Search Results

There are 18075 results for: content related to: Local Whittle estimation of multi-variate fractionally integrated processes

  1. Estimating a change point in the long memory parameter

    Journal of Time Series Analysis

    Volume 32, Issue 3, May 2011, Pages: 304–314, Keiko Yamaguchi

    Article first published online : 15 DEC 2010, DOI: 10.1111/j.1467-9892.2010.00700.x

  2. On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter

    Journal of Time Series Analysis

    Volume 28, Issue 2, March 2007, Pages: 155–187, E. Moulines, F. Roueff and M. S. Taqqu

    Article first published online : 29 AUG 2006, DOI: 10.1111/j.1467-9892.2006.00502.x

  3. Statistical tests for a single change in mean against long-range dependence

    Journal of Time Series Analysis

    Volume 33, Issue 1, January 2012, Pages: 131–151, Changryong Baek and Vladas Pipiras

    Article first published online : 30 JUN 2011, DOI: 10.1111/j.1467-9892.2011.00747.x

  4. Mean shift testing in correlated data

    Journal of Time Series Analysis

    Volume 32, Issue 5, September 2011, Pages: 498–511, Michael Robbins, Colin Gallagher, Robert Lund and Alexander Aue

    Article first published online : 24 JAN 2011, DOI: 10.1111/j.1467-9892.2010.00707.x

  5. The averaged periodogram estimator for a power law in coherency

    Journal of Time Series Analysis

    Volume 33, Issue 2, March 2012, Pages: 340–363, Rebecca J. Sela and Clifford M. Hurvich

    Article first published online : 19 JAN 2012, DOI: 10.1111/j.1467-9892.2011.00770.x

  6. Testing non-parametric hypotheses for stationary processes by estimating minimal distances

    Journal of Time Series Analysis

    Volume 32, Issue 5, September 2011, Pages: 447–461, Holger Dette, Tatjana Kinsvater and Mathias Vetter

    Article first published online : 3 DEC 2010, DOI: 10.1111/j.1467-9892.2010.00703.x

  7. Stability conditions for heteroscedastic factor models with conditionally autoregressive betas

    Journal of Time Series Analysis

    Volume 32, Issue 5, September 2011, Pages: 482–497, George A Christodoulakis and Stephen E Satchell

    Article first published online : 10 JAN 2011, DOI: 10.1111/j.1467-9892.2010.00706.x

  8. Robust estimation for the covariance matrix of multi-variate time series

    Journal of Time Series Analysis

    Volume 32, Issue 5, September 2011, Pages: 469–481, Byungsoo Kim and Sangyeol Lee

    Article first published online : 3 DEC 2010, DOI: 10.1111/j.1467-9892.2010.00705.x

  9. A new state–space methodology to disaggregate multivariate time series

    Journal of Time Series Analysis

    Volume 30, Issue 1, January 2009, Pages: 97–124, Víctor Gómez and Félix Aparicio-Pérez

    Article first published online : 28 DEC 2008, DOI: 10.1111/j.1467-9892.2008.00602.x

  10. Statistical challenges in microrheology

    Journal of Time Series Analysis

    Volume 33, Issue 5, September 2012, Pages: 724–743, Gustavo Didier, Scott A. McKinley, David B. Hill and John Fricks

    Article first published online : 22 MAY 2012, DOI: 10.1111/j.1467-9892.2012.00792.x

  11. Autoregressive coefficient estimation in nonparametric analysis

    Journal of Time Series Analysis

    Volume 32, Issue 6, November 2011, Pages: 587–597, Q. Shao and L. J. Yang

    Article first published online : 24 JAN 2011, DOI: 10.1111/j.1467-9892.2010.00708.x

  12. Analysis of accumulated rounding errors in autoregressive processes

    Journal of Time Series Analysis

    Volume 32, Issue 5, September 2011, Pages: 518–530, Weiming Li and Z. D. Bai

    Article first published online : 27 JAN 2011, DOI: 10.1111/j.1467-9892.2010.00710.x

  13. A prediction-residual approach for identifying rare events in periodic time series

    Journal of Time Series Analysis

    Volume 32, Issue 4, July 2011, Pages: 407–419, Zhiyun Gong, Peter Kiessler and Robert Lund

    Article first published online : 18 MAR 2011, DOI: 10.1111/j.1467-9892.2011.00725.x

  14. Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors

    Journal of Time Series Analysis

    Volume 33, Issue 6, November 2012, Pages: 863–872, Naoya Katayama

    Article first published online : 10 MAY 2012, DOI: 10.1111/j.1467-9892.2012.00799.x

  15. The restricted likelihood ratio test for autoregressive processes

    Journal of Time Series Analysis

    Volume 33, Issue 2, March 2012, Pages: 325–339, Willa W. Chen and Rohit S. Deo

    Article first published online : 29 NOV 2011, DOI: 10.1111/j.1467-9892.2011.00769.x

  16. A simple test of changes in mean in the possible presence of long-range dependence

    Journal of Time Series Analysis

    Volume 32, Issue 6, November 2011, Pages: 598–606, Xiaofeng Shao

    Article first published online : 1 FEB 2011, DOI: 10.1111/j.1467-9892.2010.00717.x

  17. Weak convergence to a modified fractional Brownian motion

    Journal of Time Series Analysis

    Volume 33, Issue 3, May 2012, Pages: 519–529, Javier Hualde

    Article first published online : 13 MAR 2012, DOI: 10.1111/j.1467-9892.2012.00786.x

  18. Forecasting linear dynamical systems using subspace methods

    Journal of Time Series Analysis

    Volume 32, Issue 5, September 2011, Pages: 462–468, Alfredo García-Hiernaux

    Article first published online : 3 DEC 2010, DOI: 10.1111/j.1467-9892.2010.00704.x

  19. Changepoints in times series of counts

    Journal of Time Series Analysis

    Volume 33, Issue 5, September 2012, Pages: 757–770, Jürgen Franke, Claudia Kirch and Joseph Tadjuidje Kamgaing

    Article first published online : 16 MAR 2012, DOI: 10.1111/j.1467-9892.2011.00778.x

  20. Measuring nonlinear dependence in time-series, a distance correlation approach

    Journal of Time Series Analysis

    Volume 33, Issue 3, May 2012, Pages: 438–457, Zhou Zhou

    Article first published online : 13 MAR 2012, DOI: 10.1111/j.1467-9892.2011.00780.x