# zbMATH — the first resource for mathematics

## 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
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#### Fields

 1,524 Statistics (62-XX) 261 Probability theory and stochastic processes (60-XX) 171 Numerical analysis (65-XX) 112 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 44 General and overarching topics; collections (00-XX) 39 Systems theory; control (93-XX) 16 Harmonic analysis on Euclidean spaces (42-XX) 16 Geophysics (86-XX) 13 Dynamical systems and ergodic theory (37-XX) 13 Biology and other natural sciences (92-XX) 9 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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1,187 Publications have been cited 11,369 times in 6,469 Documents Cited by Year
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1980
The estimation and application of long memory time series models. Zbl 0534.62062
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1983
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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1983
Multivariate local polynomial regression for time series: Uniform strong consistency and rates. Zbl 0876.62075
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An approach to time series smoothing and forecasting using the EM algorithm. Zbl 0502.62085
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1982
The integer-valued autoregressive (INAR(p)) model. Zbl 0727.62084
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1991
Data augmentation and dynamic linear models. Zbl 0815.62065
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Integer-valued GARCH process. Zbl 1150.62046
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2006
Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067
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1983
Least squares estimation of a shift in linear processes. Zbl 0808.62079
Bai, Jushan
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
1998
Random coefficient autoregressive processes: A Markov chain analysis of stationarity and finiteness of moments. Zbl 0572.62069
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1985
Structural breaks in time series. Zbl 1274.62553
Aue, Alexander; Horváth, Lajos
2013
Testing for Gaussianity and linearity of a stationary time series. Zbl 0502.62079
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1982
On estimating thresholds in autoregressive models. Zbl 0596.62085
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1986
On generalized fractional processes. Zbl 0685.62075
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1989
On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070
Li, W. K.; Mak, T. K.
1994
Analysis of low count time series data by Poisson autoregression. Zbl 1062.62174
Freeland, R. K.; McCabe, B. P. M.
2004
Kernel regression smoothing of time series. Zbl 0759.62016
Härdle, Wolfgang; Vieu, Philippe
1992
Bias-corrected nonparametric spectral estimation. Zbl 0811.62088
Politis, Dimitris N.; Romano, Joseph P.
1995
Existence and stochastic structure of a non-negative integer-valued autoregressive process. Zbl 1127.62402
Latour, Alain
1998
A distance measure for classifying ARIMA models. Zbl 0691.62083
Piccolo, Domenico
1990
A test for linearity of stationary time series. Zbl 0499.62078
Rao, T. Subba; Gabr, M. M.
1980
A sieve bootstrap for the test of a unit root. Zbl 1036.62070
Chang, Yoosoon; Park, Joon Y.
2003
A negative binomial integer-valued GARCH model. Zbl 1290.62092
Zhu, Fukang
2011
Least-squares estimation of an unknown number of shifts in a time series. Zbl 0974.62070
Lavielle, Marc; Moulines, Eric
2000
Recursive mean adjustment for unit root tests. Zbl 0979.62070
Shin, Dong Wan; So, Beong Soo
2001
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
Tests for comparing two estimated spectral densities. Zbl 0581.62076
Coates, D. S.; Diggle, P. J.
1986
Inference for $$p$$ th-order random coefficient integer-valued autoregressive processes. Zbl 1126.62086
Zheng, Haitao; Basawa, Ishwar V.; Datta, Somnath
2006
Identifiability in dynamic errors-in-variables models. Zbl 0536.93064
Anderson, B. D. O.; Deistler, M.
1984
Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. Zbl 0813.62081
Hurvich, Clifford M.; Ray, Bonnie K.
1995
Bootstrapping stationary autoregressive moving-average models. Zbl 0787.62092
Kreiss, Jens-Peter; Franke, Jürgen
1992
State-dependent models: A general approach to non-linear time series analysis. Zbl 0496.62076
Priestley, M. B.
1980
Large sample properties of parameter estimates for periodic ARMA models. Zbl 0984.62062
Basawa, I. V.; Lund, Robert
2001
Uniform limit theory for stationary autoregression. Zbl 1114.62087
Giraitis, Liudas; Phillips, Peter C. B.
2006
Stationary discrete autoregressive-moving average time series generated by mixtures. Zbl 0526.62084
Jacobs, P. A.; Lewis, P. A. W.
1983
ARMA models with ARCH errors. Zbl 0549.62079
Weiss, Andrew A.
1984
Spectral analysis with tapered data. Zbl 0552.62068
Dahlhaus, Rainer
1983
Gaussian semiparametric estimation of nonstationary time series. Zbl 0922.62093
1999
Change-point detection in panel data. Zbl 1282.62181
Horváth, Lajos; Hušková, Marie
2012
Interventions in INGARCH processes. Zbl 1242.62095
Fokianos, Konstantinos; Fried, Roland
2010
Modelling count data time series with Markov processes based on binomial thinning. Zbl 1111.62085
Zhu, Rong; Joe, Harry
2006
First-order integer valued AR processes with zero inflated Poisson innovations. Zbl 1281.62197
Jazi, Mansour Aghababaei; Jones, Geoff; Lai, Chin-Diew
2012
Recursive prediction and likelihood evaluation for periodic ARMA models. Zbl 0974.62085
Lund, Robert; Basawa, I. V.
2000
Regression, autoregression models. Zbl 0588.62163
Hannan, E. J.; Kavalieris, L.
1986
A $$k$$-factor GARMA long-memory model. Zbl 1017.62083
Woodward, Wayne A.; Cheng, Q. C.; Gray, H. L.
1998
The estimation of random coefficient autoregressive models. I. Zbl 0495.62083
Nicholls, D. F.; Quinn, B. G.
1980
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
Estimation for nonlinear time series models using estimating equations. Zbl 0638.62083
Thavaneswaran, A.; Abraham, B.
1988
Nonlinear transformations of integrated time series. Zbl 0721.62088
Granger, C. W. J.; Hallman, Jeff
1991
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
Determining the bandwidth of a kernel spectrum estimate. Zbl 0608.62118
Beltrão, Kaizô I.; Bloomfield, Peter
1987
Time series models in non-normal situation: symmetric innovations. Zbl 0972.62084
Tiku, M. L.; Wong, Wing-Keung; Vaughan, David C.; Bian, Guorui
2000
An efficient taper for potentially overdifferenced long-memory time series. Zbl 0958.62085
Hurvich, Clifford M.; Chen, Willa W.
2000
Semiparametric inference in seasonal and cyclical long memory processes. Zbl 0974.62079
Arteche, Josu; Robinson, Peter M.
2000
Nonparametric autoregression with multiplicative volatility and additive mean. Zbl 0932.62106
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens P.
1999
Bayesian analysis of autoregressive time series via the Gibbs sampler. Zbl 0800.62549
McCulloch, Robert E.; Tsay, Ruey S.
1994
A dependence metric for possibly nonlinear processes. Zbl 1062.62178
Granger, C. W.; Maasoumi, E.; Racine, J.
2004
Bayesian threshold autoregressive models for nonlinear time series. Zbl 0779.62073
Geweke, John; Terui, Nobuhiko
1993
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
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
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
Regression models for non-stationary categorical time series. Zbl 0616.62116
Fahrmeir, Ludwig; Kaufmann, Heinz
1987
Highly robust estimation of the autocovariance function. Zbl 0970.62056
Ma, Yanyuan; Genton, Marc G.
2000
Bayesian methods for change-point detection in long-range dependent processes. Zbl 1114.62092
Ray, Bonnie K.; Tsay, Ruey S.
2002
(Mis)specification of long memory in seasonal time series. Zbl 0794.62059
Hassler, Uwe
1994
Statistical analysis of economic time series via Markov switching models. Zbl 0807.62096
McCulloch, Robert E.; Tsay, Ruey S.
1994
Towards a unified approach for proving geometric ergodicity and mixing properties of nonlinear autoregressive processes. Zbl 1092.62091
Liebscher, Eckhard
2005
Inference for single and multiple change-points in time series. Zbl 1275.62061
Jandhyala, Venkata; Fotopoulos, Stergios; MacNeill, Ian; Liu, Pengyu
2013
Some doubly stochastic time series models. Zbl 0588.62169
Tjøstheim, Dag
1986
Consistent estimation of the memory parameter for nonlinear time series. Zbl 1115.62084
Dalla, Violetta; Giraitis, Liudas; Hidalgo, Javier
2006
Inference in autoregression under heteroscedasticity. Zbl 1111.62082
Phillips, Peter C. B.; Xu, Ke-Li
2006
Testing for the randomness of autoregressive coefficients. Zbl 0505.62076
Quinn, B. G.; Nicholls, D. F.
1982
Nearest-neighbour methods for time series analysis. Zbl 0615.62115
Yakowitz, S.
1987
Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081
Ling, Shiqing; Li, W. K.
1997
A corrected Akaike information criterion for vector autoregressive model selection. Zbl 0768.62076
Hurvich, Clifford M.; Tsai, Chih-Ling
1993
Estimation in random coefficient autoregressive models. Zbl 1112.62084
Aue, Alexander; Horváth, Lajos; Steinebach, Josef
2006
Consistency of the averaged cross-periodogram in long memory series. Zbl 0938.62103
Lobato, Ignacio N.
1997
Bayesian inference of threshold autoregressive models. Zbl 0833.62083
Chen, Cathy W. S.; Lee, Jack C.
1995
Temporal aggregation in the ARIMA process. Zbl 0614.62115
Stram, Daniel O.; Wei, William W. S.
1986
Bootstrapping unit root tests for integrated processes. Zbl 1023.62090
Swensen, Anders Rygh
2003
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
Quasi-likelihood inference for negative binomial time series models. Zbl 1301.62084
Christou, Vasiliki; Fokianos, Konstantinos
2014
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
Alternative estimators and unit root tests for the autoregressive process. Zbl 0825.62688
Park, Heon Jin; Fuller, Wayne A.
1995
Comparative study of estimation methods for continuous time stochastic processes. Zbl 0882.62080
Shoji, Isao; Ozaki, Tohru
1997
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
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.
1999
Change point estimation of fractionally integrated process. Zbl 0921.62112
Kuan, Chung-Ming; Hsu, Chih-Chiang
1998
Using the mutual information coefficient to identify lags in nonlinear models. Zbl 0807.62067
Granger, Clive; Lin, Jin-Lung
1994
Sur un modèle autorégressif non linéaire, ergodicité et ergodicité géométrique. (On a nonlinear autoregressive model, ergodicity and geometric ergodicity). Zbl 0621.60076
1987
Rank tests for serial dependence. Zbl 0514.62054
Dufour, Jean-Marie
1981
Aggregation of random parameters Ornstein-Uhlenbeck or AR processes: some convergence results. Zbl 1064.60066
Oppenheim, Georges; Viano, Marie-Claude
2004
Estimation in nonstationary random coefficient autoregressive models. Zbl 1224.62046
Berkes, István; Horváth, Lajos; Ling, Shiqing
2009
Structural Laplace transform and compound autoregressive models. Zbl 1112.62090
Darolles, Serge; Gourieroux, Christian; Jasiak, Joann
2006
Time-reversibility, identifiability and independence of innovations for stationary time series. Zbl 0753.62058
Breidt, F. J.; Davis, R. A.
1992
A new approach for open-end sequential change point monitoring. Zbl 07364921
Gösmann, Josua; Kley, Tobias; Dette, Holger
2021
Necessary and sufficient conditions for the identifiability of observation-driven models. Zbl 07364926
Douc, Randal; Roueff, François; Sim, Tepmony
2021
Empirical characteristic functions-based estimation and distance correlation for locally stationary processes. Zbl 1445.62057
Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, Carina
2020
Walsh Fourier transform of locally stationary time series. Zbl 1444.62106
Huang, Zhelin; Chan, Ngai Hang
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
Tests for conditional heteroscedasticity of functional data. Zbl 1458.62325
Rice, Gregory; Wirjanto, Tony; Zhao, Yuqian
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
Inference for the lagged cross-covariance operator between functional time series. Zbl 1434.62248
Rice, Gregory; Shum, Marco
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
Estimating spatial changes over time of arctic sea ice using hidden $$2 \times 2$$ tables. Zbl 1418.62401
Zhang, Bohai; Cressie, Noel
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
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
Negative binomial autoregressive process with stochastic intensity. Zbl 1425.62125
Gouriéroux, Christian; Lu, Yang
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
Nonstationary cointegration in the fractionally cointegrated VAR Model. Zbl 1421.62122
Johansen, Søren; Nielsen, Morten Ørregaard
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 07140932
Götz, Thomas B.; Hecq, Alain W.
2019
Exact discrete representations of linear continuous time models with mixed frequency data. Zbl 07140934
Thornton, Michael A.
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
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
Orthogonal samples for estimators in time series. Zbl 1416.62523
Rao, Suhasini Subba
2018
Modeling the interactions between volatility and returns using EGARCH-M. Zbl 1402.91585
Harvey, Andrew; Lange, Rutger-Jan
2018
Principal components analysis of periodically correlated functional time series. Zbl 1416.62503
Kidziński, Łukasz; Kokoszka, Piotr; Jouzdani, Neda Mohammadi
2018
Oracle properties, bias correction, and bootstrap inference for adaptive lasso for time series $$M$$-estimators. Zbl 1392.62212
Audrino, Francesco; Camponovo, Lorenzo
2018
Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation. Zbl 1392.62264
Gorgi, Paolo
2018
Testing the CVAR in the fractional CVAR model. Zbl 1402.62200
Johansen, Søren; Nielsen, Morten Ørregaard
2018
Mildly explosive autoregression under stationary conditional heteroskedasticity. Zbl 1402.62192
Arvanitis, Stelios; Magdalinos, Tassos
2018
The fixed volatility bootstrap for a class of $$\mathrm{ARCH}(q)$$ models. Zbl 1402.62196
Cavaliere, Giuseppe; Pedersen, Rasmus Søndergaard; Rahbek, Anders
2018
Change detection and the causal impact of the yield curve. Zbl 1402.91589
Shi, Shuping; Phillips, Peter C. B.; Hurn, Stan
2018
On local trigonometric regression under dependence. Zbl 1416.62471
Beran, Jan; Steffens, Britta; Ghosh, Sucharita
2018
Tests for the equality of two processes’ spectral densities with unequal lengths using wavelet methods. Zbl 1416.62250
Li, Linyuan; Lu, Kewei
2018
Block bootstrap for the empirical process of long-range dependent data. Zbl 1416.62239
Tewes, Johannes
2018
A simple test for white noise in functional time series. Zbl 1416.62475
Bagchi, Pramita; Characiejus, Vaidotas; Dette, Holger
2018
Negative binomial quasi-likelihood inference for general integer-valued time series models. Zbl 1392.62259
Aknouche, Abdelhakim; Bendjeddou, Sara; Touche, Nassim
2018
Semi-parametric estimation for non-Gaussian non-minimum phase ARMA models. Zbl 1416.62482
Davis, Richard A.; Zhang, Jing
2018
Stationary subspace analysis of nonstationary processes. Zbl 1392.62277
2018
Extending the range of validity of the autoregressive (sieve) bootstrap. Zbl 1392.62263
Fragkeskou, Maria; Paparoditis, Efstathios
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
Estimating MA parameters through factorization of the autocovariance matrix and an MA-sieve bootstrap. Zbl 1416.62511
McMurry, Timothy L.; Politis, Dimitris N.
2018
Balanced bootstrap joint confidence bands for structural impulse response functions. Zbl 1401.62070
Bruder, Stefan; Wolf, Michael
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
Testing separability of functional time series. Zbl 1401.62147
Constantinou, Panayiotis; Kokoszka, Piotr; Reimherr, Matthew
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
2017
Functional generalized autoregressive conditional heteroskedasticity. Zbl 1356.62133
Aue, Alexander; Horváth, Lajos; Pellatt, Daniel F.
2017
A spectral domain test for stationarity of spatio-temporal data. Zbl 1360.62473
Bandyopadhyay, Soutir; Jentsch, Carsten; Rao, Suhasini Subba
2017
Graphical modeling for multivariate Hawkes processes with nonparametric link functions. Zbl 1360.62445
Eichler, Michael; Dahlhaus, Rainer; Dueck, Johannes
2017
Testing parameter change in general integer-valued time series. Zbl 1386.60132
2017
Penalised complexity priors for stationary autoregressive processes. Zbl 1416.62529
Sørbye, Sigrunn Holbek; Rue, Håvard
2017
Cointegrated linear processes in Hilbert space. Zbl 1416.62477
Beare, Brendan K.; Seo, Juwon; Seo, Won-Ki
2017
The asymptotic distribution of the pathwise mean squared displacement in single particle tracking experiments. Zbl 1370.92039
Didier, Gustavo; Zhang, Kui
2017
Local Gaussian autocorrelation and tests for serial independence. Zbl 1356.62145
Lacal, Virginia; Tjøstheim, Dag
2017
Volatility modeling with a generalized $$t$$ distribution. Zbl 1360.62457
Harvey, Andrew; Lange, Rutger-Jan
2017
Parametric spectral discrimination. Zbl 1416.62490
Grant, Andrew J.; Quinn, Barry G.
2017
Time-varying transition probabilities for Markov regime switching models. Zbl 1369.62211
Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre
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
2017
Monitoring parameter constancy with endogenous regressors. Zbl 1377.62067
Kurozumi, Eiji
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
2017
Moving Fourier analysis for locally stationary processes with the bootstrap in view. Zbl 1416.62492
Häfner, Franziska; Kirch, Claudia
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
2017
Testing for panel cointegration using common correlated effects estimators. Zbl 1367.62325
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís
2017
Residual empirical processes and weighted sums for time-varying processes with applications to testing for homoscedasticity. Zbl 1356.62123
Chandler, Gabe; Polonik, Wolfgang
2017
Poisson QMLE of count time series models. Zbl 1381.62244
2016
Random environment integer-valued autoregressive process. Zbl 1416.62517
Nastić, Aleksandar S.; Laketa, Petra N.; Ristić, Miroslav M.
2016
Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test. Zbl 1403.62156
Betken, Annika
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.
2016
A nonparametric model for stationary time series. Zbl 1337.62199
2016
Filtering, prediction and simulation methods for noncausal processes. Zbl 1381.62247
Gourieroux, Christian; Jasiak, Joann
2016
A goodness-of-fit test for integer-valued autoregressive processes. Zbl 1337.62198
Schweer, Sebastian
2016
Testing for stationarity in multivariate locally stationary processes. Zbl 1329.62385
Puchstein, Ruprecht; Preuß, Philip
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
2016
Generalized resampling scheme with application to spectral density matrix in almost periodically correlated class of time series. Zbl 1381.62249
Lenart, Łukasz
2016
Discriminant analysis of time series in the presence of within-group spectral variability. Zbl 1359.62374
Krafty, Robert T.
2016
Book review of: F. Belzunce et al., An introduction to stochastic orders. Zbl 1396.00008
Rao, B. L. S. Prakasa
2016
Composite quantile periodogram for spectral analysis. Zbl 1417.62263
Lim, Yaeji; Oh, Hee-Seok
2016
A new test for checking the equality of the correlation structures of two time series. Zbl 1381.62248
Jin, Lei; Wang, Suojin
2016
Multivariate wavelet Whittle estimation in long-range dependence. Zbl 1359.62356
Achard, Sophie; Gannaz, Irène
2016
A Bayesian non-parametric dynamic AR model for multiple time series analysis. Zbl 1396.62215
Nieto-Barajas, Luis E.; Quintana, Fernando A.
2016
Exactly/nearly unbiased estimation of autocovariances of a univariate time series with unknown mean. Zbl 1403.62171
Vogelsang, Timothy J.; Yang, Jingjing
2016
An unbiased measure of integrated volatility in the frequency domain. Zbl 1416.62531
Wang, Fangfang
2016
Bounds, breaks and unit root tests. Zbl 1416.62479
Carrion-I-Silvestre, Josep Lluís; Gadea, María Dolores
2016
Inference for the fourth-order innovation cumulant in linear time series. Zbl 1416.62486
Fragkeskou, Maria; Paparoditis, Efstathios
2016
Empirical likelihood for outlier detection and estimation in autoregressive time series. Zbl 1381.62245
Baragona, Roberto; Battaglia, Francesco; Cucina, Domenico
2016
Statistical inference for unified Garch-Itô models with high-frequency financial data. Zbl 1359.62373
Kim, Donggyu
2016
Inference on a structural break in trend with fractionally integrated errors. Zbl 1359.62360
Chang, Seong Yeon; Perron, Pierre
2016
Bartlett correction of empirical likelihood for non-Gaussian short-memory time series. Zbl 1396.62199
Chen, Kun; Chan, Ngai Hang; Yau, Chun Yip
2016
Improved tests for forecast comparisons in the presence of instabilities. Zbl 1396.62213
Martins, Luis Filipe; Perron, Pierre
2016
Tests based on simplicial depth for AR(1) models with explosion. Zbl 1349.62410
Kustosz, Christoph P.; Leucht, Anne; Müller, Christine H.
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
2016
Zero-modified geometric INAR(1) process for modelling count time series with deflation or inflation of zeros. Zbl 1330.62333
Barreto-Souza, Wagner
2015
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#### Cited by 6,300 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 30 Hallin, Marc 30 Linton, Oliver Bruce 30 Surgailis, Donatas 29 Dette, Holger 29 Thavaneswaran, Aerambamoorthy 29 Zhu, Fukang 28 Aknouche, Abdelhakim 28 Chen, Cathy W. S. 28 Kokoszka, Piotr S. 28 Paparoditis, Efstathios 27 Giraitis, Liudas 27 Gourieroux, Christian 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 Tjøstheim, Dag B. 24 Wu, Wei Biao 23 Bibi, Abdelouahab 23 Duchesne, Pierre 23 Fokianos, Konstantinos 23 Saikkonen, Pentti 22 Basawa, Ishwar V. 22 Hidalgo, Javier 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 Chan, Ngai Hang 17 Didier, Gustavo 17 Harvey, David I. 17 Moulines, Eric 17 Pipiras, Vladas 17 Sutradhar, Brajendra Chandra 16 Aue, Alexander 16 Battaglia, Francesco Paolo 16 Jowaheer, Vandna 16 Kirch, Claudia 16 Kreiss, Jens-Peter 16 Li, Qi 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 ...and 6,200 more Authors
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#### Cited in 369 Journals

 614 Journal of Econometrics 449 Journal of Time Series Analysis 320 Computational Statistics and Data Analysis 298 Journal of Statistical Planning and Inference 296 Statistics & Probability Letters 263 Communications in Statistics. Theory and Methods 209 Econometric Theory 180 Journal of Multivariate Analysis 180 Journal of Statistical Computation and Simulation 179 Economics Letters 157 The Annals of Statistics 119 Stochastic Processes and their Applications 112 Communications in Statistics. Simulation and Computation 99 Electronic Journal of Statistics 88 Statistical Papers 86 Econometric Reviews 86 Journal of Nonparametric Statistics 83 Annals of the Institute of Statistical Mathematics 82 Journal of Applied Statistics 75 Statistics 69 Test 68 Computational Statistics 68 Bernoulli 56 Automatica 51 Journal of Economic Dynamics & Control 49 Journal of the Korean Statistical Society 45 Scandinavian Journal of Statistics 45 The Econometrics Journal 45 Statistics and Computing 43 Metrika 43 Statistical Inference for Stochastic Processes 43 Statistical Methods and Applications 42 Quantitative Finance 40 Journal of the American Statistical Association 39 Journal of Time Series Econometrics 38 The Canadian Journal of Statistics 30 Mathematics and Computers in Simulation 29 Statistical Methodology 28 Kybernetika 28 AStA. Advances in Statistical Analysis 27 Journal of Computational and Applied Mathematics 27 Mathematical and Computer Modelling 27 Brazilian Journal of Probability and Statistics 26 The Annals of Applied Statistics 25 Acta Mathematicae Applicatae Sinica. English Series 25 Statistical Science 25 Journal of the Royal Statistical Society. Series B. Statistical Methodology 24 Methodology and Computing in Applied Probability 24 Comptes Rendus. Mathématique. Académie des Sciences, Paris 23 European Journal of Operational Research 21 Physica D 21 Journal of Statistical Theory and Practice 20 International Journal of Theoretical and Applied Finance 19 Lithuanian Mathematical Journal 19 Bayesian Analysis 18 Mathematical Methods of Statistics 17 Applied Mathematics and Computation 17 Australian & New Zealand Journal of Statistics 17 Statistical Modelling 16 Computers & Mathematics with Applications 16 Stochastic Analysis and Applications 16 Sequential Analysis 16 Applied Stochastic Models in Business and Industry 15 International Journal of Control 15 Annals of Operations Research 15 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 14 Journal of Mathematical Analysis and Applications 14 Journal of Applied Probability 14 Neural Computation 14 Computational Economics 14 Mathematical Problems in Engineering 14 Journal of Agricultural, Biological, and Environmental Statistics 14 Journal of Probability and Statistics 13 Advances in Applied Probability 13 Chaos, Solitons and Fractals 13 Journal of Forecasting 12 Journal of the Franklin Institute 12 Physica A 12 Insurance Mathematics & Economics 12 Probability Theory and Related Fields 12 Automation and Remote Control 12 Theory of Probability and Mathematical Statistics 12 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 12 Extremes 12 International Journal of Wavelets, Multiresolution and Information Processing 11 International Journal of Systems Science 11 Signal Processing 11 The Annals of Applied Probability 11 Stochastic Models 11 Sankhyā. Series B 10 Linear Algebra and its Applications 10 Advances in Difference Equations 10 Science China. Mathematics 9 Mathematical Biosciences 9 Metron 9 Circuits, Systems, and Signal Processing 9 Journal of Theoretical Probability 9 Science in China. Series A 9 Applied Mathematical Modelling 9 Asia-Pacific Financial Markets ...and 269 more Journals
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#### Cited in 49 Fields

 5,728 Statistics (62-XX) 1,201 Probability theory and stochastic processes (60-XX) 886 Numerical analysis (65-XX) 828 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 219 Systems theory; control (93-XX) 93 Dynamical systems and ergodic theory (37-XX) 93 Biology and other natural sciences (92-XX) 92 Harmonic analysis on Euclidean spaces (42-XX) 89 Information and communication theory, circuits (94-XX) 68 Computer science (68-XX) 68 Operations research, mathematical programming (90-XX) 49 Geophysics (86-XX) 30 Linear and multilinear algebra; matrix theory (15-XX) 25 Ordinary differential equations (34-XX) 21 Functional analysis (46-XX) 20 Real functions (26-XX) 17 General and overarching topics; collections (00-XX) 15 Statistical mechanics, structure of matter (82-XX) 12 History and biography (01-XX) 11 Measure and integration (28-XX) 11 Difference and functional equations (39-XX) 11 Operator theory (47-XX) 10 Special functions (33-XX) 10 Approximations and expansions (41-XX) 9 Astronomy and astrophysics (85-XX) 7 Combinatorics (05-XX) 7 Fluid mechanics (76-XX) 6 Relativity and gravitational theory (83-XX) 5 Partial differential equations (35-XX) 5 Differential geometry (53-XX) 4 Functions of a complex variable (30-XX) 4 Integral transforms, operational calculus (44-XX) 4 Mechanics of deformable solids (74-XX) 2 Number theory (11-XX) 2 Group theory and generalizations (20-XX) 2 Topological groups, Lie groups (22-XX) 2 Several complex variables and analytic spaces (32-XX) 2 Integral equations (45-XX) 2 Manifolds and cell complexes (57-XX) 1 Mathematical logic and foundations (03-XX) 1 Commutative algebra (13-XX) 1 Category theory; homological algebra (18-XX) 1 Calculus of variations and optimal control; optimization (49-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)