Current developments in time series modelling
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Publication:1117656
DOI10.1016/0304-4076(88)90076-0zbMATH Open0667.62068OpenAlexW2049424743MaRDI QIDQ1117656FDOQ1117656
Authors: M. B. Priestley 
Publication date: 1988
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(88)90076-0
Recommendations
surveylinear modelsARMA modelstime series analysisnon-linear differential equationsnon-linear modelsstate-space representationscurrent developmentsstate-dependent models
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Cited In (73)
- Spectral and wavelet methods for the analysis of nonlinear and nonstationary time series
- \(M\)-estimation of linear models with dependent errors
- A generalization of some classical time series tools
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
- Recurrence plots revisited
- On some classes of nonstationary parametric processes
- Note on optimization of individual psychotherapeutic processes
- The local paradigm for modeling and control: From neuro-fuzzy to lazy learning
- Seismic waves and correlation autoregressive processes
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- Local linear quantile estimation for nonstationary time series
- Statistical inference for time-varying ARCH processes
- Recent developments in time series forecasting
- Time series in the time domain
- Asymptotic spectral theory for nonlinear time series
- A note on the invertibility of nonlinear ARMA models
- Sampling properties of \(U\)-statistics for a class of stationary nonlinear processes
- Spectral analysis of randomly scattered signals using the wavelet transform
- Modelling and analysis of non-linear time series
- Parameter identification in noisy extended systems: a hydrodynamic case
- Confidence bands in nonparametric time series regression
- Conditional Monte Carlo method for dynamic systems with random properties
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Non-stationary structural model with time-varying demand elasticities
- Recursive estimation of time-average variance constants
- Change-point analysis in increasing dimension
- Swarm-based translation-invariant morphological prediction method for financial time series forecasting
- Strong invariance principles for dependent random variables
- Estimation of an autoregressive semiparametric model with exogenous variables
- Large deviations for quadratic forms of locally stationary processes
- Improved bispectrum based tests for Gaussianity and linearity
- Effects of the Hodrick-Prescott filter on trend and difference stationary time series
- Exploring the dynamics of dyadic interactions via hierarchical segmentation
- Analysis of mean and mean square response of general linear stochastic finite element systems
- A network approach for evaluating coherence in multivariate systems: an application to psychophysiological emotion data
- Higher-order statistics-based input/output system identification and application to noise cancellation
- Accurate estimation of evolutionary power spectra for strongly narrow-band random fields
- Stability of random coefficient ARCH models and aggregation schemes
- Analyzing multiple nonlinear time series with extended Granger causality
- Measuring connectivity in linear multivariate processes: definitions, interpretation, and practical analysis
- Nonparametric time series regression
- A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
- Semiparametric model building for regression models with time-varying parameters
- Modeling nonlinear processes with generalized autoregressions
- Possible determinism and the real world data
- Stochastic processes evolutionary spectrum estimation via harmonic wavelets
- Estimating linear representations of nonlinear processes
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
- The effects of temporal aggregation on tests of linearity of a time series.
- Weakly dependent functional data
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- Response variability of stochastic frame structures using evolutionary field theory
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- Quenouille-type theorem on autocorrelations
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- Average Sampling Restoration of Harmonizable Processes
- Detecting changes in functional linear models
- Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
- Komlós-Major-Tusnády approximation under dependence
- Classifying trend movements in the MSCI U.S.A. capital market index -- a comparison of regression, ARIMA and neural network methods
- A high performance architecture for computing the time-frequency spectrum
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- State-dependent vector hybrid linear and nonlinear ARMA modeling: Applications
- Outliers in functional autoregressive time series
- A system approach to analysis of adequacy of nonlinear time series models
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- Characteristic function based testing for conditional independence: a nonparametric regression approach
- Discrete evolutionary transform for time-frequency signal analysis
- Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours
- Strongly nonlinear stochastic processes in physics and the life sciences
- Trigger-target rules and the dynamics of aggregate money holdings
- Nonlinear stochastic differential equations: ARIMA models and applications
- A Class of Models for Aggregated Traffic Volume Time Series
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