scientific article; zbMATH DE number 897115

zbMATH Open0851.62057MaRDI QIDQ4884570FDOQ4884570

Authors: Wayne A. Fuller 

Publication date: 7 July 1996

Title of this publication is not available (Why is that?)

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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)

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• Application of copulas to multivariate control charts
• Limiting distributions of unconditional maximum likelihood unit root test statistics in seasonal time–series models
• A pair-wise approach to testing for output and growth convergence
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
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• Asymptotic normality of Huber-Dutter estimators in a linear EV model with AR(1) processes
• Variance ratio tests of the seasonal unit root hypothesis
• Small sample properties of forecasts from autoregressive models under structural breaks
• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• Explosive Random‐Coefficient AR(1) Processes and Related Asymptotics for Least‐Squares Estimation
• Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process
• Local polynomial regresssion estimators in survey sampling.
• Local asymptotic normality for regression models with long-memory disturbance
• Recursive mean adjustment in time-series inferences
• Multivariate versions of Bartlett's formula
• Nonlinear instrumental variable estimation of an autoregression.
• A hybrid bootstrap approach to unit root tests
• Estimators of error covariance matrices for small area prediction
• Bootstrap LR tests of stationarity, common trends and cointegration
• mBm-based scalings of traffic propagated in internet
• Asymptotic identity in min-plus algebra: a report on CPNS
• Efficient algorithm for estimating the parameters of a chirp signal
• Polynomial spline confidence bands for time series trend
• Fitting piecewise linear threshold autoregressive models by means of genetic algorithms
• Testing for unit roots in time series models with non-stationary volatility
• On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
• Estimation of mis-specified long memory models
• Econometric analysis of linearized singular dynamic stochastic general equilibrium models
• On the use of estimating functions in monitoring time series for change points
• Efficiency of a Liu-type estimator in semiparametric regression models
• Time series in the time domain
• Filtered log-periodogram regression of long memory processes
• The empirical likelihood goodness-of-fit test for regression models
• An invariant sign test for random walks based on recursive median adjustment
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Subset selection for vector autoregressive processes via adaptive Lasso
• A characterization of vector autoregressive processes with common cyclical features
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Asymptotic results for spatial causal ARMA models
• Bayesian single and double variable sampling plans for the Weibull distribution with censoring
• Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments
• Testing for trends in correlated data
• Comparison of MCMC methods for estimating stochastic volatility models
• On the detection of changes in autoregressive time series. I: Asymptotics.
• An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.
• Spectral tests of the martingale hypothesis under conditional heteroscedasticity
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Multivariate singular spectrum analysis for forecasting revisions to real-time data
• Asymptotics of tests for a unit root in autoregression
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• Fractal time series -- A tutorial review
• A new estimator for the unit root
• Semiparametric generalized least squares estimation in partially linear regression models with correlated errors
• Bootstrapping unit root tests for integrated processes
• A Sieve Bootstrap For The Test Of A Unit Root
• Asymptotic inference for nearly unstable INAR(1) models
• Estimating deterministic trends with an integrated or stationary noise component
• Local inference for locally stationary time series based on the empirical spectral measure
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• Bias expansion of spatial statistics and approximation of differenced lattice point counts
• Exploiting residual information in the parameter choice for discrete ill-posed problems
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• Autoregressive coefficient estimation in nonparametric analysis
• On the asymptotic joint distribution of sample space-time covariance estimators
• 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
• Alternative estimators and unit root tests for seasonal autoregressive processes
• Chain binomial models and binomial autoregressive processes
• Testing equality of stationary autocovariances
• Seasonal unit root tests and the role of initial conditions
• REGRESSION-BASED SEASONAL UNIT ROOT TESTS
• Unit root testing via the stationary bootstrap
• Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
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• Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
• Developments in maximum likelihood unit root tests
• Subset selection for vector autoregressive processes using Lasso
• ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
• On LM type tests for seasonal unit roots in quarterly data
• On the Covariance Structure of Time Varying Bilinear Models
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
• The impact of bootstrap methods on time series analysis
• Smoothing parameter selection methods for nonparametric regression with spatially correlated errors
• Seasonality analysis of time series in partial linear models
• Semiparametric unit root tests based on symmetric estimators
• Testing spatial dependence in spatial models with endogenous weights matrices
• Size and power properties of powerful unit root tests in the presence of variance breaks
• Computer Algebra Derivation of the Bias of Linear Estimators of Autoregressive Models
• Biases of the restricted maximum likelihood estimators for ARMA processes with polynomial time trend
• Explosive strong periodic autoregression with multiplicity one
• The impact of fat-tailed distributions on some leading unit roots tests
• Efficient tests for unit roots with prediction errors
• Normalizations for periodogram-based unit root tests.
• On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.
• The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks
• Second-order minimax estimation of the mean value for exponential dispersion models
• On the sample path properties of mixed Poisson processes

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