Contains data sets and scripts for analyzing time series in both the frequency and time domains including state space modeling as well as supporting the texts Time Series Analysis and Its Applications: With R Examples (5th ed coming), by R.H. Shumway and D.S. Stoffer. Springer Texts in Statistics, 2017, <doi:10.1007/978-3-319-52452-8>, and Time Series: A Data Analysis Approach Using R. Chapman-Hall, 2019, <doi:10.1201/9780429273285>.
Cited in
(only showing first 100 items - show all)- A smooth block bootstrap for quantile regression with time series
- Approximation of the principal components analysis of a stationary function
- Book Reviews
- Missing observation analysis for matrix-variate time series data
- Analyzing spatial ecological data using linear regression and wavelet analysis
- A structural model with interventions for New Zealand sawn timber production
- Correlations between insurance lines of business: an illusion or a real phenomenon? Some methodological considerations
- The locally linear Cairns-Blake-Dowd model: a note on delta-nuga hedging of longevity risk
- Robust identification of harmonic oscillator parameters using the adjoint Fokker-Planck equation
- Multidimensional scaling analysis of financial stocks based on Kronecker-delta dissimilarity
- Multivariate spatio-temporal models for high-dimensional areal data with application to longitudinal employer-household dynamics
- A new Levinson-Durbin based 2-D AR model parameter estimation method
- The exact and near-exact distributions of the main likelihood ratio test statistics used in the complex multivariate normal setting
- Empirical study of robust estimation methods for PAR models with application to the air quality area
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- Estimation of a nonparametric regression spectrum for multivariate time series
- Learning mixture models via component-wise parameter smoothing
- Regression theory for categorical time series
- Grouped spatial autoregressive model
- A Bayesian approach for data-driven dynamic equation discovery
- Annular swirling liquid layer with a hollow core
- A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network
- Embedding and learning with signatures
- SAZED: parameter-free domain-agnostic season length estimation in time series data
- Spatio-temporal modeling of global ozone data using convolution
- Sequential detection framework for real-time biosurveillance based on Shiryaev-Roberts procedure with illustrations using COVID-19 incidence data
- Identifying ecosystem patterns from time series of anchovy (Engraulis ringens) and sardine (Sardinops sagax) landings in northern Chile
- Robust interval forecasting algorithm based on a probabilistic cluster model
- Understanding the Ensemble Kalman Filter
- Asymptotic scaling laws for precision of parameter estimates in dynamical systems
- Coherence-based time series clustering for statistical inference and visualization of brain connectivity
- Multivariate versions of Bartlett's formula
- Finite-sample properties of estimators for first and second order autoregressive processes
- Robust statistical arbitrage strategies
- Combining multiple time series predictors: A useful inferential procedure
- Analysis of single particle diffusion with transient binding using particle filtering
- Crawling subsampling for multivariate spatial autoregression model in large-scale networks
- Trend and fractality assessment of Mexico's stock exchange
- The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
- Application of continuous wavelet transform in examining soil spatial variation: a review
- Note on optimization of individual psychotherapeutic processes
- Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach
- Discrete scaling and criticality in a chain of adaptive excitable integrators
- Statistical and probabilistic analysis of interarrival and waiting times of Internet2 anomalies
- Robust functional supervised classification for time series
- Decomposition algorithm for large-scale two-stage unit-commitment
- Ensemble Kalman methods for high-dimensional hierarchical dynamic space-time models
- On the integral with respect to the tensor product of two random measures
- Model selection for time series with nonlinear trend
- Real-time stylistic prediction for whole-body human motions
- Point process models for novelty detection on spatial point patterns and their extremes
- On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models
- Dependent functional data
- Application of shrinkage estimation in linear regression models with autoregressive errors
- Spectral decompositions of multiple time series: a Bayesian non-parametric approach
- Discrete minimax designs for regression models with autocorrelated MA errors
- Quantitative analysis of directional strengths in jointly stationary linear multivariate processes
- Forecasting of global market prices of major financial instruments
- A new correlation for bivariate time series with a higher order of integration
- Bayesian inference in nonparametric dynamic state-space models
- Sequential non-stationary dynamic classification with sparse feedback
- Model-based maximum covariance analysis for irregularly observed climatological data
- Generalized autoregressive and moving average models: multicollinearity, interpretation and a new modified model
- Parameter-driven state-space model for integer-valued time series with application
- Quasi-maximum likelihood estimation of GARCH models in the presence of missing values
- Time series analysis and its applications. With R examples
- A numerically efficient implementation of the expectation maximization algorithm for state space models
- Approximate state space modelling of unobserved fractional components
- Use of wavelets techniques to discriminate between explosions and natural earthquakes
- Analysis of the Lehman Brothers collapse and the flash crash event by applying wavelets methodologies
- Local linear estimation for spatial random processes with stochastic trend and stationary noise
- A nonstationary nonparametric Bayesian approach to dynamically modeling effective connectivity in functional magnetic resonance imaging experiments
- A tutorial on variational Bayes for latent linear stochastic time-series models
- Computational techniques for spatial logistic regression with large data sets
- Book review of: R. H. Shumway and D. S. Stoffer, Time series analysis and its applications. With R examples. 2nd ed.
- Constrained energy variation for change point detection
- Time-varying cointegration model using wavelets
- Adaptive spectral estimation for nonstationary multivariate time series
- Minding the gap: Central bank estimates of the unemployment natural rate
- Classification and similarity analysis of fundamental frequency patterns in infant spoken language acquisition
- The kriged Kalman filter. (With discussion)
- Periodic dynamic factor models: estimation approaches and applications
- Modelling and forecasting mortality in Spain
- Updating Wilkie’s Economic Scenario Generator for U.S. Applications
- Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters
- Spontaneous similarity discrimination in the evolution of cooperation
- State space Markov switching models using wavelets
- Modeling dependence via copula of functionals of Fourier coefficients
- Location and scale-based CUSUM test with application to autoregressive models
- A state-space approach to time-varying reduced-rank regression
- A non-parametric model for fuzzy forecasting time series data
- Online prediction of Berlin single-family house prices
- K-sign depth: from asymptotics to efficient implementation
- On the reaction time of moving sum detectors
- Reaction times of monitoring schemes for ARMA time series
- Exit dynamics of start-up firms: structural estimation using indirect inference
- Downstream demand inference in decentralized supply chains
- Testing a linear dynamic panel data model against nonlinear alternatives
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