Found 20 Documents (Results 1–20)
Goodness-of-fit tests for the multivariate Student-\(t\) distribution based on i.i.d. data, and for GARCH observations. (English) Zbl 07804902
MSC:
62Mxx
Some recent trends in embeddings of time series and dynamic networks. (English) Zbl 07731500
MSC:
62H25
On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models. (English) Zbl 1453.62442
A portmanteau test for smooth transition autoregressive models. (English) Zbl 1453.62524
Reviewer: Denis Sidorov (Irkutsk)
Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models. (English) Zbl 1442.62107
Reviewer: Wiesław Dziubdziela (Miedziana Góra)
Bootstrap inference for GARCH models by the least absolute deviation estimation. (English) Zbl 1455.62185
Reviewer: Mikhail P. Moklyachuk (Kyïv)
On a semiparametric data-driven nonlinear model with penalized spatio-temporal lag interactions. (English) Zbl 1418.62298
Square-root Lasso for high-dimensional sparse linear systems with weakly dependent errors. (English) Zbl 1392.62219
Oracle properties, bias correction, and bootstrap inference for adaptive lasso for time series \(M\)-estimators. (English) Zbl 1392.62212
Significant variable selection and autoregressive order determination for time-series partially linear models. (English) Zbl 1311.62147
A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach. (English) Zbl 1274.62149
Likelihood ratio tests for the structural change of an AR(\(p\)) model to a threshold AR(\(p\)) model. (English) Zbl 1300.62064
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