scientific article; zbMATH DE number 5024823

zbMath1141.62071MaRDI QIDQ5291733

Publication date: 22 May 2006

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

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)

Related Items (46)

Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues ⋮ Location and scale-based CUSUM test with application to autoregressive models ⋮ Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach ⋮ On the usefulness of cross-validation for directional forecast evaluation ⋮ Statistical inference for mixture GARCH models with financial application ⋮ Boosting techniques for nonlinear time series models ⋮ The evolution of U.S. monetary policy: 2000--2007 ⋮ Influential nodes and anomalous topic activities in social networks using multivariate time series and topic modeling ⋮ Bayesian comparison of stochastic models of dispersion ⋮ Kernel-based inference in time-varying coefficient cointegrating regression ⋮ Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations ⋮ Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ l₁common trend filtering: an extension ⋮ THE NEUTRALITY OF NOMINAL RATES: HOW LONG IS THE LONG RUN? ⋮ Anthropogenic global warming hypothesis: testing its robustness by Granger causality analysis ⋮ Bayesian modeling and forecasting of vector autoregressive moving average processes ⋮ An integer-valued autoregressive process for seasonality ⋮ High‐dimensional sparse multivariate stochastic volatility models ⋮ Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients ⋮ Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand ⋮ A class of variogram matrices for vector random fields in space and/or time ⋮ The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting ⋮ A distance-based test of independence between two multivariate time series ⋮ Cross-entropy method for estimation of posterior expectation in Bayesian VAR models ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data ⋮ Wasserstein autoregressive models for density time series ⋮ On a constrained mixture vector autoregressive model ⋮ Constructing networks by filtering correlation matrices: a null model approach ⋮ Fiscal policy in good and bad times ⋮ Skilled migration and business cycle dynamics ⋮ Dynamic modeling of mean-reverting spreads for statistical arbitrage ⋮ High dimensional stochastic regression with latent factors, endogeneity and nonlinearity ⋮ Penalized Estimation and Forecasting of Multiple Subject Intensive Longitudinal Data ⋮ How news affects the trading behaviour of different categories of investors in a financial market ⋮ Time series modeling on dynamic networks ⋮ Geometric and long run aspects of Granger causality ⋮ Efficient VAR discretization ⋮ Generalised cepstral models for the spectrum of vector time series ⋮ On the determinants of data breaches: a cointegration analysis ⋮ Mortality projections for non-converging groups of populations ⋮ OLS estimation of Markov switching VAR models: asymptotics and application to energy use ⋮ The Doubly Adaptive LASSO for Vector Autoregressive Models ⋮ On projection methods for functional time series forecasting ⋮ High dimensional generalized empirical likelihood for moment restrictions with dependent data ⋮ Multistep ahead forecasting of vector time series

This page was built for publication: