期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (2)
We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so-call......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (1)
A new robust stochastic volatility (SV) model having Student-t marginals is proposed. Our process is defined through a linear normal regression model ......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (5-6)
In this article, which consists of two parts (Part I: representation results; Part II: estimation and forecasting methods), we set up the theoretical ......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (5-6)
We give a review of some recent developments in embeddings of time series and dynamic networks. We start out with traditional principal components and......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (2)
We consider the minimax estimation of time series in view of higher-order asymptotic theory. Under the framework of Bayesian inference, we focus on th......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; ()
Granger causality is a classical and important technique for measuring predictability from one group of time series to another by incorporating inform......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (1)
Herein, we propose a novel non-parametric frequency Granger causality test. We apply a filtering process in the time domain to remove possible spuriou......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (1)
Count time series are widely encountered in practice. As with continuous valued data, many count series have seasonal properties. This article uses a ......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (3)
This article proposes a nonparametric predictive regression model. The unknown function modeling the predictive relationship is approximated using pol......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (3)
In Theorem 2.1 which was the main result of the article it was implicitly assumed that for any regular d-dimensional weakly stationary time series {X-......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (4)
The score-driven approach to time series modelling is able to handle circular data and switching regimes with intra-regime dynamics. Furthermore it en......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (4)
We establish the geometric ergodicity for general stochastic functional autoregressive (linear and nonlinear) models with heavy-tailed errors. The sta......
期刊： JOURNAL OF TIME SERIES ANALYSIS, 2023; 44 (5-6)
Estimating functions provide a very general framework for the statistical inference of dynamic models under weak assumptions. We consider a class of t......
