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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: 1,603 Publications (since 1980)
References Indexed: 1,146 Publications with 25,098 References.
all top 5

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...and 105 more Volumes
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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 1,575 more Authors

Publications by Year

Citations contained in zbMATH Open

1,255 Publications have been cited 12,828 times in 7,212 Documents Cited by Year
An introduction to long-memory time series models and fractional differencing. Zbl 0503.62079
Granger, C. W. J.; Joyeux, Roselyne
477
1980
The estimation and application of long memory time series models. Zbl 0534.62062
Geweke, John; Porter-Hudak, Susan
350
1983
First-order integer-valued autoregressive (INAR(1)) process. Zbl 0617.62096
Al-Osh, M. A.; Alzaid, A. A.
289
1987
Nonparametric estimators for time series. Zbl 0544.62082
Robinson, P. M.
196
1983
Multivariate local polynomial regression for time series: Uniform strong consistency and rates. Zbl 0876.62075
Masry, Elias
177
1996
Integer-valued GARCH process. Zbl 1150.62046
Ferland, René; Latour, Alain; Oraichi, Driss
144
2006
An approach to time series smoothing and forecasting using the EM algorithm. Zbl 0502.62085
Shumway, R. H.; Stoffer, D. S.
139
1982
The integer-valued autoregressive (INAR(p)) model. Zbl 0727.62084
Du, Jinguan; Li, Yuan
130
1991
Data augmentation and dynamic linear models. Zbl 0815.62065
Frühwirth-Schnatter, Sylvia
128
1994
Least squares estimation of a shift in linear processes. Zbl 0808.62079
Bai, Jushan
118
1994
Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067
McLeod, A. I.; Li, W. K.
109
1983
Structural breaks in time series. Zbl 1274.62553
Aue, Alexander; Horváth, Lajos
99
2013
Random coefficient autoregressive processes: A Markov chain analysis of stationarity and finiteness of moments. Zbl 0572.62069
Feigin, 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 0920.62108
Hurvich, Clifford M.; Deo, Rohit; Brodsky, Julia
87
1998
On estimating thresholds in autoregressive models. Zbl 0596.62085
Chan, K. S.; Tong, H.
73
1986
Testing for Gaussianity and linearity of a stationary time series. Zbl 0502.62079
Hinich, Melvin J.
72
1982
Analysis of low count time series data by Poisson autoregression. Zbl 1062.62174
Freeland, R. K.; McCabe, B. P. M.
71
2004
A negative binomial integer-valued GARCH model. Zbl 1290.62092
Zhu, Fukang
70
2011
On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070
Li, W. K.; Mak, T. K.
70
1994
On generalized fractional processes. Zbl 0685.62075
Gray, Henry L.; Zhang, Nien-Fan; Woodward, Wayne A.
67
1989
Bias-corrected nonparametric spectral estimation. Zbl 0811.62088
Politis, Dimitris N.; Romano, Joseph P.
65
1995
Existence and stochastic structure of a non-negative integer-valued autoregressive process. Zbl 1127.62402
Latour, Alain
63
1998
Kernel regression smoothing of time series. Zbl 0759.62016
Härdle, Wolfgang; Vieu, Philippe
60
1992
A distance measure for classifying ARIMA models. Zbl 0691.62083
Piccolo, Domenico
57
1990
Inference for \(p\) th-order random coefficient integer-valued autoregressive processes. Zbl 1126.62086
Zheng, Haitao; Basawa, Ishwar V.; Datta, Somnath
54
2006
Least-squares estimation of an unknown number of shifts in a time series. Zbl 0974.62070
Lavielle, Marc; Moulines, Eric
54
2000
Recursive mean adjustment for unit root tests. Zbl 0979.62070
Shin, Dong Wan; So, Beong Soo
53
2001
Change-point detection in panel data. Zbl 1282.62181
Horváth, Lajos; Hušková, Marie
52
2012
A test for linearity of stationary time series. Zbl 0499.62078
Rao, T. Subba; Gabr, M. M.
52
1980
A sieve bootstrap for the test of a unit root. Zbl 1036.62070
Chang, Yoosoon; Park, Joon Y.
52
2003
First-order integer valued AR processes with zero inflated Poisson innovations. Zbl 1281.62197
Jazi, Mansour Aghababaei; Jones, Geoff; Lai, Chin-Diew
50
2012
Tests for comparing two estimated spectral densities. Zbl 0581.62076
Coates, D. S.; Diggle, P. J.
50
1986
Large sample properties of parameter estimates for periodic ARMA models. Zbl 0984.62062
Basawa, I. V.; Lund, Robert
46
2001
Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Zbl 0813.62081
Hurvich, Clifford M.; Ray, Bonnie K.
45
1995
Asymptotics for the low-frequency ordinates of the periodogram of a long- memory time series. Zbl 0782.62086
Hurvich, Clifford M.; Beltrao, Kaizo I.
45
1993
Identifiability in dynamic errors-in-variables models. Zbl 0536.93064
Anderson, B. D. O.; Deistler, M.
43
1984
State-dependent models: A general approach to non-linear time series analysis. Zbl 0496.62076
Priestley, M. B.
43
1980
Interventions in INGARCH processes. Zbl 1242.62095
Fokianos, Konstantinos; Fried, Roland
43
2010
Modelling count data time series with Markov processes based on binomial thinning. Zbl 1111.62085
Zhu, Rong; Joe, Harry
42
2006
Bootstrapping stationary autoregressive moving-average models. Zbl 0787.62092
Kreiss, Jens-Peter; Franke, Jürgen
42
1992
ARMA models with ARCH errors. Zbl 0549.62079
Weiss, Andrew A.
41
1984
Spectral analysis with tapered data. Zbl 0552.62068
Dahlhaus, Rainer
41
1983
Uniform limit theory for stationary autoregression. Zbl 1114.62087
Giraitis, Liudas; Phillips, Peter C. B.
41
2006
Stationary discrete autoregressive-moving average time series generated by mixtures. Zbl 0526.62084
Jacobs, P. A.; Lewis, P. A. W.
40
1983
A dependence metric for possibly nonlinear processes. Zbl 1062.62178
Granger, C. W.; Maasoumi, E.; Racine, J.
37
2004
Recursive prediction and likelihood evaluation for periodic ARMA models. Zbl 0974.62085
Lund, Robert; Basawa, I. V.
37
2000
Gaussian semiparametric estimation of nonstationary time series. Zbl 0922.62093
Velasko, Carlos
37
1999
Regression, autoregression models. Zbl 0588.62163
Hannan, E. J.; Kavalieris, L.
36
1986
Determining the bandwidth of a kernel spectrum estimate. Zbl 0608.62118
Beltrão, Kaizô I.; Bloomfield, Peter
35
1987
Estimation for nonlinear time series models using estimating equations. Zbl 0638.62083
Thavaneswaran, A.; Abraham, B.
35
1988
Banded and tapered estimates for autocovariance matrices and the linear process bootstrap. Zbl 1226.60052
McMurry, Timothy L.; Politis, Dimitris N.
35
2010
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.
35
2007
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.
35
1992
A \(k\)-factor GARMA long-memory model. Zbl 1017.62083
Woodward, Wayne A.; Cheng, Q. C.; Gray, H. L.
35
1998
Time series models in non-normal situation: symmetric innovations. Zbl 0972.62084
Tiku, M. L.; Wong, Wing-Keung; Vaughan, David C.; Bian, Guorui
35
2000
Difference equations for the higher-order moments and cumulants of the INAR(1) model. Zbl 1062.62167
Da Silva, Maria Eduarda; Olivera, Vera Lúcia
34
2004
An efficient taper for potentially overdifferenced long-memory time series. Zbl 0958.62085
Hurvich, Clifford M.; Chen, Willa W.
34
2000
The estimation of random coefficient autoregressive models. I. Zbl 0495.62083
Nicholls, D. F.; Quinn, B. G.
34
1980
Inference for single and multiple change-points in time series. Zbl 1275.62061
Jandhyala, Venkata; Fotopoulos, Stergios; MacNeill, Ian; Liu, Pengyu
34
2013
Nonlinear transformations of integrated time series. Zbl 0721.62088
Granger, C. W. J.; Hallman, Jeff
33
1991
Quasi-likelihood inference for negative binomial time series models. Zbl 1301.62084
Christou, Vasiliki; Fokianos, Konstantinos
33
2014
Semiparametric inference in seasonal and cyclical long memory processes. Zbl 0974.62079
Arteche, Josu; Robinson, Peter M.
32
2000
Towards a unified approach for proving geometric ergodicity and mixing properties of nonlinear autoregressive processes. Zbl 1092.62091
Liebscher, Eckhard
32
2005
Bayesian threshold autoregressive models for nonlinear time series. Zbl 0779.62073
Geweke, John; Terui, Nobuhiko
31
1993
Bayesian methods for change-point detection in long-range dependent processes. Zbl 1114.62092
Ray, Bonnie K.; Tsay, Ruey S.
30
2002
Bayesian analysis of autoregressive time series via the Gibbs sampler. Zbl 0800.62549
McCulloch, Robert E.; Tsay, Ruey S.
30
1994
Highly robust estimation of the autocovariance function. Zbl 0970.62056
Ma, Yanyuan; Genton, Marc G.
30
2000
Measuring nonlinear dependence in time-series, a distance correlation approach. Zbl 1301.62095
Zhou, Zhou
30
2012
Nonparametric autoregression with multiplicative volatility and additive mean. Zbl 0932.62106
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens P.
29
1999
Regression models for non-stationary categorical time series. Zbl 0616.62116
Fahrmeir, Ludwig; Kaufmann, Heinz
29
1987
Inference in autoregression under heteroscedasticity. Zbl 1111.62082
Phillips, Peter C. B.; Xu, Ke-Li
29
2006
Poisson QMLE of count time series models. Zbl 1381.62244
Ahmad, Ali; Francq, Christian
28
2016
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
Estimation in random coefficient autoregressive models. Zbl 1112.62084
Aue, Alexander; Horváth, Lajos; Steinebach, Josef
28
2006
Estimation of the fractional difference parameter in the \(\text{ARIMA}(p,d,q)\) model using the smoothed periodogram. Zbl 0803.62084
Reisen, Valderio A.
28
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
28
1997
A test for second-order stationarity of a time series based on the discrete Fourier transform. Zbl 1290.62059
Dwivedi, Yogesh; Rao, Suhasini Subba
27
2011
Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081
Ling, Shiqing; Li, W. K.
27
1997
Bootstrap predictive inference for ARIMA processes. Zbl 1062.62199
Pascual, Lorenzo; Romo, Juan; Ruiz, Esther
26
2004
Consistent estimation of the memory parameter for nonlinear time series. Zbl 1115.62084
Dalla, Violetta; Giraitis, Liudas; Hidalgo, Javier
26
2006
Break detection for a class of nonlinear time series models. Zbl 1199.62006
Davis, Richard A.; Lee, Thomas C. M.; Rodriguez-Yam, Gabriel A.
26
2008
(Mis)specification of long memory in seasonal time series. Zbl 0794.62059
Hassler, Uwe
26
1994
Using the mutual information coefficient to identify lags in nonlinear models. Zbl 0807.62067
Granger, Clive; Lin, Jin-Lung
26
1994
Statistical analysis of economic time series via Markov switching models. Zbl 0807.62096
McCulloch, Robert E.; Tsay, Ruey S.
26
1994
Bootstrapping unit root tests for integrated processes. Zbl 1023.62090
Swensen, Anders Rygh
26
2003
Conditional heteroskedasticity driven by hidden Markov chains. Zbl 0972.62077
Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel
26
2001
A wavelet-based test for stationarity. Zbl 0972.62085
von Sachs, Rainer; Neumann, Michael H.
26
2000
Estimation in nonstationary random coefficient autoregressive models. Zbl 1224.62046
Berkes, István; Horváth, Lajos; Ling, Shiqing
26
2009
Temporal aggregation in the ARIMA process. Zbl 0614.62115
Stram, Daniel O.; Wei, William W. S.
25
1986
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
Testing for the randomness of autoregressive coefficients. Zbl 0505.62076
Quinn, B. G.; Nicholls, D. F.
25
1982
Diagnostic checking of periodic autoregression models with application. Zbl 0800.62550
McLeod, A. I.
25
1994
Bayesian inference of threshold autoregressive models. Zbl 0833.62083
Chen, Cathy W. S.; Lee, Jack C.
25
1995
Consistency of the averaged cross-periodogram in long memory series. Zbl 0938.62103
Lobato, Ignacio N.
25
1997
Explosive random-coefficient AR(1) processes and related asymptotics for least-squares estimation. Zbl 1097.62081
Hwang, S. Y.; Basawa, I. V.
24
2005
Properties of the sieve bootstrap for fractionally integrated and non-invertible processes. Zbl 1164.62053
Poskitt, D. S.
24
2008
Maximum likelihood estimation of higher-order integer-valued autoregressive processes. Zbl 1198.62090
Bu, Ruijun; McCabe, Brendan; Hadri, Kaddour
24
2008
Alternative estimators and unit root tests for the autoregressive process. Zbl 0825.62688
Park, Heon Jin; Fuller, Wayne A.
24
1995
A corrected Akaike information criterion for vector autoregressive model selection. Zbl 0768.62076
Hurvich, Clifford M.; Tsai, Chih-Ling
24
1993
Wasserstein autoregressive models for density time series. Zbl 07476226
Zhang, Chao; Kokoszka, Piotr; Petersen, Alexander
1
2022
A new approach for open-end sequential change point monitoring. Zbl 1468.62338
Gösmann, Josua; Kley, Tobias; Dette, Holger
4
2021
Mixtures of nonlinear Poisson autoregressions. Zbl 1468.62334
Doukhan, Paul; Fokianos, Konstantinos; Rynkiewicz, Joseph
2
2021
Necessary and sufficient conditions for the identifiability of observation-driven models. Zbl 07364926
Douc, Randal; Roueff, François; Sim, Tepmony
2
2021
Long range dependence for stable random processes. Zbl 1484.60041
Makogin, Vitalii; Oesting, Marco; Rapp, Albert; Spodarev, Evgeny
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
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.
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
A local limit theorem for linear random fields. Zbl 1477.60046
Fortune, Timothy; Peligrad, Magda; Sang, Hailin
1
2021
Tests for conditional heteroscedasticity of functional data. Zbl 1458.62325
Rice, Gregory; Wirjanto, Tony; Zhao, Yuqian
4
2020
Extracting conditionally heteroskedastic components using independent component analysis. Zbl 1447.62104
Miettinen, Jari; Matilainen, Markus; Nordhausen, Klaus; Taskinen, Sara
3
2020
Empirical characteristic functions-based estimation and distance correlation for locally stationary processes. Zbl 1445.62057
Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, Carina
2
2020
Estimating the mean direction of strongly dependent circular time series. Zbl 1445.62218
Beran, Jan; Ghosh, Sucharita
2
2020
Robust linear interpolation and extrapolation of stationary time series in \(L^p\). Zbl 1455.62174
Liu, Yan; Xue, Yujie; Taniguchi, Masanobu
2
2020
A flexible univariate autoregressive time-series model for dispersed count data. Zbl 1445.62238
Sellers, Kimberly F.; Peng, Stephen J.; Arab, Ali
2
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
2
2020
Testing equality of autocovariance operators for functional time series. Zbl 1450.62139
Pilavakis, Dimitrios; Paparoditis, Efstathios; Sapatinas, Theofanis
2
2020
Bootstrap inference for GARCH models by the least absolute deviation estimation. Zbl 1455.62185
Zhu, Qianqian; Zeng, Ruochen; Li, Guodong
1
2020
Harmonically weighted processes. Zbl 1444.62105
Hassler, Uwe; Hosseinkouchack, Mehdi
1
2020
On singular spectrum analysis and stepwise time series reconstruction. Zbl 1442.62204
Poskitt, Donald S.
1
2020
Volatility asymmetry in functional threshold GARCH model. Zbl 1444.62109
Sun, Hao; Yu, Bo
1
2020
Walsh Fourier transform of locally stationary time series. Zbl 1444.62106
Huang, Zhelin; Chan, Ngai Hang
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
The marginal density of a TMA(1) process. Zbl 1443.62276
Li, Dong; Qiu, Jiaming
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
Two-step estimation for time varying ARCH models. Zbl 1450.62037
Zhang, Yuanyuan; Liu, Rong; Shao, Qin; Yang, Lijian
1
2020
Robust estimation of stationary continuous-time ARMA models via indirect inference. Zbl 1453.62394
Fasen-Hartmann, Vicky; Kimmig, Sebastian
1
2020
A family of multivariate non-Gaussian time series models. Zbl 1453.62625
Aktekin, Tevfik; Polson, Nicholas G.; Soyer, Refik
1
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
1
2020
Models for circular data from time series spectra. Zbl 1454.37081
Taniguchi, Masanobu; Kato, Shogo; Ogata, Hiroaki; Pewsey, Arthur
1
2020
Conway-Maxwell-Poisson autoregressive moving average model for equidispersed, underdispersed, and overdispersed count data. Zbl 1456.62174
Melo, Moizes; Alencar, Airlane
1
2020
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
5
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.
5
2019
Nonstationary cointegration in the fractionally cointegrated VAR Model. Zbl 1421.62122
Johansen, Søren; Nielsen, Morten Ørregaard
4
2019
A structural-factor approach to modeling high-dimensional time series and space-time data. Zbl 1412.62117
Gao, Zhaoxing; Tsay, Ruey S.
3
2019
Sampling, embedding and inference for CARMA processes. Zbl 1433.62254
Brockwell, Peter J.; Lindner, Alexander
3
2019
On the ergodicity of first-order threshold autoregressive moving-average processes. Zbl 1419.62222
Chan, Kung-sik; Goracci, Greta
3
2019
Inference for the lagged cross-covariance operator between functional time series. Zbl 1434.62248
Rice, Gregory; Shum, Marco
3
2019
Estimating spatial changes over time of arctic sea ice using hidden \(2 \times 2\) tables. Zbl 1418.62401
Zhang, Bohai; Cressie, Noel
2
2019
Negative binomial autoregressive process with stochastic intensity. Zbl 1425.62125
Gouriéroux, Christian; Lu, Yang
2
2019
Multivariate quantile impulse response functions. Zbl 1431.62221
Montes-Rojas, Gabriel
2
2019
Flexible and robust mixed Poisson INGARCH models. Zbl 1431.62350
Silva, Rodrigo B.; Barreto-Souza, Wagner
2
2019
Bayesian inference for ARFIMA models. Zbl 1421.62119
Durham, Garland; Geweke, John; Porter-Hudak, Susan; Sowell, Fallaw
2
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.
2
2019
Asymptotic theory and unified confidence region for an autoregressive model. Zbl 1416.62507
Liu, Xiaohui; Peng, Liang
1
2019
On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling. Zbl 1425.62122
Anderson, Brian D. O.; Deistler, Manfred; Dufour, Jean-Marie
1
2019
Quasi-Bayesian estimation of time-varying volatility in DSGE models. Zbl 1417.62347
Petrova, Katerina
1
2019
Scalable inference for space-time Gaussian Cox processes. Zbl 1435.62433
Shirota, Shinichiro; Banerjee, Sudipto
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
Spatio-temporal models for big multinomial data using the conditional multivariate logit-beta distribution. Zbl 1418.62303
Bradley, Jonathan R.; Wikle, Christopher K.; Holan, Scott H.
1
2019
Common breaks in means for cross-correlated fixed-\(T\) panel data. Zbl 1419.62254
Westerlund, Joakim
1
2019
Semiparametric detection of changes in long range dependence. Zbl 1434.62222
Iacone, Fabrizio; Lazarová, Štěpána
1
2019
Testing for change in long-memory stochastic volatility time series. Zbl 1433.62252
Betken, Annika; Kulik, Rafał
1
2019
Volatility estimation and jump testing via realized information variation. Zbl 1435.62163
Liu, Weiyi; Wang, Mingjin
1
2019
Robustness of zero crossing estimator. Zbl 1431.62379
Goto, Yuichi; Taniguchi, Masanobu
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 1477.62369
Götz, Thomas B.; Hecq, Alain W.
1
2019
Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data. Zbl 1434.62192
Miller, J. Isaac
1
2019
Exact discrete representations of linear continuous time models with mixed frequency data. Zbl 1477.62253
Thornton, Michael A.
1
2019
Order selection and inference with long memory dependent data. Zbl 1422.62282
Gupta, Abhimanyu; Hidalgo, Javier
1
2019
A generalised fractional differencing bootstrap for long memory processes. Zbl 1432.62301
Kapetanios, George; Papailias, Fotis; Taylor, A. M. Robert
1
2019
The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility. Zbl 1421.62126
Liu, Jun; Deo, Rohit; Hurvich, Clifford
1
2019
Long memory, realized volatility and heterogeneous autoregressive models. Zbl 1426.62253
Baillie, Richard T.; Calonaci, Fabio; Cho, Dooyeon; Rho, Seunghwa
1
2019
Inference on multivariate heteroscedastic time varying random coefficient models. Zbl 1392.62287
Giraitis, Liudas; Kapetanios, George; Yates, Tony
7
2018
Testing normality of functional time series. Zbl 1416.62489
Górecki, Tomasz; Hörmann, Siegfried; Horváth, Lajos; Kokoszka, Piotr
6
2018
Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation. Zbl 1392.62264
Gorgi, Paolo
5
2018
Boundary limit theory for functional local to unity regression. Zbl 1391.60057
Bykhovskaya, Anna; Phillips, Peter C. B.
5
2018
Orthogonal samples for estimators in time series. Zbl 1416.62523
Rao, Suhasini Subba
4
2018
Detecting tail risk differences in multivariate time series. Zbl 1401.62157
Hoga, Yannick
4
2018
Tests for comparing time-invariant and time-varying spectra based on the Pearson statistic. Zbl 1401.62183
Zhang, Shibin; Tu, Xin M.
4
2018
A simple test for white noise in functional time series. Zbl 1416.62475
Bagchi, Pramita; Characiejus, Vaidotas; Dette, Holger
3
2018
Oracle properties, bias correction, and bootstrap inference for adaptive lasso for time series \(M\)-estimators. Zbl 1392.62212
Audrino, Francesco; Camponovo, Lorenzo
3
2018
Negative binomial quasi-likelihood inference for general integer-valued time series models. Zbl 1392.62259
Aknouche, Abdelhakim; Bendjeddou, Sara; Touche, Nassim
3
2018
Extending the range of validity of the autoregressive (sieve) bootstrap. Zbl 1392.62263
Fragkeskou, Maria; Paparoditis, Efstathios
3
2018
Balanced bootstrap joint confidence bands for structural impulse response functions. Zbl 1401.62070
Bruder, Stefan; Wolf, Michael
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
Tests for the equality of two processes’ spectral densities with unequal lengths using wavelet methods. Zbl 1416.62250
Li, Linyuan; Lu, Kewei
2
2018
Square-root Lasso for high-dimensional sparse linear systems with weakly dependent errors. Zbl 1392.62219
Xie, Fang; Xiao, Zhijie
2
2018
Stationary subspace analysis of nonstationary processes. Zbl 1392.62277
Sundararajan, Raanju Ragavendar; Pourahmadi, Mohsen
2
2018
Non-parametric spectral density estimation under long-range dependence. Zbl 1392.62284
Kim, Young Min; Lahiri, Soumendra N.; Nordman, Daniel J.
2
2018
Asymptotic theory of test statistic for sphericity of high-dimensional time series. Zbl 1416.62299
Liu, Yan; Tamura, Yurie; Taniguchi, Masanobu
2
2018
Prediction interval for autoregressive time series via oracally efficient estimation of multi-step-ahead innovation distribution function. Zbl 1401.62162
Kong, Juanjuan; Gu, Lijie; Yang, Lijian
2
2018
Change-point detection in autoregressive models with no moment assumptions. Zbl 1401.62139
Akashi, Fumiya; Dette, Holger; Liu, Yan
2
2018
Testing the CVAR in the fractional CVAR model. Zbl 1402.62200
Johansen, Søren; Nielsen, Morten Ørregaard
2
2018
Modeling the interactions between volatility and returns using EGARCH-M. Zbl 1402.91585
Harvey, Andrew; Lange, Rutger-Jan
2
2018
The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models. Zbl 1402.62196
Cavaliere, Giuseppe; Pedersen, Rasmus Søndergaard; Rahbek, Anders
2
2018
Principal components analysis of periodically correlated functional time series. Zbl 1416.62503
Kidziński, Łukasz; Kokoszka, Piotr; Jouzdani, Neda Mohammadi
2
2018
On local trigonometric regression under dependence. Zbl 1416.62471
Beran, Jan; Steffens, Britta; Ghosh, Sucharita
2
2018
Block bootstrap for the empirical process of long-range dependent data. Zbl 1416.62239
Tewes, Johannes
1
2018
Robust Wilcoxon-type estimation of change-point location under short-range dependence. Zbl 1416.62488
Gerstenberger, Carina
1
2018
Semi-parametric estimation for non-Gaussian non-minimum phase ARMA models. Zbl 1416.62482
Davis, Richard A.; Zhang, Jing
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
Testing separability of functional time series. Zbl 1401.62147
Constantinou, Panayiotis; Kokoszka, Piotr; Reimherr, Matthew
1
2018
Discrete-time approximation of a COGRAPH(\(p,q\)) model and its estimation. Zbl 1416.62497
Iacus, Stefano M.; Mercuri, Lorenzo; Rroji, Edit
1
2018
Real-time monitoring for explosive financial bubbles. Zbl 1402.91579
Astill, Sam; Harvey, David I.; Leybourne, Stephen J.; Sollis, Robert; Taylor, A. M. Robert
1
2018
Mildly explosive autoregression under stationary conditional heteroskedasticity. Zbl 1402.62192
Arvanitis, Stelios; Magdalinos, Tassos
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
11
2017
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Cited by 7,171 Authors

64 Wang, Dehui
52 Lee, Sangyeol
51 Politis, Dimitris Nicolas
49 Taylor, A. M. Robert
44 Weiß, Christian H.
41 Shin, Dongwan
37 Phillips, Peter Charles Bonest
37 Robinson, Peter Michael
37 Taqqu, Murad S.
37 Zhu, Fukang
35 Horváth, Lajos
34 Dette, Holger
34 Gil-Alana, Luis Alberiko
33 Linton, Oliver Bruce
30 Hallin, Marc
30 Surgailis, Donatas
30 Thavaneswaran, Aerambamoorthy
29 Chen, Cathy W. S.
29 Giraitis, Liudas
29 Ling, Shiqing
29 Paparoditis, Efstathios
28 Aknouche, Abdelhakim
28 Bibi, Abdelouahab
28 Francq, Christian
28 Gourieroux, Christian
28 Hidalgo, Javier
28 Kokoszka, Piotr S.
27 Hassler, Uwe
26 McElroy, Tucker S.
26 Tjøstheim, Dag B.
25 Davis, Richard A.
25 Nielsen, Morten Ørregaard
25 Peiris, M. Shelton
25 Reisen, Valdério Anselmo
25 Saikkonen, Pentti
24 Beran, Jan
24 Fokianos, Konstantinos
24 Hušková, Marie
24 Leybourne, Stephen J.
24 Ristić, Miroslav M.
24 Wu, Wei Biao
23 Doukhan, Paul
23 Duchesne, Pierre
22 Basawa, Ishwar V.
22 Kapetanios, George
22 Koul, Hira Lal
22 Lahiri, Soumendra Nath
22 Li, Qi
22 Peña, Daniel
22 Wang, Lihong
22 Zakoïan, Jean-Michel
21 Cavaliere, Giuseppe
21 Gao, Jiti
21 Leonenko, Nikolai N.
21 Psaradakis, Zacharias
21 Yang, Kai
20 Jowaheer, Vandna
20 Li, Wai Keung
19 Battaglia, Francesco Paolo
19 Chan, Ngai Hang
19 Didier, Gustavo
19 Kirch, Claudia
19 Lund, Robert B.
19 Perron, Pierre
19 Sutradhar, Brajendra Chandra
19 Taniguchi, Masanobu
19 Velasco, Carlos I. Hoyos
18 Anděl, Jiří
18 Bardet, Jean-Marc
18 Leipus, Remigijus
18 Nordman, Daniel J.
18 Pipiras, Vladas
18 Tran, Lanh Tat
17 Bentarzi, Mohamed
17 Harvey, David I.
17 Moulines, Eric
17 Nastić, Aleksandar S.
17 Shao, Xiaofeng
17 Sibbertsen, Philipp
17 Teräsvirta, Timo
16 Aue, Alexander
16 Koopman, Siem Jan
16 Kreiß, Jens-Peter
16 Rodrigues, Paulo M. M.
16 Scotto, Manuel González
15 Arteche, Josu
15 Bourguignon, Marcelo
15 Cavicchioli, Maddalena
15 Dahlhaus, Rainer
15 Guégan, Dominique
15 Hwang, Sun Young
15 Jentsch, Carsten
15 Lévy-Leduc, Céline
15 Lieberman, Offer
15 Lütkepohl, Helmut
15 Palma, Wilfredo
15 Rice, Gregory
15 Roueff, François
15 Sunecher, Yuvraj
15 Tong, Howell
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Cited in 394 Journals

629 Journal of Econometrics
449 Journal of Time Series Analysis
337 Communications in Statistics. Theory and Methods
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