Time Series

DOI10.1137/1.9780898719246zbMath0983.62056OpenAlexW4256217162MaRDI QIDQ5890368

Publication date: 29 October 2001

Full work available at URL: https://doi.org/10.1137/1.9780898719246

Fourier transforms frequency analysis principal components canonical analysis deterministic series estimation of power spectra linear time-invariant relations spectra of vector-valued series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Collected or selected works; reprintings or translations of classics (01A75)

Related Items

Principal component analysis and optimal portfolio, Modelling cycles in climate series: the fractional sinusoidal waveform process, Inverse covariance operators of multivariate nonstationary time series, Goodness-of-fit tests for Markov Switching VAR models using spectral analysis, A white noise test under weak conditions, A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous, Optimal design of Fourier estimator in the presence of microstructure noise, Principal component analysis using frequency components of multivariate time series, Spatiotemporal covariance functions for Laplacian ARMA fields in higher dimensions, On the relationship between the theory of cointegration and the theory of phase synchronization, Automatic estimation of spatial spectra via smoothing splines, Sieve-based inference for infinite-variance linear processes, Asymptotic distribution of least squares estimators for linear models with dependent errors: regular designs, Smooth backfitting in additive inverse regression, Operational and Banach space-valued random measures. Application to stationary series, On multivariate nonlinear regression models with stationary correlated errors, Spatial regression with non-parametric modeling of Fourier coefficients, Periodogram analysis with missing observations, The Exact and Near-Exact Distributions for the Statistic Used to Test the Reality of Covariance Matrix in a Complex Normal Distribution, Time series analysis of categorical data using auto-mutual information, Spectra of bivariate \(\mathrm{VAR}(p)\) models, Analysis of variance for high-dimensional time series, Identification of DSGE models -- the effect of higher-order approximation and pruning, Fourier analysis of stationary time series in function space, Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure, On the asymptotic behavior of the eigenvalue distribution of block correlation matrices of high-dimensional time series, Relation between unit operators proximity and their associated spectral measures, Asymptotic confidence interval of power spectrum of a continuous time process through progressively faster sampling, An empirical likelihood approach for symmetric \(\alpha\)-stable processes, A resampling method for regression models with serially correlated errors, Angular spectra for non-Gaussian isotropic fields, Statistical inference for quantiles in the frequency domain, Spectral statistics of large dimensional Spearman's rank correlation matrix and its application, A negative binomial thinning‐based bivariate INAR(1) process, Spectral Density Estimation for Nonstationary Data With Nonzero Mean Function, Tests for comparing time‐invariant and time‐varying spectra based on the Anderson–Darling statistic, Spectral measure of empirical autocovariance matrices of high-dimensional Gaussian stationary processes, A copula spectral test for pairwise time reversibility, A new non‐parametric cross‐spectrum estimator, Factor models for high‐dimensional functional time series II: Estimation and forecasting, A regularised estimator for long-range dependent processes, Inferential theory for generalized dynamic factor models, An Algebraic Estimator for Large Spectral Density Matrices, Spectrum inference for replicated spatial locally time-harmonizable time series, Higher‐Order Accurate Spectral Density Estimation of Functional Time Series, On the asymptotic normality of kernel estimators of the long run covariance of functional time series, Bias of anticipated non-parametric closed-loop frequency response for controller gain re-tuning, Factor modeling of multivariate time series: a frequency components approach, Graphical models for nonstationary time series, Replicated INAR(1) processes, On the Frequency Variogram and on Frequency Domain Methods for the Analysis of Spatio-Temporal Data, Selected statistical methods of data analysis for multivariate functional data, Canonical correlation analysis between time series and static outcomes, with application to the spectral analysis of heart rate variability, The generalized shrinkage estimator for the analysis of functional connectivity of brain signals, Additive inverse regression models with convolution-type operators, Hypothesis testing for high-dimensional time series via self-normalization, Cramér-Karhunen-Loève representation and harmonic principal component analysis of functional time series, Denoising methods for thermomechanical decomposition for quasi-equilibrium molecular dynamics simulations, Asymptotic theory of cepstral random fields, Data-driven shrinkage of the spectral density matrix of a high-dimensional time series, UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS, A class of observation-driven random coefficient INAR(1) processes based on negative binomial thinning, Robust tests for time series comparison based on Laplace periodograms, A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics, Shrinkage estimation for multivariate time series, The relationship between coherence and the phase-locking value, Bayesian multiscale feature detection of log-spectral densities, Application of continuous wavelet transform in examining soil spatial variation: a review, A FREQUENCY DOMAIN APPROACH FOR THE ESTIMATION OF PARAMETERS OF SPATIO‐TEMPORAL STATIONARY RANDOM PROCESSES, Quadratic system identification: a statistical framework for the paired-pulse paradigm, On the theory of continuous time series, On the equivalence of time and frequency domain maximum likelihood estimation, Approximation of Strictly Stationary Banach-Valued Random Sequence by Fourier Integral, Saddlepoint approximations for short and long memory time series: a frequency domain approach, Geometric and long run aspects of Granger causality, Probabilistic Formulation of Independent Vector Analysis Using Complex Gaussian Scale Mixtures, Residual‐based block bootstrap unit root testing in the presence of trend breaks, Decomposition of the multi-dimensional time series identification problem, Feedback in a predictive model of a reactive distillation process, Wavelet denoising techniques with applications to experimental geophysical data, Control variate method for stationary processes, Editorial: Introduction to quantum probability theory and its economic applications, Extreme Spectra of Var Models and Orders of Near‐Cointegration, Discriminant Analysis of Time Series in the Presence of Within-Group Spectral Variability, Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain, Evaluating model misspecification in independent component analysis, Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals, Spectral PCA for MANOVA and data over binary trees, Principal Component Analysis of High-Frequency Data, Unnamed Item, On proximity between PCA in the frequency domain and usual PCA, A method of estimating the partial power spectrum of a bivariate point process and an application to a neurophysiological data set, Principal components analysis and cyclostationarity, Spectral analysis of high-dimensional time series, The Dependence of Spike Field Coherence on Expected Intensity, Moment bounds for large autocovariance matrices under dependence, A moment-based notion of time dependence for functional time series, Centered and non-centered principal component analyses in the frequency domain, On the integral with respect to the tensor product of two random measures, A nonparametric efficient evaluation of partial directed coherence, Relic neutrino detection through angular correlations in inverse β-decay, The exact and near-exact distributions of the main likelihood ratio test statistics used in the complex multivariate normal setting