| Publication | Date of Publication | Type |
|---|
Principal Volatility Component Analysis
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Rejoinder
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Market-Based Credit Ratings
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Some Methods for Analyzing Big Dependent Data
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series
Technometrics | 2024-10-18 | Paper |
Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Matrix-variate time series analysis: a brief review and some new developments
International Statistical Review | 2024-09-30 | Paper |
Rank-R matrix autoregressive models for modeling spatio-temporal data
Statistics and Its Interface | 2024-06-24 | Paper |
Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
Journal of the American Statistical Association | 2024-01-08 | Paper |
Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
Journal of the American Statistical Association | 2024-01-08 | Paper |
Testing for symmetric correlation matrices with applications to factor models
Journal of Time Series Analysis | 2023-08-24 | Paper |
A testing approach to clustering scalar time series
Journal of Time Series Analysis | 2023-08-24 | Paper |
Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
Journal of the American Statistical Association | 2023-03-09 | Paper |
Testing independence between two spatial random fields
Journal of Agricultural, Biological and Environmental Statistics | 2022-10-18 | Paper |
Parsimony inducing priors for large scale state-space models
Journal of Econometrics | 2022-07-15 | Paper |
A predictive approach for selection of diffusion index models
Econometric Reviews | 2022-05-31 | Paper |
Multivariate Hysteretic Autoregressive Models
STATISTICA SINICA | 2022-04-25 | Paper |
Tensor Canonical Correlation Analysis With Convergence and Statistical Guarantees
Journal of Computational and Graphical Statistics | 2022-03-29 | Paper |
Matrix Autoregressive Spatio-Temporal Models
Journal of Computational and Graphical Statistics | 2022-03-29 | Paper |
Time evolution of income distributions with subgroup decompositions
Econometric Reviews | 2022-03-04 | Paper |
Statistical learning for big dependent data
Wiley Series in Probability and Statistics | 2021-05-10 | Paper |
High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting
STATISTICA SINICA | 2021-04-27 | Paper |
High-dimensional Linear Regression for Dependent Data with Applications to Nowcasting
STATISTICA SINICA | 2021-04-27 | Paper |
Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
Journal of the American Statistical Association | 2020-10-28 | Paper |
Testing serial correlations in high-dimensional time series via extreme value theory
Journal of Econometrics | 2020-03-20 | Paper |
Comments on ``Data science, big data and statistics
Test | 2019-09-18 | Paper |
Spatio-temporal models with space-time interaction and their applications to air pollution data
STATISTICA SINICA | 2019-08-01 | Paper |
Modelling structured correlation matrices
Biometrika | 2019-06-24 | Paper |
Clustering Multiple Time Series with Structural Breaks
Journal of Time Series Analysis | 2019-06-17 | Paper |
A structural-factor approach to modeling high-dimensional time series and space-time data
Journal of Time Series Analysis | 2019-05-23 | Paper |
Nonlinear Time Series Analysis
Wiley Series in Probability and Statistics | 2018-11-01 | Paper |
Forecasting Simultaneously High‐Dimensional Time Series: A Robust Model‐Based Clustering Approach
Journal of Forecasting | 2018-10-11 | Paper |
Doubly constrained factor models with applications
Statistica Sinica | 2016-10-26 | Paper |
A conversation with George C. Tiao
Statistical Science | 2016-01-22 | Paper |
A conversation with George C. Tiao
Statistical Science | 2016-01-22 | Paper |
High dimensional dynamic stochastic copula models
Journal of Econometrics | 2015-10-30 | Paper |
Constrained factor models
Journal of the American Statistical Association | 2015-06-17 | Paper |
Multivariate time series analysis. With R and financial applications
Wiley Series in Probability and Statistics | 2014-01-22 | Paper |
Multivariate volatility models
(available as arXiv preprint) | 2013-08-01 | Paper |
Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
| Outliers in GARCH processes | 2012-09-05 | Paper |
An introduction to analysis of financial data with R.
Wiley Series in Probability and Statistics | 2012-08-21 | Paper |
Dynamic orthogonal components for multivariate time series
Journal of the American Statistical Association | 2012-03-22 | Paper |
Discussion of ``Feature matching in time series modeling by Y. Xia and H. Tong
Statistical Science | 2011-08-19 | Paper |
Quantile regression models with factor‐augmented predictors and information criterion
Econometrics Journal | 2011-07-27 | Paper |
Particle filters and Bayesian inference in financial econometrics
Journal of Forecasting | 2011-07-27 | Paper |
Random aggregation with applications in high-frequency finance
Journal of Forecasting | 2011-07-27 | Paper |
| scientific article; zbMATH DE number 5866262 (Why is no real title available?) | 2011-03-15 | Paper |
Model selection for generalized linear models with factor-augmented predictors
Applied Stochastic Models in Business and Industry | 2011-02-22 | Paper |
Estimation of covariance matrix via the sparse Cholesky factor with lasso
Journal of Statistical Planning and Inference | 2010-09-20 | Paper |
| Analysis of financial time series | 2010-08-26 | Paper |
Canonical correlation analysis for the vector AR(1) model with ARCH innovations
Journal of Statistical Planning and Inference | 2008-06-11 | Paper |
| On canonical analysis of vector time series | 2008-05-14 | Paper |
| Editor's melange | 2008-01-09 | Paper |
Outlier Detection in Multivariate Time Series by Projection Pursuit
Journal of the American Statistical Association | 2007-08-20 | Paper |
Bayesian methods for change-point detection in long-range dependent processes
Journal of Time Series Analysis | 2007-05-29 | Paper |
| scientific article; zbMATH DE number 5035839 (Why is no real title available?) | 2006-06-26 | Paper |
| scientific article; zbMATH DE number 5002328 (Why is no real title available?) | 2006-01-27 | Paper |
Analysis of Financial Time Series
Wiley Series in Probability and Statistics | 2005-11-07 | Paper |
| scientific article; zbMATH DE number 2199134 (Why is no real title available?) | 2005-08-25 | Paper |
| scientific article; zbMATH DE number 1820665 (Why is no real title available?) | 2002-10-27 | Paper |
| Testing and Modeling Multivariate Threshold Models | 2002-07-30 | Paper |
Detection of outlier patches in autoregressive time series
Statistica Sinica | 2002-02-05 | Paper |
A nonlinear autoregressive conditional duration model with applications to financial transaction data
Journal of Econometrics | 2001-10-10 | Paper |
Outliers in multivariate time series
Biometrika | 2001-09-09 | Paper |
Limiting properties of the least squares estimator of a continuous threshold autoregressive model
Biometrika | 2000-06-13 | Paper |
| A Unified Approach to Identifying Multivariate Time Series Models | 1999-11-28 | Paper |
Tests for multinormality with applications to time series
Communications in Statistics: Theory and Methods | 1999-07-07 | Paper |
| Forecasting the U.S. Unemployment Rate | 1998-12-13 | Paper |
| scientific article; zbMATH DE number 1034047 (Why is no real title available?) | 1998-02-05 | Paper |
Nonlinear transfer functions
Journal of Nonparametric Statistics | 1998-01-22 | Paper |
Making control charts more effective by time series analysis: three illustrative applications
Communications in Statistics: Theory and Methods | 1997-03-20 | Paper |
Bandwidth selection for kernel regression with long-range dependent errors
Biometrika | 1997-01-01 | Paper |
ASYMPTOTIC INFERENCE FOR NON-INVERTIBLE MOVING-AVERAGE TIME SERIES
Journal of Time Series Analysis | 1996-03-20 | Paper |
| scientific article; zbMATH DE number 1098830 (Why is no real title available?) | 1996-01-01 | Paper |
| scientific article; zbMATH DE number 762932 (Why is no real title available?) | 1995-11-28 | Paper |
Additivity tests for nonlinear autoregression
Biometrika | 1995-10-23 | Paper |
| scientific article; zbMATH DE number 775736 (Why is no real title available?) | 1995-09-19 | Paper |
Model Checking via Parametric Bootstraps in Time Series Analysis
Applied Statistics | 1995-08-17 | Paper |
| scientific article; zbMATH DE number 775747 (Why is no real title available?) | 1995-07-18 | Paper |
STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
Journal of Time Series Analysis | 1995-03-01 | Paper |
BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
Journal of Time Series Analysis | 1994-06-29 | Paper |
| Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series | 1994-01-09 | Paper |
Functional-Coefficient Autoregressive Models
Journal of the American Statistical Association | 1993-11-24 | Paper |
On the ergodicity of \(TAR(1)\) processes
The Annals of Applied Probability | 1992-06-28 | Paper |
Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
The Annals of Statistics | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4135256 (Why is no real title available?) | 1989-01-01 | Paper |
| Testing and Modeling Threshold Autoregressive Processes | 1989-01-01 | Paper |
IDENTIFYING MULTIVARIATE TIME SERIES MODELS
Journal of Time Series Analysis | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4197211 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4190911 (Why is no real title available?) | 1988-01-01 | Paper |
| Conditional Heteroscedastic Time Series Models | 1987-01-01 | Paper |
Nonlinearity tests for time series
Biometrika | 1986-01-01 | Paper |
Use of canonical analysis in time series model identification
Biometrika | 1985-01-01 | Paper |
| Regression Models with Time Series Errors | 1984-01-01 | Paper |
| Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models | 1984-01-01 | Paper |
Order selection in nonstationary autoregressive models
The Annals of Statistics | 1984-01-01 | Paper |
Consistency properties of least squares estimates of autoregressive parameters in ARMA models
The Annals of Statistics | 1983-01-01 | Paper |
