Ian McLeod’s Contribution to Time Series Analysis—A Tribute
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Publication:4976474
DOI10.1007/978-1-4939-6568-7_1zbMath1367.62009OpenAlexW2560651015MaRDI QIDQ4976474
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Publication date: 31 July 2017
Published in: Advances in Time Series Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4939-6568-7_1
dualityasymptotic distributionstime series analysisresidual autocorrelationslong memory modelsBox-Jenkins approachintervention analysis
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Biographies, obituaries, personalia, bibliographies (01A70) History of statistics (62-03)
Uses Software
Cites Work
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- A new hyperbolic GARCH model
- Improved Peňa-Rodriguez portmanteau test
- Faster ARMA maximum likelihood estimation
- Some robust exact results on sample autocorrelations and tests of randomness
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Time series: theory and methods.
- Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
- Generalized autoregressive conditional heteroscedasticity
- Rescaled variance and related tests for long memory in volatility and levels
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
- Pseudo-maximum likelihood estimation of \(\text{ARCH}(\infty)\) models
- Comparison of two modified portmanteau tests for model adequacy
- Improved multivariate portmanteau test
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Portmanteau tests for ARMA models with infinite variance
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
- Generalized portmanteau statistics and tests of randomness
- Testing linearity against smooth transition autoregressive models
- Distribution of the Residual Cross-Correlation in Univariate ARMA Time Series Models
- The Multivariate Portmanteau Statistic
- Fractional differencing
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
- Improved Box-Jenkins Estimators
- On a measure of lack of fit in time series models
- Hyperbolic Decay Time Series
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
- The Inverse Autocorrelations of a Time Series and Their Applications
- Robust residual cross correlation tests for lagged relations in time series
- ON MIXTURE MEMORY GARCH MODELS
- A Duality Between Autoregressive and Moving Average Processes Concerning Their Least Squares Parameter Estimates
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- The Asymptotic Distribution of the Range of Sums of Independent Random Variables
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