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Journal of Time Series Analysis

Short Title: J. Time Ser. Anal.
Publisher: Wiley (Wiley-Blackwell), Oxford
ISSN: 0143-9782; 1467-9892/e
Online: https://onlinelibrary.wiley.com/loi/14679892
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 1,673 Publications (since 1980)
References Indexed: 1,433 Publications with 35,131 References.
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Authors

21 Rao, Tata Subba
18 Leybourne, Stephen J.
18 Taylor, A. M. Robert
17 Politis, Dimitris Nicolas
16 Hurvich, Clifford M.
16 Taniguchi, Masanobu
14 Paparoditis, Efstathios
14 Taqqu, Murad S.
13 Francq, Christian
13 Kokoszka, Piotr S.
13 Li, Wai Keung
11 Newbold, Paul
11 Shin, Dongwan
10 Brockwell, Peter John
10 Horváth, Lajos
10 Quinn, Barry G.
10 Saikkonen, Pentti
10 Tunnicliffe-Wilson, Granville
9 Chan, Ngai Hang
9 Davis, Richard A.
9 Kabaila, Paul V.
9 Kurozumi, Eiji
9 Lund, Robert B.
9 McLeod, Angus Ian
9 Perron, Pierre
9 Robinson, Peter Michael
9 Stoffer, David S.
9 Tjøstheim, Dag B.
9 Tsay, Ruey S.
8 Beran, Jan
8 Chambers, Marcus J.
8 Dette, Holger
8 Gourieroux, Christian
8 Hallin, Marc
8 Hannan, Edward James
8 Harvey, David I.
8 Hassler, Uwe
8 Kapetanios, George
8 Li, Dong
8 McCabe, Brendan P. M.
8 Poskitt, Donald Stephen
8 Pourahmadi, Mohsen
7 Aknouche, Abdelhakim
7 Cavaliere, Giuseppe
7 Deo, Rohit S.
7 Fokianos, Konstantinos
7 Giraitis, Liudas
7 Hall, Alastair R.
7 Kakizawa, Yoshihide
7 Kedem, Benjamin
7 Ling, Shiqing
7 Moulines, Eric
7 Nielsen, Morten Ørregaard
7 Phillips, Peter Charles Bonest
7 Psaradakis, Zacharias
7 Tong, Howell
7 Velasco, Carlos
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, Zhaoguo
6 Dahlhaus, Rainer
6 Granger, Clive William John
6 Hidalgo, Javier
6 Jasiak, Joann
6 Kim, Taehwan
6 Lahiri, Soumendra Nath
6 Lii, Keh-Shin
6 Meerschaert, Mark Marvin
6 Mélard, Guy
6 Ombao, Hernando C.
6 Peng, Liang
6 Reinsel, Gregory C.
6 Subba Rao, Suhasini
6 Xiao, Zhijie
6 Zakoïan, Jean-Michel
6 Zhu, Fukang
5 Anderson, Paul L.
5 Anderson, Theodore Wilbur jun.
5 Beltrão, Kaizô Iwakami
5 Bhansali, Rajendra J.
5 Billard, Lynne
5 Gray, Henry L.
5 Iacone, Fabrizio
5 Jentsch, Carsten
5 Kavalieris, Laimonis
5 Koul, Hira Lal
5 Kreiß, Jens-Peter
5 Lee, Sangyeol
5 Li, Tahsin
5 Lütkepohl, Helmut
5 Masry, Elias
5 McElroy, Tucker S.
5 Peña, Daniel
5 Pham Dinh Tuan
5 Pipiras, Vladas
5 Rahbek, Anders
...and 1,658 more Authors

Publications by Year

Citations contained in zbMATH Open

1,357 Publications have been cited 15,451 times in 8,422 Documents Cited by Year
An introduction to long-memory time series models and fractional differencing. Zbl 0503.62079
Granger, C. W. J.; Joyeux, Roselyne
532
1980
The estimation and application of long memory time series models. Zbl 0534.62062
Geweke, John; Porter-Hudak, Susan
392
1983
First-order integer-valued autoregressive (INAR(1)) process. Zbl 0617.62096
Al-Osh, M. A.; Alzaid, A. A.
371
1987
Nonparametric estimators for time series. Zbl 0544.62082
Robinson, P. M.
203
1983
Integer-valued GARCH process. Zbl 1150.62046
Ferland, René; Latour, Alain; Oraichi, Driss
201
2006
Multivariate local polynomial regression for time series: Uniform strong consistency and rates. Zbl 0876.62075
Masry, Elias
195
1996
The integer-valued autoregressive (INAR(p)) model. Zbl 0727.62084
Du, Jinguan; Li, Yuan
170
1991
An approach to time series smoothing and forecasting using the EM algorithm. Zbl 0502.62085
Shumway, R. H.; Stoffer, D. S.
164
1982
Structural breaks in time series. Zbl 1274.62553
Aue, Alexander; Horváth, Lajos
146
2013
Data augmentation and dynamic linear models. Zbl 0815.62065
Frühwirth-Schnatter, Sylvia
141
1994
Least squares estimation of a shift in linear processes. Zbl 0808.62079
Bai, Jushan
134
1994
Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067
McLeod, A. I.; Li, W. K.
122
1983
A negative binomial integer-valued GARCH model. Zbl 1290.62092
Zhu, Fukang
100
2011
The mean squared error of Geweke and Porter-Hudak’s estimator of the memory parameter of a long-memory time series. Zbl 0920.62108
Hurvich, Clifford M.; Deo, Rohit; Brodsky, Julia
94
1998
Random coefficient autoregressive processes: A Markov chain analysis of stationarity and finiteness of moments. Zbl 0572.62069
Feigin, Paul D.; Tweedie, Richard L.
92
1985
On generalized fractional processes. Zbl 0685.62075
Gray, Henry L.; Zhang, Nien-Fan; Woodward, Wayne A.
84
1989
On estimating thresholds in autoregressive models. Zbl 0596.62085
Chan, K. S.; Tong, H.
83
1986
Gaussian semiparametric estimation of nonstationary time series. Zbl 0922.62093
Velasko, Carlos
83
1999
Analysis of low count time series data by Poisson autoregression. Zbl 1062.62174
Freeland, R. K.; McCabe, B. P. M.
82
2004
On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070
Li, W. K.; Mak, T. K.
79
1994
Testing for Gaussianity and linearity of a stationary time series. Zbl 0502.62079
Hinich, Melvin J.
77
1982
Bias-corrected nonparametric spectral estimation. Zbl 0811.62088
Politis, Dimitris N.; Romano, Joseph P.
74
1995
Change-point detection in panel data. Zbl 1282.62181
Horváth, Lajos; Hušková, Marie
74
2012
Existence and stochastic structure of a non-negative integer-valued autoregressive process. Zbl 1127.62402
Latour, Alain
74
1998
First-order integer valued AR processes with zero inflated Poisson innovations. Zbl 1281.62197
Jazi, Mansour Aghababaei; Jones, Geoff; Lai, Chin-Diew
71
2012
Least-squares estimation of an unknown number of shifts in a time series. Zbl 0974.62070
Lavielle, Marc; Moulines, Eric
66
2000
A distance measure for classifying ARIMA models. Zbl 0691.62083
Piccolo, Domenico
66
1990
Inference for \(p\)th-order random coefficient integer-valued autoregressive processes. Zbl 1126.62086
Zheng, Haitao; Basawa, Ishwar V.; Datta, Somnath
65
2006
Kernel regression smoothing of time series. Zbl 0759.62016
Härdle, Wolfgang; Vieu, Philippe
62
1992
A sieve bootstrap for the test of a unit root. Zbl 1036.62070
Chang, Yoosoon; Park, Joon Y.
56
2003
Interventions in INGARCH processes. Zbl 1242.62095
Fokianos, Konstantinos; Fried, Roland
56
2010
A test for linearity of stationary time series. Zbl 0499.62078
Rao, T. Subba; Gabr, M. M.
55
1980
Quasi-likelihood inference for negative binomial time series models. Zbl 1301.62084
Christou, Vasiliki; Fokianos, Konstantinos
55
2014
Tests for comparing two estimated spectral densities. Zbl 0581.62076
Coates, D. S.; Diggle, P. J.
54
1986
Recursive mean adjustment for unit root tests. Zbl 0979.62070
Shin, Dong Wan; So, Beong Soo
54
2001
Large sample properties of parameter estimates for periodic ARMA models. Zbl 0984.62062
Basawa, I. V.; Lund, Robert
52
2001
ARMA models with ARCH errors. Zbl 0549.62079
Weiss, Andrew A.
50
1984
State-dependent models: A general approach to non-linear time series analysis. Zbl 0496.62076
Priestley, M. B.
50
1980
Uniform limit theory for stationary autoregression. Zbl 1114.62087
Giraitis, Liudas; Phillips, Peter C. B.
49
2006
Modelling count data time series with Markov processes based on binomial thinning. Zbl 1111.62085
Zhu, Rong; Joe, Harry
48
2006
Poisson QMLE of count time series models. Zbl 1381.62244
Ahmad, Ali; Francq, Christian
48
2016
Stationary discrete autoregressive-moving average time series generated by mixtures. Zbl 0526.62084
Jacobs, P. A.; Lewis, P. A. W.
47
1983
Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Zbl 0813.62081
Hurvich, Clifford M.; Ray, Bonnie K.
47
1995
Bootstrapping stationary autoregressive moving-average models. Zbl 0787.62092
Kreiss, Jens-Peter; Franke, Jürgen
47
1992
Asymptotics for the low-frequency ordinates of the periodogram of a long- memory time series. Zbl 0782.62086
Hurvich, Clifford M.; Beltrao, Kaizo I.
46
1993
Spectral analysis with tapered data. Zbl 0552.62068
Dahlhaus, Rainer
45
1983
Identifiability in dynamic errors-in-variables models. Zbl 0536.93064
Anderson, B. D. O.; Deistler, M.
44
1984
Difference equations for the higher-order moments and cumulants of the INAR(1) model. Zbl 1062.62167
Da Silva, Maria Eduarda; Olivera, Vera Lúcia
44
2004
Inference for single and multiple change-points in time series. Zbl 1275.62061
Jandhyala, Venkata; Fotopoulos, Stergios; MacNeill, Ian; Liu, Pengyu
44
2013
Banded and tapered estimates for autocovariance matrices and the linear process bootstrap. Zbl 1226.60052
McMurry, Timothy L.; Politis, Dimitris N.
44
2010
Recursive prediction and likelihood evaluation for periodic ARMA models. Zbl 0974.62085
Lund, Robert; Basawa, I. V.
43
2000
A \(k\)-factor GARMA long-memory model. Zbl 1017.62083
Woodward, Wayne A.; Cheng, Q. C.; Gray, H. L.
43
1998
A dependence metric for possibly nonlinear processes. Zbl 1062.62178
Granger, C. W.; Maasoumi, E.; Racine, J.
42
2004
Estimation in random coefficient autoregressive models. Zbl 1112.62084
Aue, Alexander; Horváth, Lajos; Steinebach, Josef
41
2006
Determining the bandwidth of a kernel spectrum estimate. Zbl 0608.62118
Beltrão, Kaizô I.; Bloomfield, Peter
41
1987
Inference in autoregression under heteroscedasticity. Zbl 1111.62082
Phillips, Peter C. B.; Xu, Ke-Li
39
2006
Time series models in non-normal situation: symmetric innovations. Zbl 0972.62084
Tiku, M. L.; Wong, Wing-Keung; Vaughan, David C.; Bian, Guorui
39
2000
Semiparametric inference in seasonal and cyclical long memory processes. Zbl 0974.62079
Arteche, Josu; Robinson, Peter M.
39
2000
Towards a unified approach for proving geometric ergodicity and mixing properties of nonlinear autoregressive processes. Zbl 1092.62091
Liebscher, Eckhard
39
2005
Measuring nonlinear dependence in time-series, a distance correlation approach. Zbl 1301.62095
Zhou, Zhou
38
2012
Vector autoregressive models with unit roots and reduced rank structure: Estimation, likelihood ratio test, and forecasting. Zbl 0770.62079
Reinsel, Gregory C.; Ahn, Sung K.
38
1992
Regression, autoregression models. Zbl 0588.62163
Hannan, E. J.; Kavalieris, L.
37
1986
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 1150.62058
Moulines, E.; Roueff, F.; Taqqu, M. S.
37
2007
The estimation of random coefficient autoregressive models. I. Zbl 0495.62083
Nicholls, D. F.; Quinn, B. G.
36
1980
An efficient taper for potentially overdifferenced long-memory time series. Zbl 0958.62085
Hurvich, Clifford M.; Chen, Willa W.
36
2000
Changepoints in times series of counts. Zbl 1281.62181
Franke, Jürgen; Kirch, Claudia; Tadjuidje Kamgaing, Joseph
36
2012
Estimation in nonstationary random coefficient autoregressive models. Zbl 1224.62046
Berkes, István; Horváth, Lajos; Ling, Shiqing
35
2009
Estimation for nonlinear time series models using estimating equations. Zbl 0638.62083
Thavaneswaran, A.; Abraham, B.
35
1988
Highly robust estimation of the autocovariance function. Zbl 0970.62056
Ma, Yanyuan; Genton, Marc G.
35
2000
Bayesian threshold autoregressive models for nonlinear time series. Zbl 0779.62073
Geweke, John; Terui, Nobuhiko
35
1993
Bayesian methods for change-point detection in long-range dependent processes. Zbl 1114.62092
Ray, Bonnie K.; Tsay, Ruey S.
34
2002
Nonlinear transformations of integrated time series. Zbl 0721.62088
Granger, C. W. J.; Hallman, Jeff
34
1991
Bayesian analysis of autoregressive time series via the Gibbs sampler. Zbl 0800.62549
McCulloch, Robert E.; Tsay, Ruey S.
34
1994
A test for second-order stationarity of a time series based on the discrete Fourier transform. Zbl 1290.62059
Dwivedi, Yogesh; Rao, Suhasini Subba
34
2011
Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis. Zbl 1221.62126
Kang, Jiwon; Lee, Sangyeol
33
2009
First-order rounded integer-valued autoregressive (RINAR(l)) process. Zbl 1224.62060
Kachour, M.; Yao, J. F.
33
2009
Conditional heteroskedasticity driven by hidden Markov chains. Zbl 0972.62077
Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel
33
2001
Bootstrap predictive inference for ARIMA processes. Zbl 1062.62199
Pascual, Lorenzo; Romo, Juan; Ruiz, Esther
33
2004
Bayesian inference of threshold autoregressive models. Zbl 0833.62083
Chen, Cathy W. S.; Lee, Jack C.
32
1995
Spatio-temporal smoothing and EM estimation for massive remote-sensing data sets. Zbl 1294.62119
Katzfuss, Matthias; Cressie, Noel
32
2011
Maximum likelihood estimation of higher-order integer-valued autoregressive processes. Zbl 1198.62090
Bu, Ruijun; McCabe, Brendan; Hadri, Kaddour
32
2008
Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081
Ling, Shiqing; Li, W. K.
31
1997
Determining the order of the functional autoregressive model. Zbl 1274.62600
Kokoszka, Piotr; Reimherr, Matthew
31
2013
A geometric time series model with dependent Bernoulli counting series. Zbl 1275.62068
Ristić, Miroslav M.; Nastić, Aleksandar S.; Miletić Ilić, Ana V.
31
2013
Nonparametric autoregression with multiplicative volatility and additive mean. Zbl 0932.62106
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens P.
31
1999
Regression models for non-stationary categorical time series. Zbl 0616.62116
Fahrmeir, Ludwig; Kaufmann, Heinz
31
1987
A corrected Akaike information criterion for vector autoregressive model selection. Zbl 0768.62076
Hurvich, Clifford M.; Tsai, Chih-Ling
31
1993
On composite likelihood estimation of a multivariate INAR(1) model. Zbl 1274.62376
Pedeli, Xanthi; Karlis, Dimitris
30
2013
Partial likelihood inference for time series following generalized linear models. Zbl 1051.62073
Fokianos, Konstantinos; Kedem, Benjamin
30
2004
Using the mutual information coefficient to identify lags in nonlinear models. Zbl 0807.62067
Granger, Clive; Lin, Jin-Lung
30
1994
Estimation of the fractional difference parameter in the \(\text{ARIMA}(p,d,q)\) model using the smoothed periodogram. Zbl 0803.62084
Reisen, Valderio A.
30
1994
Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long-range dependence. Zbl 0870.62073
Giraitis, Liudas; Robinson, Peter M.; Samarov, Alexander
29
1997
Distributions of least squares estimators of autoregressive parameters for a process with complex roots on the unit circle. Zbl 0618.62088
Ahtola, Juha; Tiao, George C.
29
1987
Consistent estimation of the memory parameter for nonlinear time series. Zbl 1115.62084
Dalla, Violetta; Giraitis, Liudas; Hidalgo, Javier
29
2006
Order patterns in time series. Zbl 1150.62037
Bandt, Christoph; Shiha, Faten
29
2007
Temporal aggregation in the ARIMA process. Zbl 0614.62115
Stram, Daniel O.; Wei, William W. S.
29
1986
A wavelet-based test for stationarity. Zbl 0972.62085
von Sachs, Rainer; Neumann, Michael H.
29
2000
Break detection for a class of nonlinear time series models. Zbl 1199.62006
Davis, Richard A.; Lee, Thomas C. M.; Rodriguez-Yam, Gabriel A.
29
2008
(Mis)specification of long memory in seasonal time series. Zbl 0794.62059
Hassler, Uwe
29
1994
Statistical analysis of economic time series via Markov switching models. Zbl 0807.62096
McCulloch, Robert E.; Tsay, Ruey S.
29
1994
Functional principal component analysis for cointegrated functional time series. Zbl 07804899
Seo, Won-Ki
1
2024
Bivariate random coefficient integer-valued autoregressive models: parameter estimation and change point test. Zbl 07731498
Lee, Sangyeol; Jo, Minyoung
2
2023
Estimation of the variance function in structural break autoregressive models with non-stationary and explosive segments. Zbl 07731467
Harvey, David I.; Leybourne, Stephen J.; Zu, Yang
2
2023
Geometric ergodicity and conditional self-weighted M-estimator of a \(\mathrm{GRCAR}(p)\) model with heavy-tailed errors. Zbl 07731485
Li, Xiaoyan; Pan, Jiazhu; Song, Anchao
1
2023
Factor models for high-dimensional functional time series. I: Representation results. Zbl 07731495
Hallin, Marc; Nisol, Gilles; Tavakoli, Shahin
1
2023
Factor models for high-dimensional functional time series. II: Estimation and forecasting. Zbl 07731496
Tavakoli, Shahin; Nisol, Gilles; Hallin, Marc
1
2023
Some recent trends in embeddings of time series and dynamic networks. Zbl 07731500
Tjøstheim, Dag; Jullum, Martin; Løland, Anders
1
2023
Flexible bivariate INGARCH process with a broad range of contemporaneous correlation. Zbl 07731468
Piancastelli, Luiza S. C.; Barreto-Souza, Wagner; Ombao, Hernando
1
2023
Wasserstein autoregressive models for density time series. Zbl 1493.62182
Zhang, Chao; Kokoszka, Piotr; Petersen, Alexander
6
2022
Stationarity and ergodicity of Markov switching positive conditional mean models. Zbl 07569201
Aknouche, Abdelhakim; Francq, Christian
5
2022
Modeling normalcy-dominant ordinal time series: an application to air quality level. Zbl 07569202
Liu, Mengya; Zhu, Fukang; Zhu, Ke
4
2022
Periodic autoregressive conditional duration. Zbl 1493.62089
Aknouche, Abdelhakim; Almohaimeed, Bader; Dimitrakopoulos, Stefanos
4
2022
Regularized estimation of high-dimensional vector autoregressions with weakly dependent innovations. Zbl 07570754
Masini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F.
3
2022
Asymmetric linear double autoregression. Zbl 07569198
Tan, Songhua; Zhu, Qianqian
3
2022
A new GJR-GARCH model for \(\mathbb{Z}\)-valued time series. Zbl 07569204
Xu, Yue; Zhu, Fukang
3
2022
State heterogeneity analysis of financial volatility using high-frequency financial data. Zbl 1492.91351
Chun, Dohyun; Kim, Donggyu
3
2022
Inference in functional factor models with applications to yield curves. Zbl 07730971
Horváth, Lajos; Kokoszka, Piotr; VanderDoes, Jeremy; Wang, Shixuan
2
2022
Trend locally stationary wavelet processes. Zbl 07730972
McGonigle, Euan T.; Killick, Rebecca; Nunes, Matthew A.
2
2022
Generalized autoregressive moving average models with GARCH errors. Zbl 1493.62543
Zheng, Tingguo; Xiao, Han; Chen, Rong
2
2022
On the relationship between uhlig extended and beta-Bartlett processes. Zbl 1493.62532
Peña, Víctor; Irie, Kaoru
2
2022
Simultaneous variable selection and structural identification for time-varying coefficient models. Zbl 07570753
Chan, Ngai Hang; Gao, Linhao; Palma, Wilfredo
1
2022
Structural change tests under heteroskedasticity: Joint estimation versus two-steps methods. Zbl 07569199
Perron, Pierre; Yamamoto, Yohei
1
2022
Maxima of linear processes with heavy-tailed innovations and random coefficients. Zbl 1487.60070
Krizmanić, Danijel
1
2022
Regular multidimensional stationary time series. Zbl 1493.62536
Szabados, Tamás
1
2022
Autoregressive density modeling with the Gaussian process mixture transition distribution. Zbl 1484.60080
Kottas, Athanasios; Heiner, Matthew
1
2022
Testing the volatility jumps based on the high frequency data. Zbl 07730961
Liu, Guangying; Liu, Meiyao; Lin, Jinguan
1
2022
Estimation and inference in adaptive learning models with slowly decreasing gains. Zbl 07730963
Mayer, Alexander
1
2022
Oracle efficient estimation of structural breaks in cointegrating regressions. Zbl 1493.62073
Schweikert, Karsten
1
2022
A new approach for open-end sequential change point monitoring. Zbl 1468.62338
Gösmann, Josua; Kley, Tobias; Dette, Holger
9
2021
Local Whittle estimation of long-range dependence for functional time series. Zbl 1476.62188
Li, Degui; Robinson, Peter M.; Shang, Han Lin
5
2021
Mixtures of nonlinear Poisson autoregressions. Zbl 1468.62334
Doukhan, Paul; Fokianos, Konstantinos; Rynkiewicz, Joseph
4
2021
Extensions of Rosenblatt’s results on the asymptotic behavior of the prediction error for deterministic stationary sequences. Zbl 1489.60052
Babayan, Nikolay M.; Ginovyan, Mamikon S.; Taqqu, Murad S.
4
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Necessary and sufficient conditions for the identifiability of observation-driven models. Zbl 1493.62518
Douc, Randal; Roueff, François; Sim, Tepmony
3
2021
A local limit theorem for linear random fields. Zbl 1477.60046
Fortune, Timothy; Peligrad, Magda; Sang, Hailin
3
2021
Long range dependence for stable random processes. Zbl 1484.60041
Makogin, Vitalii; Oesting, Marco; Rapp, Albert; Spodarev, Evgeny
2
2021
Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models. Zbl 1469.62404
Li, Nan; Kwok, Simon S.
2
2021
Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models. Zbl 1469.62346
Parente, Paulo M. D. C.; Smith, Richard J.
2
2021
Sparsity concepts and estimation procedures for high-dimensional vector autoregressive models. Zbl 1476.62187
Krampe, Jonas; Paparoditis, Efstathios
2
2021
Integer-valued asymmetric GARCH modeling. Zbl 1476.62185
Hu, Xiaofei; Andrews, Beth
2
2021
Robust discrimination between long-range dependence and a change in mean. Zbl 1468.62336
Gerstenberger, Carina
1
2021
A note on efficient fitting of stochastic volatility models. Zbl 1468.62337
Gong, Chen; Stoffer, David S.
1
2021
Robust empirical likelihood for time series. Zbl 1468.62333
Chen, Kun; Huang, Rui
1
2021
Independent block identification in multivariate time series. Zbl 1468.62340
Leonardi, Florencia; Lopez-Rosenfeld, Matías; Rodriguez, Daniela; Severino, Magno T. F.; Sued, Mariela
1
2021
Estimating Wold matrices and vector moving average processes. Zbl 1468.62339
Krampe, Jonas; Mcmurry, Timothy L.
1
2021
Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model. Zbl 1468.62350
Zhou, Mo; Peng, Liang; Zhang, Rongmao
1
2021
A simple nearly unbiased estimator of cross-covariances. Zbl 1468.62294
Li, Yifan; Rao, Yao
1
2021
Quasi-maximum likelihood estimation of conditional autoregressive Wishart models. Zbl 1468.62291
Asai, Manabu; So, Mike K. P.
1
2021
Prediction of singular VARs and an application to generalized dynamic factor models. Zbl 1468.62353
Hörmann, Siegfried; Nisol, Gilles
1
2021
Asymptotic behavior of delay times of bubble monitoring tests. Zbl 1468.62280
Kurozumi, Eiji
1
2021
To infinity and beyond: efficient computation of ARCH\((\infty)\) models. Zbl 1468.62342
Nielsen, Morten Ørregaard; Noël, Antoine L.
1
2021
Threshold model with a time-varying threshold based on Fourier approximation. Zbl 1469.62347
Yang, Lixiong; Lee, Chingnun; Chen, I-Po
1
2021
On some basic features of strictly stationary, reversible Markov chains. Zbl 1477.60111
Bradley, Richard C.
1
2021
Consistent autoregressive spectral estimates: nonlinear time series and large autocovariance matrices. Zbl 1476.62195
Wang, Jiang; Politis, Dimitris N.
1
2021
Spectral methods for small sample time series: a complete periodogram approach. Zbl 1476.62180
Das, Sourav; Rao, Suhasini Subba; Yang, Junho
1
2021
Indirect inference for time series using the empirical characteristic function and control variates. Zbl 1476.62181
Davis, Richard A.; do Rêgo Sousa, Thiago; Klüppelberg, Claudia
1
2021
Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model. Zbl 1476.62193
Smetanina, Ekaterina; Wu, Wei Biao
1
2021
Aspects of non-causal and non-invertible CARMA processes. Zbl 1475.62235
Brockwell, Peter J.; Lindner, Alexander
1
2021
Robust linear interpolation and extrapolation of stationary time series in \(L^p\). Zbl 1455.62174
Liu, Yan; Xue, Yujie; Taniguchi, Masanobu
6
2020
Tests for conditional heteroscedasticity of functional data. Zbl 1458.62325
Rice, Gregory; Wirjanto, Tony; Zhao, Yuqian
6
2020
Empirical characteristic functions-based estimation and distance correlation for locally stationary processes. Zbl 1445.62057
Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, Carina
5
2020
A flexible univariate autoregressive time-series model for dispersed count data. Zbl 1445.62238
Sellers, Kimberly F.; Peng, Stephen J.; Arab, Ali
5
2020
Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise. Zbl 1456.62190
Grzesiek, Aleksandra; Sikora, Grzegorz; Teuerle, Marek; Wyłomańska, Agnieszka
5
2020
Bootstrap inference for GARCH models by the least absolute deviation estimation. Zbl 1455.62185
Zhu, Qianqian; Zeng, Ruochen; Li, Guodong
4
2020
Harmonically weighted processes. Zbl 1444.62105
Hassler, Uwe; Hosseinkouchack, Mehdi
4
2020
Extracting conditionally heteroskedastic components using independent component analysis. Zbl 1447.62104
Miettinen, Jari; Matilainen, Markus; Nordhausen, Klaus; Taskinen, Sara
4
2020
Measures of cross-dependence for bidimensional periodic AR(1) model with \(\alpha \)-stable distribution. Zbl 1453.60041
Grzesiek, Aleksandra; Giri, Prashant; Sundar, S.; Wyłomańska, Agnieszka
4
2020
The marginal density of a TMA(1) process. Zbl 1443.62276
Li, Dong; Qiu, Jiaming
3
2020
Two-step estimation for time varying ARCH models. Zbl 1450.62037
Zhang, Yuanyuan; Liu, Rong; Shao, Qin; Yang, Lijian
3
2020
Testing equality of autocovariance operators for functional time series. Zbl 1450.62139
Pilavakis, Dimitrios; Paparoditis, Efstathios; Sapatinas, Theofanis
3
2020
Conway-Maxwell-Poisson autoregressive moving average model for equidispersed, underdispersed, and overdispersed count data. Zbl 1456.62174
Melo, Moizes; Alencar, Airlane
3
2020
Volatility asymmetry in functional threshold GARCH model. Zbl 1444.62109
Sun, Hao; Yu, Bo
2
2020
Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models. Zbl 1442.62107
Yang, Yaxing; Li, Dong
2
2020
A stationary spatio-temporal GARCH model. Zbl 1443.62267
Hølleland, Sondre; Karlsen, Hans Arnfinn
2
2020
Estimating the mean direction of strongly dependent circular time series. Zbl 1445.62218
Beran, Jan; Ghosh, Sucharita
2
2020
Consistency of the Hill estimator for time series observed with measurement errors. Zbl 1452.62651
Kim, Mihyun; Kokoszka, Piotr
2
2020
Estimating long memory in panel random-coefficient AR(1) data. Zbl 1448.62062
Leipus, Remigijus; Philippe, Anne; Pilipauskaitė, Vytautė; Surgailis, Donatas
2
2020
Robust estimation of stationary continuous-time ARMA models via indirect inference. Zbl 1453.62394
Fasen-Hartmann, Vicky; Kimmig, Sebastian
2
2020
A family of multivariate non-Gaussian time series models. Zbl 1453.62625
Aktekin, Tevfik; Polson, Nicholas G.; Soyer, Refik
2
2020
Models for circular data from time series spectra. Zbl 1454.37081
Taniguchi, Masanobu; Kato, Shogo; Ogata, Hiroaki; Pewsey, Arthur
2
2020
On singular spectrum analysis and stepwise time series reconstruction. Zbl 1442.62204
Poskitt, Donald S.
1
2020
Deterministic parameter change models in continuous and discrete time. Zbl 1444.62100
Chambers, Marcus J.; Taylor, A. M. Robert
1
2020
Inference for asymmetric exponentially weighted moving average models. Zbl 1456.62205
Li, Dong; Zhu, Ke
1
2020
Mixed first- and second-order cointegrated continuous time models with mixed stock and flow data. Zbl 1478.62242
Hoyos, Milena
1
2020
Modeling bivariate long-range dependence with general phase. Zbl 1456.62200
Kechagias, Stefanos; Pipiras, Vladas
1
2020
Walsh Fourier transform of locally stationary time series. Zbl 1444.62106
Huang, Zhelin; Chan, Ngai Hang
1
2020
On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model. Zbl 1454.62251
Arvanitis, Stelios; Anyfantaki, Sofia
1
2020
Further results on pseudo-maximum likelihood estimation and testing in the constant elasticity of variance continuous time model. Zbl 1445.62228
Iglesias, Emma M.; Phillips, Garry D. A.
1
2020
Location multiplicative error models with quasi maximum likelihood estimation. Zbl 1453.62638
Li, Qian
1
2020
On the stationary marginal distributions of subclasses of multivariate setar processes of order one. Zbl 1446.62241
Das, Soumya; Genton, Marc G.
1
2020
Modeling the variance of return intervals toward volatility prediction. Zbl 1450.62116
Sun, Yan; Lian, Guanghua; Lu, Zudi; Loveland, Jennifer; Blackhurst, Isaac
1
2020
An asymptotic \(F\) test for uncorrelatedness in the presence of time series dependence. Zbl 1450.62105
Wang, Xuexin; Sun, Yixiao
1
2020
Filling the gap between continuous and discrete time dynamics of autoregressive processes. Zbl 1466.62383
Girardin, Valerie; Senoussi, Rachid
1
2020
Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series. Zbl 1452.91238
Kejriwal, Mohitosh; Yu, Xuewen; Perron, Pierre
1
2020
Efficient Bayesian PARCOR approaches for dynamic modeling of multivariate time series. Zbl 1454.62275
Zhao, Wenjie; Prado, Raquel
1
2020
On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models. Zbl 1453.62442
Gong, Huan; Li, Dong
1
2020
Flexible and robust mixed Poisson INGARCH models. Zbl 1431.62350
Silva, Rodrigo B.; Barreto-Souza, Wagner
9
2019
A non-Gaussian spatio-temporal model for daily wind speeds based on a multi-variate skew-\(T\) distribution. Zbl 1418.62400
Tagle, Felipe; Castruccio, Stefano; Crippa, Paola; Genton, Marc G.
8
2019
Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series. Zbl 1418.62305
Bücher, Axel; Fermanian, Jean-David; Kojadinovic, Ivan
7
2019
On the ergodicity of first-order threshold autoregressive moving-average processes. Zbl 1419.62222
Chan, Kung-sik; Goracci, Greta
7
2019
A structural-factor approach to modeling high-dimensional time series and space-time data. Zbl 1412.62117
Gao, Zhaoxing; Tsay, Ruey S.
6
2019
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Cited by 8,276 Authors

84 Wang, Dehui
60 Lee, Sangyeol
57 Politis, Dimitris Nicolas
55 Taylor, A. M. Robert
52 Weiß, Christian H.
50 Zhu, Fukang
46 Phillips, Peter Charles Bonest
44 Shin, Dongwan
43 Dette, Holger
42 Horváth, Lajos
40 Robinson, Peter Michael
39 Taqqu, Murad S.
38 Hallin, Marc
37 Gil-Alana, Luis Alberiko
37 Kokoszka, Piotr S.
35 Aknouche, Abdelhakim
35 Linton, Oliver Bruce
34 Paparoditis, Efstathios
33 Francq, Christian
33 Gourieroux, Christian
33 Surgailis, Donatas
32 Giraitis, Liudas
32 Ling, Shiqing
31 Li, Wai Keung
30 Chen, Cathy W. S.
30 Thavaneswaran, Aerambamoorthy
29 Bibi, Abdelouahab
29 Fokianos, Konstantinos
29 Hassler, Uwe
29 Hidalgo, Javier
29 Nielsen, Morten Ørregaard
29 Peiris, M. Shelton
28 Beran, Jan
28 Leybourne, Stephen J.
28 Tjøstheim, Dag B.
27 Davis, Richard A.
27 Kapetanios, George
27 McElroy, Tucker S.
26 Cavaliere, Giuseppe
26 Chan, Ngai Hang
26 Doukhan, Paul
26 Hušková, Marie
26 Lahiri, Soumendra Nath
26 Saikkonen, Pentti
26 Yang, Kai
25 Bentarzi, Mohamed
25 Lund, Robert B.
25 Reisen, Valdério Anselmo
25 Taniguchi, Masanobu
24 Koul, Hira Lal
24 Rice, Gregory
24 Ristić, Miroslav M.
24 Wu, Wei Biao
24 Zakoïan, Jean-Michel
23 Duchesne, Pierre
23 Peña, Daniel
23 Wang, Lihong
22 Basawa, Ishwar V.
22 Gao, Jiti
22 Jowaheer, Vandna
22 Kirch, Claudia
22 Leonenko, Nikolai N.
22 Perron, Pierre
22 Pipiras, Vladas
22 Psaradakis, Zacharias
22 Shang, Han Lin
22 Shao, Xiaofeng
21 Battaglia, Francesco Paolo
21 Li, Dong
20 Bardet, Jean-Marc
20 Cavicchioli, Maddalena
20 Didier, Gustavo
20 Harvey, David I.
20 Jentsch, Carsten
20 Sutradhar, Brajendra Chandra
20 Velasco, Carlos
19 Genton, Marc G.
19 Holan, Scott H.
19 Koopman, Siem Jan
19 Kreiß, Jens-Peter
19 Leipus, Remigijus
19 Nordman, Daniel J.
19 Sibbertsen, Philipp
18 Anděl, Jiří
18 Bourguignon, Marcelo
18 Kurozumi, Eiji
18 Li, Qi
18 Mainassara, Yacouba Boubacar
18 Rodrigues, Paulo M. M.
18 Tong, Howell
18 Tran, Lanh Tat
17 Aue, Alexander
17 Ginovyan, Mamikon S.
17 Lieberman, Offer
17 Moulines, Eric
17 Nastić, Aleksandar S.
17 Scotto, Manuel González
17 Teräsvirta, Timo
17 Wikle, Christopher K.
16 Biswas, Atanu
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684 Journal of Econometrics
650 Journal of Time Series Analysis
371 Communications in Statistics. Theory and Methods
348 Computational Statistics and Data Analysis
323 Journal of Statistical Planning and Inference
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52 The Canadian Journal of Statistics
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48 Physica A
48 Journal of Time Series Econometrics
45 The Econometrics Journal
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43 Mathematics and Computers in Simulation
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35 AStA. Advances in Statistical Analysis
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31 Brazilian Journal of Probability and Statistics
30 Australian & New Zealand Journal of Statistics
29 Kybernetika
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28 Acta Mathematicae Applicatae Sinica. English Series
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27 Statistica Neerlandica
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27 Comptes Rendus. Mathématique. Académie des Sciences, Paris
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24 Bayesian Analysis
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14 Advances in Applied Probability
14 Journal of the Franklin Institute
14 Journal of Mathematical Analysis and Applications
14 Neural Computation
14 Theory of Probability and Mathematical Statistics
14 Extremes
14 Environmetrics
13 International Statistical Review
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13 Computational Economics
13 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
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13 Stat
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