scientific article; zbMATH DE number 3335601
From MaRDI portal
Publication:5612941
zbMath0211.49804MaRDI QIDQ5612941
Publication date: 1970
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)
Related Items (only showing first 100 items - show all)
ASYMPTOTIC ANALYSIS ABOUT THE PERIODOGRAM OF A GENERAL CLASS OF TIME SERIES MODELS WITH SPECTRAL SUPPORTSON LINES NOT PARALLEL TO THE MAIN DIAGONAL ⋮ Simultaneous Statistical Inference in Dynamic Factor Models ⋮ Asymptotically optimal spectral estimation with applications to small samples ⋮ ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION ⋮ Globally Centered Autocovariances in MCMC ⋮ SPECTRAL FINANCIAL ECONOMETRICS ⋮ On causal and non‐causal cointegrated vector autoregressive time series ⋮ Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence ⋮ Asymptotics of the sample mean and sample covariance of long-range-dependent series ⋮ Testing for structural changes in linear regressions with time-varying variance ⋮ Large deviations of the correlogram estimator of the random noise covariance function in the nonlinear regression model ⋮ Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form ⋮ Finite dimensional models for random microstructures ⋮ Local asymptotic normality for a periodically time varying long memory parameter ⋮ LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES ⋮ RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL ⋮ A pioneering study on discrete cosine transform ⋮ Rescaled variance tests for seasonal stationarity ⋮ Tests for the existence of group effects and interactions for two-way models with dependent errors ⋮ Stationary reversible processes of a moving average and autorepression with residuals as a moving average ⋮ Modeling Temporally Evolving and Spatially Globally Dependent Data ⋮ A practical multivariate approach to testing volatility spillover ⋮ Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Vector random fields on the probability simplex with metric-dependent covariance matrix functions ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ Estimation and inference in adaptive learning models with slowly decreasing gains ⋮ Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain ⋮ A historical overview of textbook presentations of statistical science ⋮ Inferential theory for generalized dynamic factor models ⋮ Efficient nonparametric estimation of generalised autocovariances ⋮ Estimating the Spectral Density at Frequencies Near Zero ⋮ Higher‐Order Accurate Spectral Density Estimation of Functional Time Series ⋮ Central limit theorems for time series regression ⋮ Asymptotic behavior of the prediction error for stationary sequences ⋮ A robust score-driven filter for multivariate time series ⋮ The Sampling Distribution of the Serial Correlation Coefficient ⋮ Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices ⋮ Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics ⋮ ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS ⋮ Unnamed Item ⋮ Factor Models for High-Dimensional Tensor Time Series ⋮ Binomial-${\chi^2}$ Vector Random Fields ⋮ Multivariate Time Series Decomposition into Oscillation Components ⋮ Models for circular data from time series spectra ⋮ A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN ⋮ Inference about long run canonical correlations ⋮ On the estimation of the spectral density for continuous spatial processes ⋮ The Variance Profile ⋮ The memory of stochastic volatility models ⋮ GR-estimates for an autoregressive time series. ⋮ A central limit theorem for stationary linear processes generated by linearly positively quadrant-dependent processes ⋮ Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency ⋮ A test for volatility spillover with application to exchange rates ⋮ GENERAL LINEAR PROCESSES:A PROPERTY OF THE EMPIRICAL PROCESS APPLIED TO DENSITY AND MODE ESTIMATION ⋮ Hellinger distance estimation for nonregular spectra ⋮ Local spectral analysis using wavelet packets ⋮ Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas ⋮ On the performance of the ordinary least squares method under an error component model. ⋮ The stock return--inflation puzzle revisited ⋮ A simple cointegrating rank test without vector autoregression ⋮ Simple linear regression with multiple level shifts ⋮ Extreme Spectra of Var Models and Orders of Near‐Cointegration ⋮ Testing the Fit of a Vector Autoregressive Moving Average Model ⋮ Filtering of multidimensional stationary sequences with missing observations ⋮ Linear bootstrap methods for vector autoregressive moving-average models ⋮ Propriétés dans L2et estimation des processus purement bilinéaires et strictement superdiagonaux à coefficients périodiques ⋮ The Doubly Adaptive LASSO for Vector Autoregressive Models ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators ⋮ Order Selection and Inference with Long Memory Dependent Data ⋮ Broadband semi-parametric estimation of long-memory time series by fractional exponential models ⋮ Positive definite matrix functions on spheres defined by hypergeometric functions ⋮ Testing non-parametric hypotheses for stationary processes by estimating minimal distances ⋮ On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models ⋮ High-dimensional MANOVA under weak conditions ⋮ Unnamed Item ⋮ Focused information criterion for locally misspecified vector autoregressive models ⋮ A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models ⋮ Semiparametric Sieve-Type Generalized Least Squares Inference ⋮ Asymptotic distribution with random indices for linear processes ⋮ A note on limiting distribution of the sample auto-covariance function for the first-order autoregressive (AR(1)) model ⋮ Whittle estimation in multivariate CCC-GARCH processes ⋮ Computer identification of linear random processes ⋮ The Self-normalized Asymptotic Results for Linear Processes ⋮ Data-driven model reduction, Wiener projections, and the Koopman-Mori-Zwanzig formalism ⋮ When are two multivariate random processes indistinguishable ⋮ Statistical inference using higher-order information ⋮ Moderate deviations for quadratic forms in Gaussian stationary processes ⋮ Subspace-based fault detection robust to changes in the noise covariances ⋮ Long memory and long run variation ⋮ Relations between Schoenberg coefficients on real and complex spheres of different dimensions ⋮ The efficiency factorization multiplier for the Watson efficiency in partitioned linear models: Some examples and a literature review ⋮ On multivariate nonlinear regression models with stationary correlated errors ⋮ Bootstrap in moving average models ⋮ Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data ⋮ Rank-based optimal tests of the adequacy of an elliptic VARMA model ⋮ Nonlinear wavelet-based estimation to spectral density for stationary non-Gaussian linear processes ⋮ Identification of ARX systems with non-stationary inputs -- asymptotic analysis with application to adaptive input design ⋮ Central limit theorems for moving average processes ⋮ A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes ⋮ The averaged periodogram estimator for a power law in coherency
This page was built for publication:
