scientific article

zbMath0537.62075MaRDI QIDQ3323077

M. B. Priestley

Publication date: 1981

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

predictioncontrolfrequency domaintime seriestime domainwhite noisespectral representationKalman filteringforecastingAR processesautocorrelationfilterslinear transformationsevolutionary spectranon-stationarityautocovariancestationary random processesstate space approachmultivariate processesWiener approachMA processesnon-linear modelsBox-Jenkins approachmixed spectraAkaike's AIC-criterionAkaike's BIC-criterionARMA- processesdecomposition of the integrated spectrumexponentially wheighted MA- predictorsfiltered Poisson-processesKolmogorov approachseasonal ARIMA-modelsstate-dependent non-linear modelssurvey of estimationtransferfunction models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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NONLINEAR MODELS, Spectral analysis with replicated time series, A Bayesian Curve Fitting Approach to Power Spectrum Estimation, Globally Centered Autocovariances in MCMC, Bayesian Identification of Seasonal Autoregressive Models, Unnamed Item, The tapered block bootstrap for general statistics from stationary sequences, Assessing and Visualizing Simultaneous Simulation Error, Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series, DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY, SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS, Bayesian Variable Selection and Regularization for Time–Frequency Surface Estimation, Long-memory continuous-time correlation models, A NEIGHBORHOOD SELECTION METHOD FOR CELLULAR AUTOMATA MODELS, Stochastic dynamics of vortex-acoustic lock-in: stochastic bifurcation and resonance, DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS, AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM, Spectral representation and autocovariance structure of Markov switching DSGE models, Inference for Autocorrelations in the Possible Presence of a Unit Root, A Non‐Gaussian Spatial Process Model for Opacity of Flocculated Paper, Asymptotic behavior of cross spectral density estimator at the zero frequency in the presence of degeneracy, A Unified View of Nonparametric Trend-Cycle Predictors Via Reproducing Kernel Hilbert Spaces, Empirical study of robust estimation methods for PAR models with application to the air quality area, Cointegrated continuous-time linear state-space and MCARMA models, ON THE SELECTION OF RANDOM SAMPLING SCHEMES FOR THE SPECTRAL ESTIMATION OF CONTINUOUS TIME PROCESSES, Unnamed Item, Estimation of mixing proportions in the presence of autoregressively correlated training data:the case of two univariate normal populations, AN APPLICATION OF THE SCHUR‐COHN ALGORITHM TO TIME SERIES ANALYSIS, Model validation tests for multivariable nonlinear models including neural networks, LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION, RATE OF CONVERGENCE FOR LOGSPLINE SPECTRAL DENSITY ESTIMATION, Some aspects of maximum likelihood estimation of multistage cancer dose-response odels with application, Bayesian classification with multivariate autoregressive sources that might have different orders, ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES, A modified prony algorithm for estimating sinusoidal frequencies, EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES, WAVELETS AND TIME-DEPENDENT SPECTRAL ANALYSIS, Bayesian Model Search for Nonstationary Periodic Time Series, Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes, ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS, Connectivity Inference between Neural Structures via Partial Directed Coherence, Testing for a jump in the periodogram, SPECTRAL ANALYSIS OF A STATIONARY BIVARIATE POINT PROCESS WITH APPLICATIONS TO NEUROPHYSIOLOGICAL PROBLEMS, Smoothing-based lack-of-fit tests: variations on a theme, Functional lagged regression with sparse noisy observations, COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES, Mining Periodicity from Dynamic and Incomplete Spatiotemporal Data, LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION, A Review of Nonparametric Time Series Analysis, Inference about long run canonical correlations, Unnamed Item, Block Bootstraps for Time Series With Fixed Regressors, The Variance Profile, ON THE LIMITS OF SPECTRAL METHODS FOR FREQUENCY ESTIMATION, QUANTILE PERIODOGRAM AND TIME‐DEPENDENT VARIANCE, A FREQUENCY DOMAIN APPROACH FOR THE ESTIMATION OF PARAMETERS OF SPATIO‐TEMPORAL STATIONARY RANDOM PROCESSES, Some Properties of the Normalized Periodogram of a Fractionally Integrated Separable Spatial ARMA (FISSARMA) Model, Bayesian Measures of Model Complexity and Fit, A characterization of the inverse autocorrelation function, Time-domain estimation of time-varying linear systems, Kernel-based portmanteau diagnostic test for ARMA time series models, Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas, HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES, Estimation of the Asymptotic Variance in the CLT for Markov Chains, Bootstrapping unit root tests for integrated processes, Spectral density estimation for symmetric stable p-adic processes, On model order priors for Bayesian identification of SISO linear systems, A nonparametric frequency domain EM algorithm for time series classification with applications to spike sorting and macro‐economics, A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes, THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN, TESTING CHANGE-POINTS IN THE EXPLOSIVE GAUSSIAN AUTOREGRESSIVE PROCESSES, On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators, Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes, A test for second-order stationarity of a time series based on the discrete Fourier transform, Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series, Estimation of time delay and lag relationship of quadratic systems, A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL, Adaptive bandwidth choice, THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR, Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series, Some restrictions of the non-causal impulse response functions, A simple nearly unbiased estimator of cross‐covariances, Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models, SPECTRAL RATIO DISCRIMINANTS AND INFORMATION THEORY, Recent developments in bootstrapping time series, Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration, Estimation in Functional Lagged Regression, Spectral methods for small sample time series: A complete periodogram approach, Bayesian Identification of Seasonal Multivariate Autoregressive Processes, Testing for the expected number of exceedances in strongly dependent seasonal time series, Optimal window width choice in spectral density estimation, Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets, ASYMPTOTIC ANALYSIS ABOUT THE PERIODOGRAM OF A GENERAL CLASS OF TIME SERIES MODELS WITH SPECTRAL SUPPORTSON LINES NOT PARALLEL TO THE MAIN DIAGONAL, Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data, A WILD BOOTSTRAP FOR DEPENDENT DATA, A python program for the implementation of the \(\varGamma\)-method for Monte Carlo simulations, A Review of Seasonal Adjustment Diagnostics, Detection of malfunctions in sensor networks, Semiparametric estimation of cross‐covariance functions for multivariate random fields, Extracting business cycles with three filters: A comparative study and application in the case of China, Spectral Density Estimation for Nonstationary Data With Nonzero Mean Function, Analysing Multivariate Spatial Point Processes with Continuous Marks: A Graphical Modelling Approach, Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic, Using covariates to model dependence in nonstationary, high‐frequency meteorological processes, A practical multivariate approach to testing volatility spillover, Bayesian modeling and forecasting of vector autoregressive moving average processes, Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models, Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings, Budget constrained model selection for multiple linear regression, Efficient nonparametric estimation of generalised autocovariances, Estimating the Spectral Density at Frequencies Near Zero, Seasonal fluctuations of age classes, with application to South Russia, 1896-1897, A frequency domain bootstrap for general multivariate stationary processes, On the integrated mean squared error of wavelet density estimation for linear processes, RETRACTED ARTICLE: Some properties of the generalized autoregressive moving average (GARMA(1, 2; δ, 1)) model, On spectral properties of stationary random processes connected by a special random time change, Analysis of air quality time series of Hong Kong with graphical modeling, Graphical models for nonstationary time series, Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain, Is Newey-West optimal among first-order kernels?, Inverse covariance operators of multivariate nonstationary time series, EXPLORING MULTI-RESOLUTION AND MULTI-SCALING VOLATILITY FEATURES, Modelling the nonlinear time dynamics of multidimensional hormonal systems, Spectral‐based non‐central F mixed effect models, with application to otoacoustic emissions, Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes, Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability, Transformation to approximate independence for locally stationary Gaussian processes, On the estimation of the spectral density for continuous spatial processes, Bahadur exact slopes of some tests for spectral densities, A high performance architecture for computing the time-frequency spectrum, Nonparametric testing for long-horizon predictability with persistent covariates, Bayesian Identification of Moving Average Models, On the pseudo cross-variogram, Multidimensional spectrum estimation for nonstationary processes, Adaptive smoothing methods for frequency-function estimation, Large-sample inference in the general AR(1) model, Nonmonotonic power for tests of a mean shift in a time series§, A test for volatility spillover with application to exchange rates, Tomato firmness estimation using vibration measurements, Analytic derivatives of the matrix exponential for estimation of linear continuous-time models., The statistics of time-frequency analysis, GENERAL LINEAR PROCESSES:A PROPERTY OF THE EMPIRICAL PROCESS APPLIED TO DENSITY AND MODE ESTIMATION, Generalized spectral estimation of the consumption-based asset pricing model, On consistent testing for serial correlation in seasonal time series models, Local spectral analysis using wavelet packets, Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes., A Class of Sparse Invertible Matrices and Their Use for Nonlinear Prediction of Nearly Periodic Time Series with Fixed Period, Some computational aspects of Gaussian CARMA modelling, Correlation analysis of nonstationary processes using prior information, Bayesian Identification of Multivariate Autoregressive Processes, How can we Define the Concept of Long Memory? An Econometric Survey, Large sample properties of spectral estimators for a class of stationary nonlinear processes, Estimating the Rank of the Spectral Density Matrix, Robust and powerful serial correlation tests with new robust estimates in ARX models, Outlier Detection And Estimation In NonLinear Time Series, Assessing Persistence In Discrete Nonstationary Time‐Series Models, Testing the Fit of a Vector Autoregressive Moving Average Model, Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes, Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes, Temporal Aggregation of Stationary and Non‐stationary Continuous‐Time Processes, On a localization property of wavelet coefficients for processes with stationary increments, and applications. I. Localization with respect to shift, Improved nonparametric confidence intervals in time series regressions, Statistical Methods for Regular Monitoring Data, Bispectral-Based Goodness-of-Fit Tests of Gaussianity and Linearity of Stationary Time Series, The Multistep Beveridge–Nelson Decomposition, A note on limiting distribution of the sample auto-covariance function for the first-order autoregressive (AR(1)) model