scientific article; zbMATH DE number 897115

MaRDI QIDQ4884570zbMATH OpenFDO

Authors Wayne A. Fuller

Publication date 7 July 1996

zbMATH Keywords

parameter estimationtime seriesARMA processesmultivariate modelsperiodogrammartingale differencescentral limit theoremsnonstationary time serieslarge sample theorystate space representationsempirical model identificationnew tests for unit rootsnonliner estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Recommendations

• scientific article; zbMATH DE number 52648
• scientific article; zbMATH DE number 842531
• scientific article; zbMATH DE number 50928
• scientific article; zbMATH DE number 777596
• Time series analysis
• Introduction to Time Series and Forecasting
• A course in time series analysis. Lectures of the ECAS '97, Madrid, Spain, September 15--19, 1997
• scientific article; zbMATH DE number 5040166
• scientific article; zbMATH DE number 4115781
• Time-series analysis. A comprehensive introduction for social scientists

Cited in

(only showing first 100 items - show all)

• A frequentist approach to Bayesian asymptotics
• Seasonality analysis of time series in partial linear models
• Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses
• Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise
• On least absolute deviation estimators for one-dimensional chirp model
• A sequential procedure for testing the existence of a random walk model in finite samples
• Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
• Confidence intervals for the largest root of autoregressive models based on instrumental variable estimators.
• TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA
• Semiparametric unit root tests based on symmetric estimators
• Efficient tests for unit roots with prediction errors
• Tapered block bootstrap for unit root testing
• Normalizations for periodogram-based unit root tests.
• On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.
• Testing spatial dependence in spatial models with endogenous weights matrices
• Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
• On the relationship between the theory of cointegration and the theory of phase synchronization
• Testing for panel unit roots under general cross-sectional dependence
• Tests for non-correlation of two cointegrated ARMA time series
• Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests
• Analysis of stock market data by using dynamic Fourier and wavelets techniques
• Residual variance estimation in moving average models
• Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models
• New tests for unit roots in autoregressive processes with possibly infinite variance errors
• Lag optimisation and finite-sample size distortion of unit root tests
• Explosive strong periodic autoregression with multiplicity one
• Harmonically Weighted Processes
• Stable and generalized-\(t\) distributions and applications
• Finite-sample properties of modified unit root tests in the presence of structural change.
• Size and power properties of powerful unit root tests in the presence of variance breaks
• A test sensitive to extreme hidden periodicities
• Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
• Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
• Second-order minimax estimation of the mean value for exponential dispersion models
• Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
• Ergodic for the mean
• Lag length selection for unit root tests in the presence of nonstationary volatility
• A computationally efficient algorithm to estimate the parameters of a two-dimensional chirp model with the product term
• The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
• Consistency properties for the estimators of partially linear regression model under dependent errors
• The impact of fat-tailed distributions on some leading unit roots tests
• Functional approach to the asymptotic normality of the nonlinear least squares estimator
• On the sample path properties of mixed Poisson processes
• Limiting behaviour of Dickey–Fuller F‐tests under the crash model alternative
• Quality control of wastewater treatment: A new approach
• High dimensional efficiency with applications to change point tests
• scientific article; zbMATH DE number 1538096 (Why is no real title available?)
• Highly efficient weighted for autoregression wilcoxon estimes for autoregression
• On least-squares estimation of the residual variance in the first-order moving average model.
• On augmented HEGY tests for seasonal unit roots
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Asymptotic identity in min-plus algebra: a report on CPNS
• Subset selection for vector autoregressive processes using Lasso
• Exploiting residual information in the parameter choice for discrete ill-posed problems
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Asymptotic inference for nearly unstable INAR(1) models
• Subset selection for vector autoregressive processes via adaptive Lasso
• Two-step adaptive model selection for vector autoregressive processes
• Application of copulas to multivariate control charts
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Estimation of mis-specified long memory models
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• Testing for trends in correlated data
• Comparison of MCMC methods for estimating stochastic volatility models
• scientific article; zbMATH DE number 5040166 (Why is no real title available?)
• Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
• Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
• scientific article; zbMATH DE number 777603 (Why is no real title available?)
• Local polynomial regresssion estimators in survey sampling.
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• Efficient algorithm for estimating the parameters of a chirp signal
• A characterization of vector autoregressive processes with common cyclical features
• Local asymptotic normality for regression models with long-memory disturbance
• Polynomial spline confidence bands for time series trend
• Time series in the time domain
• Autoregressive coefficient estimation in nonparametric analysis
• Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
• Filtered log-periodogram regression of long memory processes
• Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
• On the asymptotic joint distribution of sample space-time covariance estimators
• An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
• The empirical likelihood goodness-of-fit test for regression models
• Fractal time series -- A tutorial review
• A new estimator for the unit root
• The impact of bootstrap methods on time series analysis
• On the use of estimating functions in monitoring time series for change points
• Semiparametric generalized least squares estimation in partially linear regression models with correlated errors
• Efficient algorithm for estimating the parameters of two dimensional chirp signal
• Estimation of a measure of local correlation for independent samples and time series data
• Bias expansion of spatial statistics and approximation of differenced lattice point counts
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• Testing for unit roots in time series models with non-stationary volatility
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Nonlinear instrumental variable estimation of an autoregression.

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4884570)