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White noise testing using wavelets Early View

  • Journal: Stat
  • Authors: Guy P. Nason, Delyan Savchev
  • Published Date: Dec 04, 2014

Testing whether a time series is consistent with white noise is an important task within time series analysis and for model fitting and criticism via residual diagnostics. We introduce...

Correcting for non‐ignorable missingness in smoking trends Early View

  • Journal: Stat
  • Authors: Juho Kopra, Tommi Härkänen, Hanna Tolonen, Juha Karvanen
  • Published Date: Jan 29, 2015

Data missing not at random (MNAR) are a major challenge in survey sampling. We propose an approach based on registry data to deal with non‐ignorable missingness in health examination...

THE DEPENDENT RANDOM WEIGHTING Early View

  • Journal: Journal of Time Series Analysis
  • Authors: Srijan Sengupta, Xiaofeng Shao, Yingchuan Wang
  • Published Date: Nov 28, 2014

We propose a new resampling method, the dependent random weighting, for both time series and random fields. The method is a generalization of the traditional random weighting in that the...

BOOTSTRAP SEQUENTIAL TESTS TO DETERMINE THE ORDER OF INTEGRATION OF INDIVIDUAL UNITS IN A TIME SERIES PANEL Early View

  • Journal: Journal of Time Series Analysis
  • Authors: Stephan Smeekes
  • Published Date: Nov 28, 2014

We propose an approach to investigate the unit root properties of individual units in a time series panel or large multivariate time series, based on testing user‐defined increasing...

VINE COPULA SPECIFICATIONS FOR STATIONARY MULTIVARIATE MARKOV CHAINS Early View

  • Journal: Journal of Time Series Analysis
  • Authors: Brendan K. Beare, Juwon Seo
  • Published Date: Nov 28, 2014

Vine copulae provide a graphical framework in which multiple bivariate copulae may be combined in a consistent fashion to yield a more complex multivariate copula. In this article, we...

ASYMPTOTICS FOR THE CONDITIONAL‐SUM‐OF‐SQUARES ESTIMATOR IN MULTIVARIATE FRACTIONAL TIME‐SERIES MODELS Early View

  • Journal: Journal of Time Series Analysis
  • Authors: Morten Ørregaard Nielsen
  • Published Date: Nov 28, 2014

This article proves consistency and asymptotic normality for the conditional‐sum‐of‐squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate...

TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES Early View

  • Journal: Journal of Time Series Analysis
  • Authors: Lajos Horváth, Gregory Rice
  • Published Date: Dec 01, 2014

There are numerous examples of functional data in areas ranging from earth science to finance where the problem of interest is to compare several functional populations. In many instances,...

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