Ian McLeod’s Contribution to Time Series Analysis—A Tribute

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

zbMATH Keywords

dualityasymptotic distributionstime series analysisresidual autocorrelationslong memory modelsBox-Jenkins approachintervention analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Biographies, obituaries, personalia, bibliographies (01A70) History of statistics (62-03)

Uses Software

• TSA

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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