Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics
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Published By Institute Of Mathematical Statistics

9780940600683, 0940600684

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Estimation of AR and ARMA models by stochastic complexity

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics ◽

10.1214/074921706000000941 ◽

2006 ◽

pp. 48-59 ◽

Cited By ~ 7

Author(s):

Ciprian Doru Giurčaneanu ◽

Jorma Rissanen

Keyword(s):

Arma Models ◽

Stochastic Complexity

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Poisson process approximation: From Palm theory to Stein’s method

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics ◽

10.1214/074921706000001076 ◽

2006 ◽

pp. 236-244 ◽

Cited By ~ 1

Author(s):

Louis H. Y. Chen ◽

Aihua Xia

Keyword(s):

Poisson Process ◽

Stein’S Method ◽

Stein's Method ◽

Process Approximation

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Combining domain knowledge and statistical models in time series analysis

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics ◽

10.1214/074921706000001049 ◽

2006 ◽

pp. 193-209 ◽

Cited By ~ 2

Author(s):

Tze Leung Lai ◽

Samuel Po-Shing Wong

Keyword(s):

Time Series ◽

Time Series Analysis ◽

Statistical Models ◽

Domain Knowledge ◽

Series Analysis

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A note on the estimation of extreme value distributions using maximum product of spacings

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics ◽

10.1214/074921706000001102 ◽

2006 ◽

pp. 272-283 ◽

Cited By ~ 11

Author(s):

T. S. T. Wong ◽

W. K. Li

Keyword(s):

Extreme Value ◽

Extreme Value Distributions

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Pile-up probabilities for the Laplace likelihood estimator of a non-invertible first order moving average

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics ◽

10.1214/074921706000000923 ◽

2006 ◽

pp. 1-19 ◽

Cited By ~ 1

Author(s):

F. Jay Breidt ◽

Richard A. Davis ◽

Nan-Jung Hsu ◽

Murray Rosenblatt

Keyword(s):

Moving Average ◽

Likelihood Estimator ◽

First Order ◽

Pile Up

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The distribution of model averaging estimators and an impossibility result regarding its estimation

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics ◽

10.1214/074921706000000987 ◽

2006 ◽

pp. 113-129 ◽

Cited By ~ 17

Author(s):

Benedikt M. Pötscher

Keyword(s):

Model Averaging ◽

Impossibility Result

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Estimation errors of the Sharpe ratio for long-memory stochastic volatility models

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics ◽

10.1214/074921706000001021 ◽

2006 ◽

pp. 165-172 ◽

Cited By ~ 1

Author(s):

Hwai-Chung Ho

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Sharpe Ratio ◽

Stochastic Volatility Models ◽

Estimation Errors ◽

Volatility Models

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Modeling macroeconomic time series via heavy tailed distributions

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics ◽

10.1214/074921706000001003 ◽

2006 ◽

pp. 138-148 ◽

Cited By ~ 1

Author(s):

J. A. D. Aston

Keyword(s):

Time Series ◽

Heavy Tailed Distributions ◽

Macroeconomic Time Series ◽

Heavy Tailed

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Fractional constant elasticity of variance model

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics ◽

10.1214/074921706000001012 ◽

2006 ◽

pp. 149-164 ◽

Cited By ~ 1

Author(s):

Ngai Hang Chan ◽

Chi Tim Ng

Keyword(s):

Variance Model ◽

Constant Elasticity ◽

Constant Elasticity Of Variance

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Some results on the Gittins index for a normal reward process

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics ◽

10.1214/074921706000001111 ◽

2006 ◽

pp. 284-294 ◽

Cited By ~ 9

Author(s):

Yi-Ching Yao

Keyword(s):

Gittins Index ◽

Reward Process

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Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related TopicsLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Institute Of Mathematical Statistics

Estimation of AR and ARMA models by stochastic complexity

Poisson process approximation: From Palm theory to Stein’s method

Combining domain knowledge and statistical models in time series analysis

A note on the estimation of extreme value distributions using maximum product of spacings

Pile-up probabilities for the Laplace likelihood estimator of a non-invertible first order moving average

The distribution of model averaging estimators and an impossibility result regarding its estimation

Estimation errors of the Sharpe ratio for long-memory stochastic volatility models

Modeling macroeconomic time series via heavy tailed distributions

Fractional constant elasticity of variance model

Some results on the Gittins index for a normal reward process

Institute of Mathematical Statistics Lecture Notes - Monograph Series - Time Series and Related Topics
Latest Publications