scientific article; zbMATH DE number 3335601
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Publication:5612941
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(only showing first 100 items - show all)- An asymptotic theory for sample covariances of Bernoulli shifts
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
- Spectral analysis for intrinsic time processes
- K-sample subsampling in general spaces: the case of independent time series
- The inverse partial correlation function of a time series and its applications
- Asymptotic distribution of the discriminant function
- An asymptotic representation for products of random matrices
- Prediction of multivariate time series by autoregressive model fitting
- Multilinear forms and measures of dependence between random variables
- Robust prediction and interpolation for vector stationary processes
- On the errors-in-variables problem for time series
- Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes
- A dynamic factor model for the analysis of multivariate time series
- The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
- Testing causality using efficiently parametrized vector ARMA models
- Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes
- On the consistency and finite-sample properties of nonparametric kernel time series regression, autoregression and density estimators
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
- Autoregressive models for matrix-valued time series
- Optimal control in wide-sense stationary continuous-time stochastic models
- On the dynamic shape of aggregated error correction models
- Estimation of parameters for Hilbert space-valued partially observable stochastic processes
- Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case
- Nonstationary time series identification
- State-space formulae for all stabilizing controllers that satisfy an \(H_{\infty}\)-norm bound and relations to risk sensitivity
- Bayesian reduced rank regression in econometrics
- Average power analysis of sequential circuits using an autoregressive model
- Modeling by shortest data description
- The central limit theorem for time series regression
- Forecasting contemporal aggregates of multiple time series
- Entropy maximization principle and selection of the order of an autoregressive Gaussian process
- Maximum likelihood and prediction error methods
- Estimation of vector Armax models
- The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
- Local and global identification and strong consistency in time series models
- On selection of the order of the spectral density model for a stationary process
- Markov inequalities on partially ordered spaces
- On fitting distributed lag models subject to polynomial restrictions
- Large sample estimation and testing procedures for dynamic equation systems. (Rejoinder)
- Structural parameter estimation in power systems
- Granger-causality in multiple time series
- Moving-weighted-average smoothing extended to the extremities of the data. III. Stability and optimal properties
- Estimation of prediction error variance
- When is an aggregate of a time series efficiently forecast by its past?
- Linear identification of ARMA processes
- Signal estimation using an array of recorders
- Asymptotic normality of finite Fourier transforms of stationary generalized processes
- Asymptotic distributions of the likelihood ratio test statistics for covariance structures of the complex multivariate normal distributions
- A central limit theorem for estimation in Gaussian stationary time series observed at unequally spaced times
- On the behavior of inconsistent instrumental variable estimators
- A reply to Professors Maasoumi and Phillips
- Effects of misspecification of lag structure in certain two-variable distributed lag models
- Seasonally and approximation errors in rational expectations models
- Dynamic factor analysis of nonstationary multivariate time series
- On the sample variance of linear statistics derived from mixing sequences
- Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
- The power of four tests of autocorrelation in the linear regression model
- The first-order moving average process. Identification, estimation and prediction
- Asymptotic properties of dynamic stochastic parameter estimates. III
- Frequency domain pattern classification
- Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances
- Gains in efficiency from joint estimation of systems of autoregressive- moving average processes
- Some comments on the derivation of the Wiener filter for average evoked potentials
- Tendency towards normality of linear combinations of random variables
- Linear relations in time series models. II
- A multivariate model for growth of populations
- Causality in temporal systems. Characterizations and a Survey
- Some recent developments on complex multivariate distributions
- Asymptotic properties of dynamic stochastic parameter estimates
- Estimation in the first-order moving average model through the finite autoregressive approximation: Some asymptotic results
- Wiener filtration versus averaging of evoked responses
- Spectral analysis for a random process on the sphere
- The construction and estimation of continuous time models and discrete approximations in econometrics
- The information matrices of the parameters of multiple mixed time series
- Alternative models for stationary stochastic processes
- Determining the final form of a linear dynamic econometric model
- Testing the exogeneity specification in the complete dynamic simultaneous equation model
- Some generalizations on the algebra of I(1) processes
- Asymptotically most powerful rank tests for multivariate randomness against serial dependence
- Optimal predictor for a singular random process
- The asymptotic properties of the multichannel autoregressive spectral estimates
- Subset regression time series and its modeling procedures
- Estimation of the population spectrum with replicated time series.
- Predicting random fields with increasing dense observations
- The estimation of systems of joint differential-difference equations
- Non-stationary log-periodogram regression
- Tests for Gaussianity and linearity of multivariate stationary time series
- Autoregressive model selection for multistep prediction
- Testing for serial correlation in multivariate regression models
- Higher-order approximations for frequency domain time series regression
- Testing the null of stationarity for multiple time series
- Testing for a unit root by frequency domain regression
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Large sample inference for a multivariate linear model with autocorrelated errors
- Rates of convergence and optimal spectral bandwidth for long range dependence
- Asymmetric recursive methods for time series
- Encompassing in stationary linear dynamic models
- VAR analysis, nonfundamental representations, Blaschke matrices
- Dependent versions of a central limit theorem for the squared length of a sample mean
- A limit theory for long-range dependence and statistical inference on related models
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