| Publication | Date of Publication | Type |
|---|
Simultaneous detection of structural breaks and outliers in time series
Journal of Time Series Analysis | 2026-04-13 | Paper |
Independent component analysis with heavy tails using distance covariance
Journal of Time Series Analysis | 2026-01-07 | Paper |
Sample splitting and assessing goodness-of-fit of time series
Biometrika | 2025-10-15 | Paper |
Insights into kernel PCA with application to multivariate extremes
SIAM Journal on Mathematics of Data Science | 2025-07-18 | Paper |
COVID-19 cases and deaths in the United States follow Taylor's law for heavy-tailed distributions with infinite variance
Proceedings of the National Academy of Sciences of the United States of America | 2025-03-05 | Paper |
Clustering multivariate time series using energy distance
Journal of Time Series Analysis | 2023-08-24 | Paper |
Count Time Series: A Methodological Review
Journal of the American Statistical Association | 2023-05-22 | Paper |
Cauchy, normal and correlations versus heavy tails
Statistics & Probability Letters | 2022-06-01 | Paper |
Handling missing extremes in tail estimation
Extremes | 2022-05-09 | Paper |
Goodness-of-fit testing for time series models via distance covariance
Journal of Econometrics | 2022-03-16 | Paper |
Indirect inference for time series using the empirical characteristic function and control variates
Journal of Time Series Analysis | 2021-11-25 | Paper |
Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2021-10-29 | Paper |
Extreme value analysis without the largest values: what can be done?
Probability in the Engineering and Informational Sciences | 2020-05-27 | Paper |
Noncausal vector AR processes with application to economic time series
Journal of Econometrics | 2020-03-20 | Paper |
Are extreme value estimation methods useful for network data?
Extremes | 2020-02-28 | Paper |
Semiparametric estimation for isotropic max-stable space-time processes
Bernoulli | 2019-09-25 | Paper |
Semiparametric estimation for isotropic max-stable space-time processes
Bernoulli | 2019-09-25 | Paper |
Extreme value analysis of multivariate high-frequency wind speed data
Journal of Statistical Theory and Practice | 2019-08-27 | Paper |
Threshold selection for multivariate heavy-tailed data
Extremes | 2019-05-31 | Paper |
Statistical inference for max-stable processes in space and time
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-04-30 | Paper |
Goodness-of-Fit Testing for Time Series Models via Distance Covariance
(available as arXiv preprint) | 2019-03-02 | Paper |
Applications of distance correlation to time series
Bernoulli | 2018-03-27 | Paper |
Applications of distance correlation to time series
Bernoulli | 2018-03-27 | Paper |
Fitting the linear preferential attachment model
Electronic Journal of Statistics | 2017-10-12 | Paper |
Fitting the linear preferential attachment model
Electronic Journal of Statistics | 2017-10-12 | Paper |
Self-excited threshold Poisson autoregression
Journal of the American Statistical Association | 2017-08-04 | Paper |
| Discrete Extremes | 2017-07-17 | Paper |
Towards estimating extremal serial dependence via the bootstrapped extremogram
Journal of Econometrics | 2017-05-12 | Paper |
Model identification for infinite variance autoregressive processes
Journal of Econometrics | 2017-05-12 | Paper |
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
Extremes | 2017-02-08 | Paper |
Theory and inference for a class of nonlinear models with application to time series of counts
Statistica Sinica | 2016-10-26 | Paper |
Theory and inference for a class of nonlinear models with application to time series of counts
Statistica Sinica | 2016-10-26 | Paper |
Introduction to Time Series and Forecasting
Springer Texts in Statistics | 2016-09-22 | Paper |
Asymptotic properties of the empirical spatial extremogram
Scandinavian Journal of Statistics | 2016-09-21 | Paper |
On consistency of minimum description length model selection for piecewise autoregressions
Journal of Econometrics | 2016-09-06 | Paper |
Observation-driven models for Poisson counts
Biometrika | 2016-06-27 | Paper |
Nonstandard regular variation of in-degree and out-degree in the preferential attachment model
Journal of Applied Probability | 2016-04-29 | Paper |
Nonstandard regular variation of in-degree and out-degree in the preferential attachment model
Journal of Applied Probability | 2016-04-29 | Paper |
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series
Stochastic Processes and their Applications | 2016-02-15 | Paper |
The asymptotic distribution of the maxima of a Gaussian random field on a lattice
Extremes | 2016-01-25 | Paper |
A conversation with Murray Rosenblatt
Statistical Science | 2015-12-22 | Paper |
A conversation with Murray Rosenblatt
Statistical Science | 2015-12-22 | Paper |
Max-stable processes for modeling extremes observed in space and time
Journal of the Korean Statistical Society | 2014-08-07 | Paper |
A class of stochastic volatility models for environmental applications
Journal of Time Series Analysis | 2014-08-06 | Paper |
Measures of serial extremal dependence and their estimation
Stochastic Processes and their Applications | 2014-04-28 | Paper |
The convex hull of consecutive pairs of observations from some time series models
Extremes | 2014-04-08 | Paper |
Likelihood inference for discriminating between long-memory and change-point models
Journal of Time Series Analysis | 2014-02-25 | Paper |
Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
Stochastic Processes and their Applications | 2014-02-06 | Paper |
scientific article; zbMATH DE number 6193726 (Why is no real title available?)
(available as arXiv preprint) | 2013-08-01 | Paper |
Consistency of minimum description length model selection for piecewise stationary time series models
Electronic Journal of Statistics | 2013-05-29 | Paper |
Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data
The Annals of Applied Statistics | 2013-03-05 | Paper |
Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data
The Annals of Applied Statistics | 2013-03-05 | Paper |
| Eigenvalues of sample covariance matrices of non-linear processes with infinite variance | 2012-11-26 | Paper |
Unit roots in moving averages beyond first order
The Annals of Statistics | 2012-09-03 | Paper |
Unit roots in moving averages beyond first order
The Annals of Statistics | 2012-09-03 | Paper |
Functional convergence of stochastic integrals with application to statistical inference
Stochastic Processes and their Applications | 2012-03-22 | Paper |
Inference for regression models with errors from a non-invertible MA(1) process
Journal of Forecasting | 2011-07-27 | Paper |
Discussion of: ``A statistical analysis of multiple temperature proxies: are reconstructions of surface temperatures over the last 1000 years reliable?''
The Annals of Applied Statistics | 2011-06-10 | Paper |
Estimation for non-negative Lévy-driven CARMA processes
Journal of Business and Economic Statistics | 2011-04-13 | Paper |
Least absolute deviation estimation for general autoregressive moving average time-series models
Journal of Time Series Analysis | 2011-02-22 | Paper |
Autoregressive processes with data-driven regime switching
Journal of Time Series Analysis | 2011-02-22 | Paper |
| Comments on pairwise likelihood in time series models | 2011-02-10 | Paper |
The extremogram: a correlogram for extreme events
Bernoulli | 2010-11-15 | Paper |
The pairwise beta distribution: A flexible parametric multivariate model for extremes
Journal of Multivariate Analysis | 2010-09-01 | Paper |
Break detection for a class of nonlinear time series models
Journal of Time Series Analysis | 2010-04-22 | Paper |
Probabilistic Properties of Stochastic Volatility Models
Handbook of Financial Time Series | 2009-11-27 | Paper |
Extremes of Stochastic Volatility Models
Handbook of Financial Time Series | 2009-11-27 | Paper |
Extreme Value Theory for GARCH Processes
Handbook of Financial Time Series | 2009-11-27 | Paper |
A negative binomial model for time series of counts
Biometrika | 2009-09-29 | Paper |
Maximum likelihood estimation for \(\alpha \)-stable autoregressive processes
The Annals of Statistics | 2009-07-22 | Paper |
Time series: Theory and methods
Springer Series in Statistics | 2009-05-26 | Paper |
Extreme value theory for space-time processes with heavy-tailed distributions
Stochastic Processes and their Applications | 2008-03-18 | Paper |
Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
Journal of Applied Probability | 2008-03-07 | Paper |
| scientific article; zbMATH DE number 5224882 (Why is no real title available?) | 2008-01-09 | Paper |
Rank-based estimation for all-pass time series models
The Annals of Statistics | 2007-09-03 | Paper |
Structural Break Estimation for Nonstationary Time Series Models
Journal of the American Statistical Association | 2007-08-20 | Paper |
Maximum likelihood estimation for all-pass time series models
Journal of Multivariate Analysis | 2006-08-14 | Paper |
Maximum likelihood estimation for an observation driven model for Poisson counts
Methodology and Computing in Applied Probability | 2006-01-30 | Paper |
| scientific article; zbMATH DE number 2206035 (Why is no real title available?) | 2005-09-16 | Paper |
| scientific article; zbMATH DE number 2199137 (Why is no real title available?) | 2005-08-25 | Paper |
Regular variation of GARCH processes.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Asymptotic properties of some subset vector autoregressive process estimators
Journal of Multivariate Analysis | 2004-10-01 | Paper |
Point process convergence of stochastic volatility processes with application to sample autocorrelation
Journal of Applied Probability | 2003-10-15 | Paper |
A characterization of multivariate regular variation.
The Annals of Applied Probability | 2003-05-06 | Paper |
Least absolute deviation estimation for all-pass time series models
The Annals of Statistics | 2002-11-14 | Paper |
The sample ACF of a simple bilinear process
Stochastic Processes and their Applications | 2002-08-29 | Paper |
Introduction to Time Series and Forecasting
Springer Texts in Statistics | 2002-05-23 | Paper |
On autocorrelation in a Poisson regression model
Biometrika | 2001-03-11 | Paper |
| The sample autocorrelations of financial time series models | 2001-01-01 | Paper |
| scientific article; zbMATH DE number 1487664 (Why is no real title available?) | 2000-08-10 | Paper |
Extremes of stochastic volatility models
The Annals of Applied Probability | 2000-08-03 | Paper |
Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise
Stochastic Processes and their Applications | 1999-11-18 | Paper |
The sample autocorrelations of heavy-tailed processes with applications to ARCH
The Annals of Statistics | 1999-11-09 | Paper |
The maximum of the periodogram of a non-Gaussian sequence.
The Annals of Probability | 1999-11-09 | Paper |
| scientific article; zbMATH DE number 1301877 (Why is no real title available?) | 1999-10-17 | Paper |
Gauss-Newton and M-estimation for ARMA processes with infinite variance
Stochastic Processes and their Applications | 1998-11-23 | Paper |
Limit theory for bilinear processes with heavy-tailed noise
The Annals of Applied Probability | 1998-01-22 | Paper |
Least absolute deviation estimation for regression with ARMA errors
Journal of Theoretical Probability | 1997-10-07 | Paper |
| scientific article; zbMATH DE number 1054299 (Why is no real title available?) | 1997-08-28 | Paper |
| scientific article; zbMATH DE number 1089177 (Why is no real title available?) | 1997-01-01 | Paper |
| scientific article; zbMATH DE number 954235 (Why is no real title available?) | 1996-12-05 | Paper |
| scientific article; zbMATH DE number 897212 (Why is no real title available?) | 1996-10-08 | Paper |
Order determination for multivariate autoregressive processes using resampling methods
Journal of Multivariate Analysis | 1996-08-05 | Paper |
Point process and partial sum convergence for weakly dependent random variables with infinite variance
The Annals of Probability | 1996-05-20 | Paper |
Testing for a change in the parameter values and order of an autoregressive model
The Annals of Statistics | 1995-10-18 | Paper |
| scientific article; zbMATH DE number 777877 (Why is no real title available?) | 1995-07-24 | Paper |
IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
Journal of Time Series Analysis | 1995-04-02 | Paper |
On permissible correlations for locally correlated stationary processes
Statistics & Probability Letters | 1995-02-22 | Paper |
Crossings of max-stable processes
Journal of Applied Probability | 1995-02-12 | Paper |
| scientific article; zbMATH DE number 641220 (Why is no real title available?) | 1994-09-20 | Paper |
Prediction of stationary max-stable processes
The Annals of Applied Probability | 1993-10-28 | Paper |
| scientific article; zbMATH DE number 218657 (Why is no real title available?) | 1993-06-29 | Paper |
| scientific article; zbMATH DE number 218656 (Why is no real title available?) | 1993-06-29 | Paper |
| scientific article; zbMATH DE number 107549 (Why is no real title available?) | 1993-01-23 | Paper |
TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
Journal of Time Series Analysis | 1993-01-16 | Paper |
Time series: theory and methods.
Springer Series in Statistics | 1992-09-17 | Paper |
| scientific article; zbMATH DE number 49657 (Why is no real title available?) | 1992-09-17 | Paper |
M-estimation for autoregression with infinite variance
Stochastic Processes and their Applications | 1992-06-28 | Paper |
Maximum likelihood estimation for noncausal autoregressive processes
Journal of Multivariate Analysis | 1991-01-01 | Paper |
Extremes of moving averages of random variables with finite endpoint
The Annals of Probability | 1991-01-01 | Paper |
Parameter estimation for some time series models without contiguity
Statistics & Probability Letters | 1991-01-01 | Paper |
Limit theory for the sample covariance and correlation matrix functions of a class of multivariate linear processes
Communications in Statistics. Stochastic Models | 1990-01-01 | Paper |
Nonminimum phase non-Gaussian autoregressive processes.
Proceedings of the National Academy of Sciences | 1990-01-01 | Paper |
Basic properties and prediction of max-ARMA processes
Advances in Applied Probability | 1989-01-01 | Paper |
Estimation for first-order autoregressive processes with positive or bounded innovations
Stochastic Processes and their Applications | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4102349 (Why is no real title available?) | 1988-01-01 | Paper |
Simple consistent estimation of the coefficients of a linear filter
Stochastic Processes and their Applications | 1988-01-01 | Paper |
Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
Stochastic Processes and their Applications | 1988-01-01 | Paper |
Almost sure limit sets of random samples in ℝ<sup><i>d</i></sup>
Advances in Applied Probability | 1988-01-01 | Paper |
The convex hull of a random sample in
Communications in Statistics. Stochastic Models | 1987-01-01 | Paper |
Time series: theory and methods
Springer Series in Statistics | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4131440 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3958502 (Why is no real title available?) | 1986-01-01 | Paper |
Limit theory for the sample covariance and correlation functions of moving averages
The Annals of Statistics | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4052784 (Why is no real title available?) | 1985-01-01 | Paper |
Limit theory for moving averages of random variables with regularly varying tail probabilities
The Annals of Probability | 1985-01-01 | Paper |
More limit theory for the sample correlation function of moving averages
Stochastic Processes and their Applications | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3872393 (Why is no real title available?) | 1984-01-01 | Paper |
Tail estimates motivated by extreme value theory
The Annals of Statistics | 1984-01-01 | Paper |
Stable limits for partial sums of dependent random variables
The Annals of Probability | 1983-01-01 | Paper |
Limit laws for upper and lower extremes from stationary mixing sequences
Journal of Multivariate Analysis | 1983-01-01 | Paper |
Maximum and minimum of one-dimensional diffusions
Stochastic Processes and their Applications | 1982-01-01 | Paper |
Extremes in autoregressive processes with uniform marginal distributions
Statistics & Probability Letters | 1982-01-01 | Paper |
The rate of convergence in distribution of the maxima
Statistica Neerlandica | 1982-01-01 | Paper |
Limit laws for the maximum and minimum of stationary sequences
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1982-01-01 | Paper |
Maxima and minima of stationary sequences
The Annals of Probability | 1979-01-01 | Paper |
