455.62174Liu, Yan; Xue, Yujie; Taniguchi, Masanobu 3 2020 Extracting conditionally heteroskedastic components using independent component analysis. Zbl 1447.62104Miettinen, Jari; Matilainen, Markus; Nordhausen, Klaus; Taskinen, Sara 3 2020 Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise. Zbl 1456.62190Grzesiek, Aleksandra; Sikora, Grzegorz; Teuerle, Marek; Wyłomańska, Agnieszka 3 2020 Testing equality of autocovariance operators for functional time series. Zbl 1450.62139Pilavakis, Dimitrios; Paparoditis, Efstathios; Sapatinas, Theofanis 3 2020 Models for circular data from time series spectra. Zbl 1454.37081Taniguchi, Masanobu; Kato, Shogo; Ogata, Hiroaki; Pewsey, Arthur 2 2020 Empirical characteristic functions-based estimation and distance correlation for locally stationary processes. 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Zbl 1445.62228Iglesias, Emma M.; Phillips, Garry D. A. 1 2020 On the stationary marginal distributions of subclasses of multivariate setar processes of order one. Zbl 1446.62241Das, Soumya; Genton, Marc G. 1 2020 Consistency of the Hill estimator for time series observed with measurement errors. Zbl 1452.62651Kim, Mihyun; Kokoszka, Piotr 1 2020 Modeling the variance of return intervals toward volatility prediction. Zbl 1450.62116Sun, Yan; Lian, Guanghua; Lu, Zudi; Loveland, Jennifer; Blackhurst, Isaac 1 2020 Estimating long memory in panel random-coefficient AR(1) data. Zbl 1448.62062Leipus, Remigijus; Philippe, Anne; Pilipauskaitė, Vytautė; Surgailis, Donatas 1 2020 An asymptotic \(F\) test for uncorrelatedness in the presence of time series dependence. Zbl 1450.62105Wang, Xuexin; Sun, Yixiao 1 2020 Two-step estimation for time varying ARCH models. 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Robert 45 Weiß, Christian H. 41 Shin, Dongwan 38 Phillips, Peter Charles Bonest 37 Dette, Holger 37 Robinson, Peter Michael 37 Taqqu, Murad S. 37 Zhu, Fukang 36 Horváth, Lajos 34 Gil-Alana, Luis Alberiko 33 Linton, Oliver Bruce 32 Hallin, Marc 30 Chen, Cathy W. S. 30 Ling, Shiqing 30 Surgailis, Donatas 30 Thavaneswaran, Aerambamoorthy 29 Giraitis, Liudas 29 Kokoszka, Piotr S. 29 Paparoditis, Efstathios 28 Aknouche, Abdelhakim 28 Bibi, Abdelouahab 28 Francq, Christian 28 Gourieroux, Christian 28 Hidalgo, Javier 27 Hassler, Uwe 27 McElroy, Tucker S. 26 Peiris, M. 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