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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: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9892/issues
Comments: Indexed cover-to-cover
Documents Indexed: 1,555 Publications (since 1980)
References Indexed: 1,146 Publications with 25,098 References.
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Authors

21 Rao, Tata Subba
18 Taylor, A. M. Robert
17 Leybourne, Stephen J.
16 Hurvich, Clifford M.
15 Taniguchi, Masanobu
13 Politis, Dimitris Nicolas
13 Taqqu, Murad S.
12 Paparoditis, Efstathios
11 Francq, Christian
11 Newbold, Paul
11 Shin, Dongwan
10 Kokoszka, Piotr S.
10 Quinn, Barry G.
10 Saikkonen, Pentti
10 Tunnicliffe-Wilson, Granville
9 Brockwell, Peter J.
9 Horváth, Lajos
9 Kabaila, Paul V.
9 McLeod, Angus Ian
9 Stoffer, David S.
8 Beran, Jan
8 Chambers, Marcus J.
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 Robinson, Peter Michael
8 Tjøstheim, Dag B.
7 Cavaliere, Giuseppe
7 Chan, Ngai Hang
7 Davis, Richard A.
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 Perron, Pierre
7 Phillips, Peter Charles Bonest
7 Psaradakis, Zacharias
7 Tong, Howell
7 Tsay, Ruey S.
7 Velasco, Carlos I. Hoyos
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 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 McElroy, Tucker S.
6 Meerschaert, Mark Marvin
6 Mélard, Guy
6 Peng, Liang
6 Reinsel, Gregory C.
6 Xiao, Zhijie
5 Abraham, Bovas
5 Anderson, Paul L.
5 Anderson, Theodore Wilbur jun.
5 Aue, Alexander
5 Beltrão, Kaizô Iwakami
5 Bhansali, Rajendra J.
5 Billard, Lynne
5 Chen, Rong
5 Franke, Jürgen
5 Gray, Henry L.
5 Hallin, Marc
5 Iacone, Fabrizio
5 Jasiak, Joann
5 Kavalieris, Laimonis
5 Lahiri, Soumendra Nath
5 Li, Tahsin
5 Lii, Keh-Shin
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
5 Soulier, Philippe
5 Surgailis, Donatas
5 Tremayne, Andrew R.
5 Turkman, Kamil Feridun
...and 1,523 more Authors

Publications by Year

Citations contained in zbMATH Open

1,191 Publications have been cited 11,417 times in 6,491 Documents Cited by Year
An introduction to long-memory time series models and fractional differencing. Zbl 0503.62079
Granger, C. W. J.; Joyeux, Roselyne
438
1980
The estimation and application of long memory time series models. Zbl 0534.62062
Geweke, John; Porter-Hudak, Susan
320
1983
First-order integer-valued autoregressive (INAR(1)) process. Zbl 0617.62096
Al-Osh, M. A.; Alzaid, A. A.
231
1987
Nonparametric estimators for time series. Zbl 0544.62082
Robinson, P. M.
191
1983
Multivariate local polynomial regression for time series: Uniform strong consistency and rates. Zbl 0876.62075
Masry, Elias
157
1996
An approach to time series smoothing and forecasting using the EM algorithm. Zbl 0502.62085
Shumway, R. H.; Stoffer, D. S.
132
1982
The integer-valued autoregressive (INAR(p)) model. Zbl 0727.62084
Du, Jinguan; Li, Yuan
110
1991
Integer-valued GARCH process. Zbl 1150.62046
Ferland, René; Latour, Alain; Oraichi, Driss
110
2006
Data augmentation and dynamic linear models. Zbl 0815.62065
Frühwirth-Schnatter, Sylvia
110
1994
Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067
McLeod, A. I.; Li, W. K.
99
1983
Least squares estimation of a shift in linear processes. Zbl 0808.62079
Bai, Jushan
97
1994
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
83
1998
Random coefficient autoregressive processes: A Markov chain analysis of stationarity and finiteness of moments. Zbl 0572.62069
Feigin, Paul D.; Tweedie, Richard L.
81
1985
Structural breaks in time series. Zbl 1274.62553
Aue, Alexander; Horváth, Lajos
79
2013
Testing for Gaussianity and linearity of a stationary time series. Zbl 0502.62079
Hinich, Melvin J.
69
1982
On generalized fractional processes. Zbl 0685.62075
Gray, Henry L.; Zhang, Nien-Fan; Woodward, Wayne A.
66
1989
On estimating thresholds in autoregressive models. Zbl 0596.62085
Chan, K. S.; Tong, H.
66
1986
On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070
Li, W. K.; Mak, T. K.
64
1994
Analysis of low count time series data by Poisson autoregression. Zbl 1062.62174
Freeland, R. K.; McCabe, B. P. M.
62
2004
Kernel regression smoothing of time series. Zbl 0759.62016
Härdle, Wolfgang; Vieu, Philippe
59
1992
Bias-corrected nonparametric spectral estimation. Zbl 0811.62088
Politis, Dimitris N.; Romano, Joseph P.
59
1995
Existence and stochastic structure of a non-negative integer-valued autoregressive process. Zbl 1127.62402
Latour, Alain
55
1998
A distance measure for classifying ARIMA models. Zbl 0691.62083
Piccolo, Domenico
51
1990
A test for linearity of stationary time series. Zbl 0499.62078
Rao, T. Subba; Gabr, M. M.
50
1980
A negative binomial integer-valued GARCH model. Zbl 1290.62092
Zhu, Fukang
48
2011
A sieve bootstrap for the test of a unit root. Zbl 1036.62070
Chang, Yoosoon; Park, Joon Y.
48
2003
Least-squares estimation of an unknown number of shifts in a time series. Zbl 0974.62070
Lavielle, Marc; Moulines, Eric
47
2000
Recursive mean adjustment for unit root tests. Zbl 0979.62070
Shin, Dong Wan; So, Beong Soo
47
2001
Tests for comparing two estimated spectral densities. Zbl 0581.62076
Coates, D. S.; Diggle, P. J.
45
1986
Inference for \(p\) th-order random coefficient integer-valued autoregressive processes. Zbl 1126.62086
Zheng, Haitao; Basawa, Ishwar V.; Datta, Somnath
44
2006
Asymptotics for the low-frequency ordinates of the periodogram of a long- memory time series. Zbl 0782.62086
Hurvich, Clifford M.; Beltrao, Kaizo I.
44
1993
Identifiability in dynamic errors-in-variables models. Zbl 0536.93064
Anderson, B. D. O.; Deistler, M.
43
1984
Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Zbl 0813.62081
Hurvich, Clifford M.; Ray, Bonnie K.
42
1995
State-dependent models: A general approach to non-linear time series analysis. Zbl 0496.62076
Priestley, M. B.
41
1980
Bootstrapping stationary autoregressive moving-average models. Zbl 0787.62092
Kreiss, Jens-Peter; Franke, Jürgen
41
1992
Large sample properties of parameter estimates for periodic ARMA models. Zbl 0984.62062
Basawa, I. V.; Lund, Robert
40
2001
Uniform limit theory for stationary autoregression. Zbl 1114.62087
Giraitis, Liudas; Phillips, Peter C. B.
38
2006
Stationary discrete autoregressive-moving average time series generated by mixtures. Zbl 0526.62084
Jacobs, P. A.; Lewis, P. A. W.
38
1983
ARMA models with ARCH errors. Zbl 0549.62079
Weiss, Andrew A.
38
1984
Spectral analysis with tapered data. Zbl 0552.62068
Dahlhaus, Rainer
37
1983
Modelling count data time series with Markov processes based on binomial thinning. Zbl 1111.62085
Zhu, Rong; Joe, Harry
36
2006
Change-point detection in panel data. Zbl 1282.62181
Horváth, Lajos; Hušková, Marie
36
2012
Interventions in INGARCH processes. Zbl 1242.62095
Fokianos, Konstantinos; Fried, Roland
36
2010
Gaussian semiparametric estimation of nonstationary time series. Zbl 0922.62093
Velasko, Carlos
36
1999
Regression, autoregression models. Zbl 0588.62163
Hannan, E. J.; Kavalieris, L.
35
1986
First-order integer valued AR processes with zero inflated Poisson innovations. Zbl 1281.62197
Jazi, Mansour Aghababaei; Jones, Geoff; Lai, Chin-Diew
35
2012
Recursive prediction and likelihood evaluation for periodic ARMA models. Zbl 0974.62085
Lund, Robert; Basawa, I. V.
35
2000
The estimation of random coefficient autoregressive models. I. Zbl 0495.62083
Nicholls, D. F.; Quinn, B. G.
34
1980
A \(k\)-factor GARMA long-memory model. Zbl 1017.62083
Woodward, Wayne A.; Cheng, Q. C.; Gray, H. L.
34
1998
Estimation for nonlinear time series models using estimating equations. Zbl 0638.62083
Thavaneswaran, A.; Abraham, B.
34
1988
Banded and tapered estimates for autocovariance matrices and the linear process bootstrap. Zbl 1226.60052
McMurry, Timothy L.; Politis, Dimitris N.
33
2010
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.
33
1992
Nonlinear transformations of integrated time series. Zbl 0721.62088
Granger, C. W. J.; Hallman, Jeff
32
1991
Determining the bandwidth of a kernel spectrum estimate. Zbl 0608.62118
Beltrão, Kaizô I.; Bloomfield, Peter
32
1987
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.
32
2007
Time series models in non-normal situation: symmetric innovations. Zbl 0972.62084
Tiku, M. L.; Wong, Wing-Keung; Vaughan, David C.; Bian, Guorui
31
2000
An efficient taper for potentially overdifferenced long-memory time series. Zbl 0958.62085
Hurvich, Clifford M.; Chen, Willa W.
30
2000
Semiparametric inference in seasonal and cyclical long memory processes. Zbl 0974.62079
Arteche, Josu; Robinson, Peter M.
30
2000
A dependence metric for possibly nonlinear processes. Zbl 1062.62178
Granger, C. W.; Maasoumi, E.; Racine, J.
29
2004
Nonparametric autoregression with multiplicative volatility and additive mean. Zbl 0932.62106
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens P.
29
1999
Bayesian analysis of autoregressive time series via the Gibbs sampler. Zbl 0800.62549
McCulloch, Robert E.; Tsay, Ruey S.
29
1994
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.
28
1987
Difference equations for the higher-order moments and cumulants of the INAR(1) model. Zbl 1062.62167
Da Silva, Maria Eduarda; Olivera, Vera Lúcia
28
2004
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
28
1997
Bayesian threshold autoregressive models for nonlinear time series. Zbl 0779.62073
Geweke, John; Terui, Nobuhiko
28
1993
Towards a unified approach for proving geometric ergodicity and mixing properties of nonlinear autoregressive processes. Zbl 1092.62091
Liebscher, Eckhard
27
2005
Bayesian methods for change-point detection in long-range dependent processes. Zbl 1114.62092
Ray, Bonnie K.; Tsay, Ruey S.
27
2002
Regression models for non-stationary categorical time series. Zbl 0616.62116
Fahrmeir, Ludwig; Kaufmann, Heinz
27
1987
Inference for single and multiple change-points in time series. Zbl 1275.62061
Jandhyala, Venkata; Fotopoulos, Stergios; MacNeill, Ian; Liu, Pengyu
27
2013
Highly robust estimation of the autocovariance function. Zbl 0970.62056
Ma, Yanyuan; Genton, Marc G.
27
2000
(Mis)specification of long memory in seasonal time series. Zbl 0794.62059
Hassler, Uwe
26
1994
Statistical analysis of economic time series via Markov switching models. Zbl 0807.62096
McCulloch, Robert E.; Tsay, Ruey S.
26
1994
Consistent estimation of the memory parameter for nonlinear time series. Zbl 1115.62084
Dalla, Violetta; Giraitis, Liudas; Hidalgo, Javier
25
2006
Inference in autoregression under heteroscedasticity. Zbl 1111.62082
Phillips, Peter C. B.; Xu, Ke-Li
25
2006
Testing for the randomness of autoregressive coefficients. Zbl 0505.62076
Quinn, B. G.; Nicholls, D. F.
25
1982
Nearest-neighbour methods for time series analysis. Zbl 0615.62115
Yakowitz, S.
25
1987
Some doubly stochastic time series models. Zbl 0588.62169
Tjøstheim, Dag
25
1986
Quasi-likelihood inference for negative binomial time series models. Zbl 1301.62084
Christou, Vasiliki; Fokianos, Konstantinos
25
2014
Bootstrapping unit root tests for integrated processes. Zbl 1023.62090
Swensen, Anders Rygh
25
2003
Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081
Ling, Shiqing; Li, W. K.
25
1997
Estimation in random coefficient autoregressive models. Zbl 1112.62084
Aue, Alexander; Horváth, Lajos; Steinebach, Josef
24
2006
Consistency of the averaged cross-periodogram in long memory series. Zbl 0938.62103
Lobato, Ignacio N.
24
1997
Temporal aggregation in the ARIMA process. Zbl 0614.62115
Stram, Daniel O.; Wei, William W. S.
24
1986
Break detection for a class of nonlinear time series models. Zbl 1199.62006
Davis, Richard A.; Lee, Thomas C. M.; Rodriguez-Yam, Gabriel A.
24
2008
Bayesian inference of threshold autoregressive models. Zbl 0833.62083
Chen, Cathy W. S.; Lee, Jack C.
24
1995
A wavelet-based test for stationarity. Zbl 0972.62085
von Sachs, Rainer; Neumann, Michael H.
24
2000
A corrected Akaike information criterion for vector autoregressive model selection. Zbl 0768.62076
Hurvich, Clifford M.; Tsai, Chih-Ling
24
1993
A test for second-order stationarity of a time series based on the discrete Fourier transform. Zbl 1290.62059
Dwivedi, Yogesh; Rao, Suhasini Subba
23
2011
Comparative study of estimation methods for continuous time stochastic processes. Zbl 0882.62080
Shoji, Isao; Ozaki, Tohru
23
1997
Estimation of the fractional difference parameter in the \(\text{ARIMA}(p,d,q)\) model using the smoothed periodogram. Zbl 0803.62084
Reisen, Valderio A.
23
1994
Alternative estimators and unit root tests for the autoregressive process. Zbl 0825.62688
Park, Heon Jin; Fuller, Wayne A.
23
1995
Conditional heteroskedasticity driven by hidden Markov chains. Zbl 0972.62077
Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel
23
2001
Sur un modèle autorégressif non linéaire, ergodicité et ergodicité géométrique. (On a nonlinear autoregressive model, ergodicity and geometric ergodicity). Zbl 0621.60076
Mokkadem, Abdelkader
22
1987
Structural Laplace transform and compound autoregressive models. Zbl 1112.62090
Darolles, Serge; Gourieroux, Christian; Jasiak, Joann
22
2006
Rank tests for serial dependence. Zbl 0514.62054
Dufour, Jean-Marie
22
1981
Aggregation of random parameters Ornstein-Uhlenbeck or AR processes: some convergence results. Zbl 1064.60066
Oppenheim, Georges; Viano, Marie-Claude
22
2004
Estimation in nonstationary random coefficient autoregressive models. Zbl 1224.62046
Berkes, István; Horváth, Lajos; Ling, Shiqing
22
2009
Change point estimation of fractionally integrated process. Zbl 0921.62112
Kuan, Chung-Ming; Hsu, Chih-Chiang
22
1998
Plug-in selection of the number of frequencies in regression estimates of the memory parameter of a long-memory time series. Zbl 0933.62095
Hurvich, Clifford M.; Deo, Rohit S.
22
1999
Using the mutual information coefficient to identify lags in nonlinear models. Zbl 0807.62067
Granger, Clive; Lin, Jin-Lung
22
1994
A new approach for open-end sequential change point monitoring. Zbl 1468.62338
Gösmann, Josua; Kley, Tobias; Dette, Holger
1
2021
Necessary and sufficient conditions for the identifiability of observation-driven models. Zbl 07364926
Douc, Randal; Roueff, François; Sim, Tepmony
1
2021
Long range dependence for stable random processes. Zbl 07364927
Makogin, Vitalii; Oesting, Marco; Rapp, Albert; Spodarev, Evgeny
1
2021
Bootstrap inference for GARCH models by the least absolute deviation estimation. Zbl 1455.62185
Zhu, Qianqian; Zeng, Ruochen; Li, Guodong
1
2020
Empirical characteristic functions-based estimation and distance correlation for locally stationary processes. Zbl 1445.62057
Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, Carina
1
2020
Walsh Fourier transform of locally stationary time series. Zbl 1444.62106
Huang, Zhelin; Chan, Ngai Hang
1
2020
A flexible univariate autoregressive time-series model for dispersed count data. Zbl 1445.62238
Sellers, Kimberly F.; Peng, Stephen J.; Arab, Ali
1
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
1
2020
Tests for conditional heteroscedasticity of functional data. Zbl 1458.62325
Rice, Gregory; Wirjanto, Tony; Zhao, Yuqian
1
2020
Inference for the lagged cross-covariance operator between functional time series. Zbl 1434.62248
Rice, Gregory; Shum, Marco
3
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
3
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.
3
2019
Negative binomial autoregressive process with stochastic intensity. Zbl 1425.62125
Gouriéroux, Christian; Lu, Yang
2
2019
Flexible and robust mixed Poisson INGARCH models. Zbl 1431.62350
Silva, Rodrigo B.; Barreto-Souza, Wagner
1
2019
Quasi-Bayesian estimation of time-varying volatility in DSGE models. Zbl 1417.62347
Petrova, Katerina
1
2019
Sampling, embedding and inference for CARMA processes. Zbl 1433.62254
Brockwell, Peter J.; Lindner, Alexander
1
2019
On the ergodicity of first-order threshold autoregressive moving-average processes. Zbl 1419.62222
Chan, Kung-sik; Goracci, Greta
1
2019
Bayesian inference for ARFIMA models. Zbl 1421.62119
Durham, Garland; Geweke, John; Porter-Hudak, Susan; Sowell, Fallaw
1
2019
Empirical likelihood for a long range dependent process subordinated to a Gaussian process. Zbl 1421.62124
Lahiri, Soumendra N.; Das, Ujjwal; Nordman, Daniel J.
1
2019
Nonstationary cointegration in the fractionally cointegrated VAR Model. Zbl 1421.62122
Johansen, Søren; Nielsen, Morten Ørregaard
1
2019
Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data. Zbl 1437.62330
Chambers, Marcus J.
1
2019
Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes. Zbl 07140932
Götz, Thomas B.; Hecq, Alain W.
1
2019
Exact discrete representations of linear continuous time models with mixed frequency data. Zbl 07140934
Thornton, Michael A.
1
2019
Scalable inference for space-time Gaussian Cox processes. Zbl 1435.62433
Shirota, Shinichiro; Banerjee, Sudipto
1
2019
Estimating spatial changes over time of arctic sea ice using hidden \(2 \times 2\) tables. Zbl 1418.62401
Zhang, Bohai; Cressie, Noel
1
2019
On a semiparametric data-driven nonlinear model with penalized spatio-temporal lag interactions. Zbl 1418.62298
Al-Sulami, Dawlah; Jiang, Zhenyu; Lu, Zudi; Zhu, Jun
1
2019
A structural-factor approach to modeling high-dimensional time series and space-time data. Zbl 1412.62117
Gao, Zhaoxing; Tsay, Ruey S.
1
2019
Inference on multivariate heteroscedastic time varying random coefficient models. Zbl 1392.62287
Giraitis, Liudas; Kapetanios, George; Yates, Tony
5
2018
Testing normality of functional time series. Zbl 1416.62489
Górecki, Tomasz; Hörmann, Siegfried; Horváth, Lajos; Kokoszka, Piotr
4
2018
Boundary limit theory for functional local to unity regression. Zbl 1391.60057
Bykhovskaya, Anna; Phillips, Peter C. B.
4
2018
Orthogonal samples for estimators in time series. Zbl 1416.62523
Rao, Suhasini Subba
3
2018
Unit root testing with unstable volatility. Zbl 1402.62186
Beare, Brendan K.
3
2018
On the comparison of interval forecasts. Zbl 1402.62193
Askanazi, Ross; Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul
3
2018
Oracle properties, bias correction, and bootstrap inference for adaptive lasso for time series \(M\)-estimators. Zbl 1392.62212
Audrino, Francesco; Camponovo, Lorenzo
2
2018
Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation. Zbl 1392.62264
Gorgi, Paolo
2
2018
Principal components analysis of periodically correlated functional time series. Zbl 1416.62503
Kidziński, Łukasz; Kokoszka, Piotr; Jouzdani, Neda Mohammadi
2
2018
Modeling the interactions between volatility and returns using EGARCH-M. Zbl 1402.91585
Harvey, Andrew; Lange, Rutger-Jan
2
2018
Tests for the equality of two processes’ spectral densities with unequal lengths using wavelet methods. Zbl 1416.62250
Li, Linyuan; Lu, Kewei
1
2018
Block bootstrap for the empirical process of long-range dependent data. Zbl 1416.62239
Tewes, Johannes
1
2018
A simple test for white noise in functional time series. Zbl 1416.62475
Bagchi, Pramita; Characiejus, Vaidotas; Dette, Holger
1
2018
Negative binomial quasi-likelihood inference for general integer-valued time series models. Zbl 1392.62259
Aknouche, Abdelhakim; Bendjeddou, Sara; Touche, Nassim
1
2018
Semi-parametric estimation for non-Gaussian non-minimum phase ARMA models. Zbl 1416.62482
Davis, Richard A.; Zhang, Jing
1
2018
Stationary subspace analysis of nonstationary processes. Zbl 1392.62277
Sundararajan, Raanju Ragavendar; Pourahmadi, Mohsen
1
2018
Extending the range of validity of the autoregressive (sieve) bootstrap. Zbl 1392.62263
Fragkeskou, Maria; Paparoditis, Efstathios
1
2018
Non-parametric spectral density estimation under long-range dependence. Zbl 1392.62284
Kim, Young Min; Lahiri, Soumendra N.; Nordman, Daniel J.
1
2018
Asymptotic theory of test statistic for sphericity of high-dimensional time series. Zbl 1416.62299
Liu, Yan; Tamura, Yurie; Taniguchi, Masanobu
1
2018
Estimating MA parameters through factorization of the autocovariance matrix and an MA-sieve bootstrap. Zbl 1416.62511
McMurry, Timothy L.; Politis, Dimitris N.
1
2018
On local trigonometric regression under dependence. Zbl 1416.62471
Beran, Jan; Steffens, Britta; Ghosh, Sucharita
1
2018
Balanced bootstrap joint confidence bands for structural impulse response functions. Zbl 1401.62070
Bruder, Stefan; Wolf, Michael
1
2018
Detecting tail risk differences in multivariate time series. Zbl 1401.62157
Hoga, Yannick
1
2018
Tests for comparing time-invariant and time-varying spectra based on the Pearson statistic. Zbl 1401.62183
Zhang, Shibin; Tu, Xin M.
1
2018
Testing separability of functional time series. Zbl 1401.62147
Constantinou, Panayiotis; Kokoszka, Piotr; Reimherr, Matthew
1
2018
Testing the CVAR in the fractional CVAR model. Zbl 1402.62200
Johansen, Søren; Nielsen, Morten Ørregaard
1
2018
Mildly explosive autoregression under stationary conditional heteroskedasticity. Zbl 1402.62192
Arvanitis, Stelios; Magdalinos, Tassos
1
2018
The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models. Zbl 1402.62196
Cavaliere, Giuseppe; Pedersen, Rasmus Søndergaard; Rahbek, Anders
1
2018
Change detection and the causal impact of the yield curve. Zbl 1402.91589
Shi, Shuping; Phillips, Peter C. B.; Hurn, Stan
1
2018
A plug-in bandwidth selection procedure for long-run covariance estimation with stationary functional time series. Zbl 1367.62094
Rice, Gregory; Shang, Han Lin
9
2017
Functional generalized autoregressive conditional heteroskedasticity. Zbl 1356.62133
Aue, Alexander; Horváth, Lajos; Pellatt, Daniel F.
9
2017
A spectral domain test for stationarity of spatio-temporal data. Zbl 1360.62473
Bandyopadhyay, Soutir; Jentsch, Carsten; Rao, Suhasini Subba
5
2017
Testing parameter change in general integer-valued time series. Zbl 1386.60132
Diop, Mamadou Lamine; Kengne, William
4
2017
Penalised complexity priors for stationary autoregressive processes. Zbl 1416.62529
Sørbye, Sigrunn Holbek; Rue, Håvard
4
2017
Cointegrated linear processes in Hilbert space. Zbl 1416.62477
Beare, Brendan K.; Seo, Juwon; Seo, Won-Ki
4
2017
Graphical modeling for multivariate Hawkes processes with nonparametric link functions. Zbl 1360.62445
Eichler, Michael; Dahlhaus, Rainer; Dueck, Johannes
4
2017
The asymptotic distribution of the pathwise mean squared displacement in single particle tracking experiments. Zbl 1370.92039
Didier, Gustavo; Zhang, Kui
4
2017
Local Gaussian autocorrelation and tests for serial independence. Zbl 1356.62145
Lacal, Virginia; Tjøstheim, Dag
4
2017
Volatility modeling with a generalized \(t\) distribution. Zbl 1360.62457
Harvey, Andrew; Lange, Rutger-Jan
3
2017
Monitoring parameter constancy with endogenous regressors. Zbl 1377.62067
Kurozumi, Eiji
2
2017
Parametric spectral discrimination. Zbl 1416.62490
Grant, Andrew J.; Quinn, Barry G.
2
2017
On the consistency of bootstrap testing for a parameter on the boundary of the parameter space. Zbl 1416.62480
Cavaliere, Giuseppe; Nielsen, Heino Bohn; Rahbek, Anders
2
2017
Time-varying transition probabilities for Markov regime switching models. Zbl 1369.62211
Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2
2017
Analysis of non-stationary modulated time series with applications to oceanographic surface flow measurements. Zbl 1378.62089
Guillaumin, Arthur P.; Sykulski, Adam M.; Olhede, Sofia C.; Early, Jeffrey J.; Lilly, Jonathan M.
1
2017
Moving Fourier analysis for locally stationary processes with the bootstrap in view. Zbl 1416.62492
Häfner, Franziska; Kirch, Claudia
1
2017
Multi-scale detection of variance changes in renewal processes in the presence of rate change points. Zbl 1386.60151
Albert, Stefan; Messer, Michael; Schiemann, Julia; Roeper, Jochen; Schneider, Gaby
1
2017
Testing for panel cointegration using common correlated effects estimators. Zbl 1367.62325
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís
1
2017
On the frequency variogram and on frequency domain methods for the analysis of spatio-temporal data. Zbl 1360.62477
Rao, Tata Subba; Terdik, Gyorgy
1
2017
Residual empirical processes and weighted sums for time-varying processes with applications to testing for homoscedasticity. Zbl 1356.62123
Chandler, Gabe; Polonik, Wolfgang
1
2017
Poisson QMLE of count time series models. Zbl 1381.62244
Ahmad, Ali; Francq, Christian
18
2016
Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test. Zbl 1403.62156
Betken, Annika
11
2016
Random environment integer-valued autoregressive process. Zbl 1416.62517
Nastić, Aleksandar S.; Laketa, Petra N.; Ristić, Miroslav M.
11
2016
Separation of uncorrelated stationary time series using autocovariance matrices. Zbl 1381.62250
Miettinen, Jari; Illner, Katrin; Nordhausen, Klaus; Oja, Hannu; Taskinen, Sara; Theis, Fabian J.
8
2016
A nonparametric model for stationary time series. Zbl 1337.62199
Antoniano-Villalobos, Isadora; Walker, Stephen G.
6
2016
Filtering, prediction and simulation methods for noncausal processes. Zbl 1381.62247
Gourieroux, Christian; Jasiak, Joann
5
2016
A goodness-of-fit test for integer-valued autoregressive processes. Zbl 1337.62198
Schweer, Sebastian
4
2016
Book review of: F. Belzunce et al., An introduction to stochastic orders. Zbl 1396.00008
Rao, B. L. S. Prakasa
3
2016
Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean. Zbl 1403.62171
Vogelsang, Timothy J.; Yang, Jingjing
3
2016
Testing for stationarity in multivariate locally stationary processes. Zbl 1329.62385
Puchstein, Ruprecht; Preuß, Philip
3
2016
Conditional distributions of Mandelbrot-Van Ness fractional Lévy processes and continuous-time ARMA-GARCH-type models with long memory. Zbl 1335.62131
Fink, Holger
3
2016
Generalized resampling scheme with application to spectral density matrix in almost periodically correlated class of time series. Zbl 1381.62249
Lenart, Łukasz
3
2016
Discriminant analysis of time series in the presence of within-group spectral variability. Zbl 1359.62374
Krafty, Robert T.
3
2016
A Bayesian non-parametric dynamic AR model for multiple time series analysis. Zbl 1396.62215
Nieto-Barajas, Luis E.; Quintana, Fernando A.
2
2016
Composite quantile periodogram for spectral analysis. Zbl 1417.62263
Lim, Yaeji; Oh, Hee-Seok
2
2016
A new test for checking the equality of the correlation structures of two time series. Zbl 1381.62248
Jin, Lei; Wang, Suojin
2
2016
Multivariate wavelet Whittle estimation in long-range dependence. Zbl 1359.62356
Achard, Sophie; Gannaz, Irène
2
2016
Bartlett correction of empirical likelihood for non-Gaussian short-memory time series. Zbl 1396.62199
Chen, Kun; Chan, Ngai Hang; Yau, Chun Yip
1
2016
Improved tests for forecast comparisons in the presence of instabilities. Zbl 1396.62213
Martins, Luis Filipe; Perron, Pierre
1
2016
Tests based on simplicial depth for AR(1) models with explosion. Zbl 1349.62410
Kustosz, Christoph P.; Leucht, Anne; Müller, Christine H.
1
2016
Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies. Zbl 1403.62167
Miller, J. Isaac; Wang, Xi
1
2016
An unbiased measure of integrated volatility in the frequency domain. Zbl 1416.62531
Wang, Fangfang
1
2016
Bounds, breaks and unit root tests. Zbl 1416.62479
Carrion-I-Silvestre, Josep Lluís; Gadea, María Dolores
1
2016
Inference for the fourth-order innovation cumulant in linear time series. Zbl 1416.62486
Fragkeskou, Maria; Paparoditis, Efstathios
1
2016
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Cited by 6,315 Authors

49 Politis, Dimitris Nicolas
49 Wang, Dehui
46 Taylor, A. M. Robert
42 Weiß, Christian H.
41 Lee, Sangyeol
38 Shin, Dongwan
37 Robinson, Peter Michael
36 Taqqu, Murad S.
35 Phillips, Peter Charles Bonest
33 Gil-Alana, Luis Alberiko
33 Horváth, Lajos
31 Dette, Holger
30 Hallin, Marc
30 Linton, Oliver Bruce
30 Surgailis, Donatas
30 Thavaneswaran, Aerambamoorthy
30 Zhu, Fukang
28 Aknouche, Abdelhakim
28 Chen, Cathy W. S.
28 Gourieroux, Christian
28 Kokoszka, Piotr S.
28 Paparoditis, Efstathios
27 Giraitis, Liudas
27 Ling, Shiqing
26 Francq, Christian
25 McElroy, Tucker S.
25 Peiris, M. Shelton
24 Davis, Richard A.
24 Hassler, Uwe
24 Leybourne, Stephen J.
24 Nielsen, Morten Ørregaard
24 Saikkonen, Pentti
24 Tjøstheim, Dag B.
24 Wu, Wei Biao
23 Bibi, Abdelouahab
23 Duchesne, Pierre
23 Fokianos, Konstantinos
23 Hidalgo, Javier
22 Basawa, Ishwar V.
22 Koul, Hira Lal
22 Lahiri, Soumendra Nath
22 Reisen, Valdério Anselmo
21 Beran, Jan
21 Doukhan, Paul
21 Wang, Lihong
20 Hušková, Marie
20 Leonenko, Nikolai N.
20 Peña, Daniel
20 Ristić, Miroslav M.
20 Zakoïan, Jean-Michel
19 Li, Wai Keung
19 Velasco, Carlos I. Hoyos
18 Anděl, Jiří
18 Bardet, Jean-Marc
18 Cavaliere, Giuseppe
18 Gao, Jiti
18 Kapetanios, George
18 Leipus, Remigijus
18 Lund, Robert B.
18 Nordman, Daniel J.
18 Psaradakis, Zacharias
18 Taniguchi, Masanobu
18 Tran, Lanh Tat
17 Battaglia, Francesco Paolo
17 Chan, Ngai Hang
17 Didier, Gustavo
17 Harvey, David I.
17 Li, Qi
17 Moulines, Eric
17 Pipiras, Vladas
17 Sutradhar, Brajendra Chandra
16 Aue, Alexander
16 Jowaheer, Vandna
16 Kirch, Claudia
16 Kreiss, Jens-Peter
16 Perron, Pierre
16 Sibbertsen, Philipp
15 Dahlhaus, Rainer
15 Guégan, Dominique
15 Jentsch, Carsten
15 Lütkepohl, Helmut
15 Nastić, Aleksandar S.
15 Palma, Wilfredo
15 Rodrigues, Paulo M. M.
15 Roueff, François
15 Shao, Xiaofeng
15 Tong, Howell
14 Arteche, Josu
14 Bentarzi, Mohamed
14 Boente, Graciela
14 Franses, Philip Hans
14 Granger, Clive William John
14 Lopes, Sílvia R. C.
14 Lu, Zudi
14 Rice, Gregory
14 Scotto, Manuel González
13 Alonso, Andrés M.
13 Cai, Zongwu
13 Dufour, Jean-Marie
13 Fryzlewicz, Piotr
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614 Journal of Econometrics
449 Journal of Time Series Analysis
320 Computational Statistics and Data Analysis
298 Journal of Statistical Planning and Inference
298 Statistics & Probability Letters
267 Communications in Statistics. Theory and Methods
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49 Journal of the Korean Statistical Society
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38 The Canadian Journal of Statistics
30 Mathematics and Computers in Simulation
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28 Kybernetika
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28 AStA. Advances in Statistical Analysis
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27 Mathematical and Computer Modelling
26 The Annals of Applied Statistics
25 Acta Mathematicae Applicatae Sinica. English Series
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24 Methodology and Computing in Applied Probability
24 Comptes Rendus. Mathématique. Académie des Sciences, Paris
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12 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
12 Extremes
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11 Sankhyā. Series B
10 Linear Algebra and its Applications
10 Advances in Difference Equations
10 Science China. Mathematics
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