## 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.
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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
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### Fields

 1,569 Statistics (62-XX) 275 Probability theory and stochastic processes (60-XX) 172 Numerical analysis (65-XX) 118 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 47 General and overarching topics; collections (00-XX) 38 Systems theory; control (93-XX) 17 Harmonic analysis on Euclidean spaces (42-XX) 16 Geophysics (86-XX) 15 Dynamical systems and ergodic theory (37-XX) 13 Biology and other natural sciences (92-XX) 10 History and biography (01-XX) 6 Linear and multilinear algebra; matrix theory (15-XX) 6 Computer science (68-XX) 5 Operations research, mathematical programming (90-XX) 5 Information and communication theory, circuits (94-XX) 4 Real functions (26-XX) 3 Difference and functional equations (39-XX) 3 Functional analysis (46-XX) 2 Ordinary differential equations (34-XX) 2 Partial differential equations (35-XX) 2 Astronomy and astrophysics (85-XX) 1 Combinatorics (05-XX) 1 Special functions (33-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX)

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1,260 Publications have been cited 12,868 times in 7,236 Documents Cited by Year
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The estimation and application of long memory time series models. Zbl 0534.62062
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First-order integer-valued autoregressive (INAR(1)) process. Zbl 0617.62096
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1987
Nonparametric estimators for time series. Zbl 0544.62082
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Multivariate local polynomial regression for time series: Uniform strong consistency and rates. Zbl 0876.62075
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Integer-valued GARCH process. Zbl 1150.62046
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The integer-valued autoregressive (INAR(p)) model. Zbl 0727.62084
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Data augmentation and dynamic linear models. Zbl 0815.62065
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1994
Least squares estimation of a shift in linear processes. Zbl 0808.62079
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Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067
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1983
Structural breaks in time series. Zbl 1274.62553
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The mean squared error of Geweke and Porter-Hudak’s estimator of the memory parameter of a long-memory time series. Zbl 0920.62108
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1998
Random coefficient autoregressive processes: A Markov chain analysis of stationarity and finiteness of moments. Zbl 0572.62069
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On estimating thresholds in autoregressive models. Zbl 0596.62085
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1986
Testing for Gaussianity and linearity of a stationary time series. Zbl 0502.62079
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1982
Analysis of low count time series data by Poisson autoregression. Zbl 1062.62174
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On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070
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A negative binomial integer-valued GARCH model. Zbl 1290.62092
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2011
On generalized fractional processes. Zbl 0685.62075
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Bias-corrected nonparametric spectral estimation. Zbl 0811.62088
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1995
Existence and stochastic structure of a non-negative integer-valued autoregressive process. Zbl 1127.62402
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1998
Kernel regression smoothing of time series. Zbl 0759.62016
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1992
A distance measure for classifying ARIMA models. Zbl 0691.62083
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Inference for $$p$$ th-order random coefficient integer-valued autoregressive processes. Zbl 1126.62086
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2006
Least-squares estimation of an unknown number of shifts in a time series. Zbl 0974.62070
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2000
Recursive mean adjustment for unit root tests. Zbl 0979.62070
Shin, Dong Wan; So, Beong Soo
2001
A sieve bootstrap for the test of a unit root. Zbl 1036.62070
Chang, Yoosoon; Park, Joon Y.
2003
A test for linearity of stationary time series. Zbl 0499.62078
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1980
Change-point detection in panel data. Zbl 1282.62181
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2012
First-order integer valued AR processes with zero inflated Poisson innovations. Zbl 1281.62197
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2012
Tests for comparing two estimated spectral densities. Zbl 0581.62076
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1986
Large sample properties of parameter estimates for periodic ARMA models. Zbl 0984.62062
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2001
Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Zbl 0813.62081
Hurvich, Clifford M.; Ray, Bonnie K.
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.
1993
State-dependent models: A general approach to non-linear time series analysis. Zbl 0496.62076
Priestley, M. B.
1980
Interventions in INGARCH processes. Zbl 1242.62095
Fokianos, Konstantinos; Fried, Roland
2010
Identifiability in dynamic errors-in-variables models. Zbl 0536.93064
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1984
Bootstrapping stationary autoregressive moving-average models. Zbl 0787.62092
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1992
Uniform limit theory for stationary autoregression. Zbl 1114.62087
Giraitis, Liudas; Phillips, Peter C. B.
2006
Modelling count data time series with Markov processes based on binomial thinning. Zbl 1111.62085
Zhu, Rong; Joe, Harry
2006
ARMA models with ARCH errors. Zbl 0549.62079
Weiss, Andrew A.
1984
Spectral analysis with tapered data. Zbl 0552.62068
Dahlhaus, Rainer
1983
Stationary discrete autoregressive-moving average time series generated by mixtures. Zbl 0526.62084
Jacobs, P. A.; Lewis, P. A. W.
1983
A dependence metric for possibly nonlinear processes. Zbl 1062.62178
Granger, C. W.; Maasoumi, E.; Racine, J.
2004
Recursive prediction and likelihood evaluation for periodic ARMA models. Zbl 0974.62085
Lund, Robert; Basawa, I. V.
2000
Gaussian semiparametric estimation of nonstationary time series. Zbl 0922.62093
1999
Regression, autoregression models. Zbl 0588.62163
Hannan, E. J.; Kavalieris, L.
1986
Determining the bandwidth of a kernel spectrum estimate. Zbl 0608.62118
Beltrão, Kaizô I.; Bloomfield, Peter
1987
Estimation for nonlinear time series models using estimating equations. Zbl 0638.62083
Thavaneswaran, A.; Abraham, B.
1988
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.
1992
A $$k$$-factor GARMA long-memory model. Zbl 1017.62083
Woodward, Wayne A.; Cheng, Q. C.; Gray, H. L.
1998
Time series models in non-normal situation: symmetric innovations. Zbl 0972.62084
Tiku, M. L.; Wong, Wing-Keung; Vaughan, David C.; Bian, Guorui
2000
Banded and tapered estimates for autocovariance matrices and the linear process bootstrap. Zbl 1226.60052
McMurry, Timothy L.; Politis, Dimitris N.
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.
2007
The estimation of random coefficient autoregressive models. I. Zbl 0495.62083
Nicholls, D. F.; Quinn, B. G.
1980
Inference for single and multiple change-points in time series. Zbl 1275.62061
Jandhyala, Venkata; Fotopoulos, Stergios; MacNeill, Ian; Liu, Pengyu
2013
Difference equations for the higher-order moments and cumulants of the INAR(1) model. Zbl 1062.62167
Da Silva, Maria Eduarda; Olivera, Vera Lúcia
2004
An efficient taper for potentially overdifferenced long-memory time series. Zbl 0958.62085
Hurvich, Clifford M.; Chen, Willa W.
2000
Quasi-likelihood inference for negative binomial time series models. Zbl 1301.62084
Christou, Vasiliki; Fokianos, Konstantinos
2014
Nonlinear transformations of integrated time series. Zbl 0721.62088
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1991
Towards a unified approach for proving geometric ergodicity and mixing properties of nonlinear autoregressive processes. Zbl 1092.62091
Liebscher, Eckhard
2005
Semiparametric inference in seasonal and cyclical long memory processes. Zbl 0974.62079
Arteche, Josu; Robinson, Peter M.
2000
Bayesian threshold autoregressive models for nonlinear time series. Zbl 0779.62073
Geweke, John; Terui, Nobuhiko
1993
Highly robust estimation of the autocovariance function. Zbl 0970.62056
Ma, Yanyuan; Genton, Marc G.
2000
Bayesian analysis of autoregressive time series via the Gibbs sampler. Zbl 0800.62549
McCulloch, Robert E.; Tsay, Ruey S.
1994
Bayesian methods for change-point detection in long-range dependent processes. Zbl 1114.62092
Ray, Bonnie K.; Tsay, Ruey S.
2002
Measuring nonlinear dependence in time-series, a distance correlation approach. Zbl 1301.62095
Zhou, Zhou
2012
Regression models for non-stationary categorical time series. Zbl 0616.62116
Fahrmeir, Ludwig; Kaufmann, Heinz
1987
Nonparametric autoregression with multiplicative volatility and additive mean. Zbl 0932.62106
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens P.
1999
Inference in autoregression under heteroscedasticity. Zbl 1111.62082
Phillips, Peter C. B.; Xu, Ke-Li
2006
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.
1987
Estimation of the fractional difference parameter in the $$\text{ARIMA}(p,d,q)$$ model using the smoothed periodogram. Zbl 0803.62084
Reisen, Valderio A.
1994
Estimation in random coefficient autoregressive models. Zbl 1112.62084
Aue, Alexander; Horváth, Lajos; Steinebach, Josef
2006
Poisson QMLE of count time series models. Zbl 1381.62244
2016
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
1997
Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081
Ling, Shiqing; Li, W. K.
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
2011
Bootstrapping unit root tests for integrated processes. Zbl 1023.62090
Swensen, Anders Rygh
2003
Estimation in nonstationary random coefficient autoregressive models. Zbl 1224.62046
Berkes, István; Horváth, Lajos; Ling, Shiqing
2009
Bootstrap predictive inference for ARIMA processes. Zbl 1062.62199
Pascual, Lorenzo; Romo, Juan; Ruiz, Esther
2004
Using the mutual information coefficient to identify lags in nonlinear models. Zbl 0807.62067
Granger, Clive; Lin, Jin-Lung
1994
Statistical analysis of economic time series via Markov switching models. Zbl 0807.62096
McCulloch, Robert E.; Tsay, Ruey S.
1994
Conditional heteroskedasticity driven by hidden Markov chains. Zbl 0972.62077
Francq, Christian; Roussignol, Michel; Zakoïan, Jean-Michel
2001
A wavelet-based test for stationarity. Zbl 0972.62085
von Sachs, Rainer; Neumann, Michael H.
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.
2008
(Mis)specification of long memory in seasonal time series. Zbl 0794.62059
Hassler, Uwe
1994
Consistent estimation of the memory parameter for nonlinear time series. Zbl 1115.62084
Dalla, Violetta; Giraitis, Liudas; Hidalgo, Javier
2006
Testing for the randomness of autoregressive coefficients. Zbl 0505.62076
Quinn, B. G.; Nicholls, D. F.
1982
Temporal aggregation in the ARIMA process. Zbl 0614.62115
Stram, Daniel O.; Wei, William W. S.
1986
Nearest-neighbour methods for time series analysis. Zbl 0615.62115
Yakowitz, S.
1987
Consistency of the averaged cross-periodogram in long memory series. Zbl 0938.62103
Lobato, Ignacio N.
1997
Diagnostic checking of periodic autoregression models with application. Zbl 0800.62550
McLeod, A. I.
1994
Bayesian inference of threshold autoregressive models. Zbl 0833.62083
Chen, Cathy W. S.; Lee, Jack C.
1995
Some doubly stochastic time series models. Zbl 0588.62169
Tjøstheim, Dag
1986
Explosive random-coefficient AR(1) processes and related asymptotics for least-squares estimation. Zbl 1097.62081
Hwang, S. Y.; Basawa, I. V.
2005
Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis. Zbl 1221.62126
Kang, Jiwon; Lee, Sangyeol
2009
Properties of the sieve bootstrap for fractionally integrated and non-invertible processes. Zbl 1164.62053
Poskitt, D. S.
2008
Change point estimation of fractionally integrated process. Zbl 0921.62112
Kuan, Chung-Ming; Hsu, Chih-Chiang
1998
Maximum likelihood estimation of higher-order integer-valued autoregressive processes. Zbl 1198.62090
2008
Wasserstein autoregressive models for density time series. Zbl 07476226
Zhang, Chao; Kokoszka, Piotr; Petersen, Alexander
2022
State heterogeneity analysis of financial volatility using high-frequency financial data. Zbl 1492.91351
Chun, Dohyun; Kim, Donggyu
2022
A new approach for open-end sequential change point monitoring. Zbl 1468.62338
Gösmann, Josua; Kley, Tobias; Dette, Holger
2021
Mixtures of nonlinear Poisson autoregressions. Zbl 1468.62334
Doukhan, Paul; Fokianos, Konstantinos; Rynkiewicz, Joseph
2021
Necessary and sufficient conditions for the identifiability of observation-driven models. Zbl 07364926
Douc, Randal; Roueff, François; Sim, Tepmony
2021
Long range dependence for stable random processes. Zbl 1484.60041
Makogin, Vitalii; Oesting, Marco; Rapp, Albert; Spodarev, Evgeny
2021
Spectral methods for small sample time series: a complete periodogram approach. Zbl 1476.62180
Das, Sourav; Rao, Suhasini Subba; Yang, Junho
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.
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
2021
Local Whittle estimation of long-range dependence for functional time series. Zbl 1476.62188
Li, Degui; Robinson, Peter M.; Shang, Han Lin
2021
A local limit theorem for linear random fields. Zbl 1477.60046
Fortune, Timothy; Peligrad, Magda; Sang, Hailin
2021
Tests for conditional heteroscedasticity of functional data. Zbl 1458.62325
Rice, Gregory; Wirjanto, Tony; Zhao, Yuqian
2020
Testing equality of autocovariance operators for functional time series. Zbl 1450.62139
Pilavakis, Dimitrios; Paparoditis, Efstathios; Sapatinas, Theofanis
2020
Extracting conditionally heteroskedastic components using independent component analysis. Zbl 1447.62104
Miettinen, Jari; Matilainen, Markus; Nordhausen, Klaus; Taskinen, Sara
2020
Empirical characteristic functions-based estimation and distance correlation for locally stationary processes. Zbl 1445.62057
Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, Carina
2020
Estimating the mean direction of strongly dependent circular time series. Zbl 1445.62218
Beran, Jan; Ghosh, Sucharita
2020
Robust linear interpolation and extrapolation of stationary time series in $$L^p$$. Zbl 1455.62174
Liu, Yan; Xue, Yujie; Taniguchi, Masanobu
2020
A flexible univariate autoregressive time-series model for dispersed count data. Zbl 1445.62238
Sellers, Kimberly F.; Peng, Stephen J.; Arab, Ali
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
2020
Modeling the variance of return intervals toward volatility prediction. Zbl 1450.62116
Sun, Yan; Lian, Guanghua; Lu, Zudi; Loveland, Jennifer; Blackhurst, Isaac
2020
An asymptotic $$F$$ test for uncorrelatedness in the presence of time series dependence. Zbl 1450.62105
Wang, Xuexin; Sun, Yixiao
2020
Two-step estimation for time varying ARCH models. Zbl 1450.62037
Zhang, Yuanyuan; Liu, Rong; Shao, Qin; Yang, Lijian
2020
Robust estimation of stationary continuous-time ARMA models via indirect inference. Zbl 1453.62394
Fasen-Hartmann, Vicky; Kimmig, Sebastian
2020
A family of multivariate non-Gaussian time series models. Zbl 1453.62625
Aktekin, Tevfik; Polson, Nicholas G.; Soyer, Refik
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
2020
Models for circular data from time series spectra. Zbl 1454.37081
Taniguchi, Masanobu; Kato, Shogo; Ogata, Hiroaki; Pewsey, Arthur
2020
Conway-Maxwell-Poisson autoregressive moving average model for equidispersed, underdispersed, and overdispersed count data. Zbl 1456.62174
Melo, Moizes; Alencar, Airlane
2020
Bootstrap inference for GARCH models by the least absolute deviation estimation. Zbl 1455.62185
Zhu, Qianqian; Zeng, Ruochen; Li, Guodong
2020
Harmonically weighted processes. Zbl 1444.62105
Hassler, Uwe; Hosseinkouchack, Mehdi
2020
On singular spectrum analysis and stepwise time series reconstruction. Zbl 1442.62204
Poskitt, Donald S.
2020
Volatility asymmetry in functional threshold GARCH model. Zbl 1444.62109
Sun, Hao; Yu, Bo
2020
Walsh Fourier transform of locally stationary time series. Zbl 1444.62106
Huang, Zhelin; Chan, Ngai Hang
2020
On the stationary marginal distributions of subclasses of multivariate setar processes of order one. Zbl 1446.62241
Das, Soumya; Genton, Marc G.
2020
The marginal density of a TMA(1) process. Zbl 1443.62276
Li, Dong; Qiu, Jiaming
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
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.
2019
Nonstationary cointegration in the fractionally cointegrated VAR Model. Zbl 1421.62122
Johansen, Søren; Nielsen, Morten Ørregaard
2019
Inference for the lagged cross-covariance operator between functional time series. Zbl 1434.62248
Rice, Gregory; Shum, Marco
2019
A structural-factor approach to modeling high-dimensional time series and space-time data. Zbl 1412.62117
Gao, Zhaoxing; Tsay, Ruey S.
2019
Sampling, embedding and inference for CARMA processes. Zbl 1433.62254
Brockwell, Peter J.; Lindner, Alexander
2019
On the ergodicity of first-order threshold autoregressive moving-average processes. Zbl 1419.62222
Chan, Kung-sik; Goracci, Greta
2019
Bayesian inference for ARFIMA models. Zbl 1421.62119
Durham, Garland; Geweke, John; Porter-Hudak, Susan; Sowell, Fallaw
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.
2019
Testing for change in long-memory stochastic volatility time series. Zbl 1433.62252
Betken, Annika; Kulik, Rafał
2019
Multivariate quantile impulse response functions. Zbl 1431.62221
Montes-Rojas, Gabriel
2019
Flexible and robust mixed Poisson INGARCH models. Zbl 1431.62350
Silva, Rodrigo B.; Barreto-Souza, Wagner
2019
Estimating spatial changes over time of arctic sea ice using hidden $$2 \times 2$$ tables. Zbl 1418.62401
Zhang, Bohai; Cressie, Noel
2019
Negative binomial autoregressive process with stochastic intensity. Zbl 1425.62125
Gouriéroux, Christian; Lu, Yang
2019
Order selection and inference with long memory dependent data. Zbl 1422.62282
Gupta, Abhimanyu; Hidalgo, Javier
2019
A generalised fractional differencing bootstrap for long memory processes. Zbl 1432.62301
Kapetanios, George; Papailias, Fotis; Taylor, A. M. Robert
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
2019
Long memory, realized volatility and heterogeneous autoregressive models. Zbl 1426.62253
Baillie, Richard T.; Calonaci, Fabio; Cho, Dooyeon; Rho, Seunghwa
2019
Semiparametric detection of changes in long range dependence. Zbl 1434.62222
Iacone, Fabrizio; Lazarová, Štěpána
2019
Volatility estimation and jump testing via realized information variation. Zbl 1435.62163
Liu, Weiyi; Wang, Mingjin
2019
Robustness of zero crossing estimator. Zbl 1431.62379
Goto, Yuichi; Taniguchi, Masanobu
2019
Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data. Zbl 1437.62330
Chambers, Marcus J.
2019
Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes. Zbl 1477.62369
Götz, Thomas B.; Hecq, Alain W.
2019
Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data. Zbl 1434.62192
Miller, J. Isaac
2019
Exact discrete representations of linear continuous time models with mixed frequency data. Zbl 1477.62253
Thornton, Michael A.
2019
Asymptotic theory and unified confidence region for an autoregressive model. Zbl 1416.62507
Liu, Xiaohui; Peng, Liang
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
2019
Quasi-Bayesian estimation of time-varying volatility in DSGE models. Zbl 1417.62347
Petrova, Katerina
2019
Scalable inference for space-time Gaussian Cox processes. Zbl 1435.62433
Shirota, Shinichiro; Banerjee, Sudipto
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
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.
2019
Common breaks in means for cross-correlated fixed-$$T$$ panel data. Zbl 1419.62254
Westerlund, Joakim
2019
Inference on multivariate heteroscedastic time varying random coefficient models. Zbl 1392.62287
Giraitis, Liudas; Kapetanios, George; Yates, Tony
2018
Testing normality of functional time series. Zbl 1416.62489
Górecki, Tomasz; Hörmann, Siegfried; Horváth, Lajos; Kokoszka, Piotr
2018
Boundary limit theory for functional local to unity regression. Zbl 1391.60057
Bykhovskaya, Anna; Phillips, Peter C. B.
2018
Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation. Zbl 1392.62264
Gorgi, Paolo
2018
Detecting tail risk differences in multivariate time series. Zbl 1401.62157
Hoga, Yannick
2018
Tests for comparing time-invariant and time-varying spectra based on the Pearson statistic. Zbl 1401.62183
Zhang, Shibin; Tu, Xin M.
2018
Orthogonal samples for estimators in time series. Zbl 1416.62523
Rao, Suhasini Subba
2018
Balanced bootstrap joint confidence bands for structural impulse response functions. Zbl 1401.62070
Bruder, Stefan; Wolf, Michael
2018
Oracle properties, bias correction, and bootstrap inference for adaptive lasso for time series $$M$$-estimators. Zbl 1392.62212
Audrino, Francesco; Camponovo, Lorenzo
2018
Negative binomial quasi-likelihood inference for general integer-valued time series models. Zbl 1392.62259
Aknouche, Abdelhakim; Bendjeddou, Sara; Touche, Nassim
2018
Extending the range of validity of the autoregressive (sieve) bootstrap. Zbl 1392.62263
Fragkeskou, Maria; Paparoditis, Efstathios
2018
Unit root testing with unstable volatility. Zbl 1402.62186
Beare, Brendan K.
2018
On the comparison of interval forecasts. Zbl 1402.62193
Askanazi, Ross; Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul
2018
A simple test for white noise in functional time series. Zbl 1416.62475
Bagchi, Pramita; Characiejus, Vaidotas; Dette, Holger
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
2018
Testing separability of functional time series. Zbl 1401.62147
Constantinou, Panayiotis; Kokoszka, Piotr; Reimherr, Matthew
2018
Change-point detection in autoregressive models with no moment assumptions. Zbl 1401.62139
Akashi, Fumiya; Dette, Holger; Liu, Yan
2018
Principal components analysis of periodically correlated functional time series. Zbl 1416.62503
Kidziński, Łukasz; Kokoszka, Piotr; Jouzdani, Neda Mohammadi
2018
On local trigonometric regression under dependence. Zbl 1416.62471
Beran, Jan; Steffens, Britta; Ghosh, Sucharita
2018
Square-root Lasso for high-dimensional sparse linear systems with weakly dependent errors. Zbl 1392.62219
Xie, Fang; Xiao, Zhijie
2018
Stationary subspace analysis of nonstationary processes. Zbl 1392.62277
2018
Non-parametric spectral density estimation under long-range dependence. Zbl 1392.62284
Kim, Young Min; Lahiri, Soumendra N.; Nordman, Daniel J.
2018
Asymptotic theory of test statistic for sphericity of high-dimensional time series. Zbl 1416.62299
Liu, Yan; Tamura, Yurie; Taniguchi, Masanobu
2018
Testing the CVAR in the fractional CVAR model. Zbl 1402.62200
Johansen, Søren; Nielsen, Morten Ørregaard
2018
Modeling the interactions between volatility and returns using EGARCH-M. Zbl 1402.91585
Harvey, Andrew; Lange, Rutger-Jan
2018
The fixed volatility bootstrap for a class of $$\mathrm{ARCH}(q)$$ models. Zbl 1402.62196
Cavaliere, Giuseppe; Pedersen, Rasmus Søndergaard; Rahbek, Anders
2018
Tests for the equality of two processes’ spectral densities with unequal lengths using wavelet methods. Zbl 1416.62250
Li, Linyuan; Lu, Kewei
2018
Discrete-time approximation of a COGRAPH($$p,q$$) model and its estimation. Zbl 1416.62497
Iacus, Stefano M.; Mercuri, Lorenzo; Rroji, Edit
2018
Semi-parametric estimation for non-Gaussian non-minimum phase ARMA models. Zbl 1416.62482
Davis, Richard A.; Zhang, Jing
2018
Estimating MA parameters through factorization of the autocovariance matrix and an MA-sieve bootstrap. Zbl 1416.62511
McMurry, Timothy L.; Politis, Dimitris N.
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
2018
Mildly explosive autoregression under stationary conditional heteroskedasticity. Zbl 1402.62192
Arvanitis, Stelios; Magdalinos, Tassos
2018
Change detection and the causal impact of the yield curve. Zbl 1402.91589
Shi, Shuping; Phillips, Peter C. B.; Hurn, Stan
2018
Block bootstrap for the empirical process of long-range dependent data. Zbl 1416.62239
Tewes, Johannes
2018
...and 1160 more Documents
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### Cited by 7,195 Authors

 64 Wang, Dehui 52 Lee, Sangyeol 52 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 36 Dette, Holger 35 Horváth, Lajos 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 27 McElroy, Tucker S. 26 Tjøstheim, Dag B. 25 Beran, Jan 25 Davis, Richard A. 25 Nielsen, Morten Ørregaard 25 Peiris, M. Shelton 25 Reisen, Valdério Anselmo 25 Saikkonen, Pentti 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 Morettin, Pedro Alberto 15 Palma, Wilfredo 15 Rice, Gregory 15 Roueff, François 15 Sunecher, Yuvraj ...and 7,095 more Authors
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### Cited in 396 Journals

 629 Journal of Econometrics 449 Journal of Time Series Analysis 338 Communications in Statistics. Theory and Methods 334 Computational Statistics and Data Analysis 312 Journal of Statistical Planning and Inference 304 Statistics & Probability Letters 216 Econometric Theory 205 Econometric Reviews 203 Journal of Statistical Computation and Simulation 197 Journal of Multivariate Analysis 182 Communications in Statistics. Simulation and Computation 180 Economics Letters 169 The Annals of Statistics 124 Stochastic Processes and their Applications 116 Electronic Journal of Statistics 108 Journal of Applied Statistics 104 Statistical Papers 89 Journal of Nonparametric Statistics 87 Annals of the Institute of Statistical Mathematics 80 Statistics 77 Computational Statistics 77 Bernoulli 75 Test 66 Journal of the Korean Statistical Society 57 Automatica 57 Journal of Economic Dynamics & Control 53 Statistical Methods and Applications 49 Statistics and Computing 48 Metrika 46 Statistical Inference for Stochastic Processes 45 Scandinavian Journal of Statistics 45 The Econometrics Journal 45 Quantitative Finance 43 Journal of Time Series Econometrics 40 Journal of the American Statistical Association 38 The Canadian Journal of Statistics 35 Physica A 34 AStA. Advances in Statistical Analysis 34 The Annals of Applied Statistics 31 Mathematics and Computers in Simulation 29 Statistical Methodology 28 Journal of Computational and Applied Mathematics 28 Kybernetika 28 Statistical Science 28 Methodology and Computing in Applied Probability 28 Brazilian Journal of Probability and Statistics 27 Mathematical and Computer Modelling 26 Acta Mathematicae Applicatae Sinica. English Series 25 Journal of the Royal Statistical Society. Series B. Statistical Methodology 24 Comptes Rendus. Mathématique. Académie des Sciences, Paris 23 European Journal of Operational Research 23 Journal of Computational and Graphical Statistics 22 Journal of Statistical Theory and Practice 21 Physica D 21 Bayesian Analysis 20 Lithuanian Mathematical Journal 20 Chaos, Solitons and Fractals 20 International Journal of Theoretical and Applied Finance 19 Applied Mathematics and Computation 19 Annals of Operations Research 18 Mathematical Methods of Statistics 17 Journal of Applied Probability 17 Australian & New Zealand Journal of Statistics 17 Statistical Modelling 16 Computers & Mathematics with Applications 16 Insurance Mathematics & Economics 16 Stochastic Analysis and Applications 16 Sequential Analysis 16 Applied Stochastic Models in Business and Industry 15 International Journal of Control 15 Neural Computation 15 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 15 International Journal of Wavelets, Multiresolution and Information Processing 15 Journal of Agricultural, Biological, and Environmental Statistics 15 Sankhyā. Series B 14 Advances in Applied Probability 14 Journal of Mathematical Analysis and Applications 14 Computational Economics 14 Mathematical Problems in Engineering 14 Journal of Probability and Statistics 13 Journal of the Franklin Institute 13 Theory of Probability and Mathematical Statistics 13 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 13 Journal of Inequalities and Applications 13 Extremes 13 Advances in Difference Equations 13 Journal of Forecasting 12 Metron 12 Applied Mathematical Modelling 12 Automation and Remote Control 12 Stochastic Models 12 Sankhyā. Series A 11 International Journal of Systems Science 11 Probability Theory and Related Fields 11 Journal of Theoretical Probability 11 Signal Processing 11 The Annals of Applied Probability 11 Statistica Sinica 11 Science China. Mathematics 10 Linear Algebra and its Applications ...and 296 more Journals
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### Cited in 50 Fields

 6,417 Statistics (62-XX) 1,310 Probability theory and stochastic processes (60-XX) 907 Numerical analysis (65-XX) 900 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 230 Systems theory; control (93-XX) 103 Biology and other natural sciences (92-XX) 102 Dynamical systems and ergodic theory (37-XX) 95 Information and communication theory, circuits (94-XX) 93 Harmonic analysis on Euclidean spaces (42-XX) 80 Computer science (68-XX) 67 Operations research, mathematical programming (90-XX) 59 Geophysics (86-XX) 38 Statistical mechanics, structure of matter (82-XX) 32 Linear and multilinear algebra; matrix theory (15-XX) 27 Ordinary differential equations (34-XX) 22 Real functions (26-XX) 22 Functional analysis (46-XX) 17 General and overarching topics; collections (00-XX) 13 History and biography (01-XX) 13 Difference and functional equations (39-XX) 11 Measure and integration (28-XX) 11 Special functions (33-XX) 11 Operator theory (47-XX) 10 Approximations and expansions (41-XX) 10 Astronomy and astrophysics (85-XX) 8 Combinatorics (05-XX) 7 Partial differential equations (35-XX) 7 Fluid mechanics (76-XX) 6 Relativity and gravitational theory (83-XX) 4 Functions of a complex variable (30-XX) 4 Integral transforms, operational calculus (44-XX) 4 Integral equations (45-XX) 4 Mechanics of deformable solids (74-XX) 3 Differential geometry (53-XX) 2 Number theory (11-XX) 2 Group theory and generalizations (20-XX) 2 Several complex variables and analytic spaces (32-XX) 2 Sequences, series, summability (40-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Mathematical logic and foundations (03-XX) 1 Commutative algebra (13-XX) 1 Associative rings and algebras (16-XX) 1 Nonassociative rings and algebras (17-XX) 1 Category theory; homological algebra (18-XX) 1 Geometry (51-XX) 1 Algebraic topology (55-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Mechanics of particles and systems (70-XX) 1 Optics, electromagnetic theory (78-XX) 1 Quantum theory (81-XX)