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Lajos Horvath

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This is information that was supplied by Lajos Horvath in registering through RePEc. If you are Lajos Horvath , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Lajos
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Last Name: Horvath
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RePEc Short-ID: pho286

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Affiliation

University of Utah (Department of Mathematics)
Homepage: http://www.math.utah.edu
Location: USA, Salt Lake City UT

Works

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Working papers

  1. Alexander Aue & Lajos Horváth & Clifford Hurvich & Philippe Soulier, 2014. "Limit Laws in Transaction-Level Asset Price Models," Post-Print hal-00583372, HAL.
  2. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2014. "Variance targeting estimation of multivariate GARCH models," MPRA Paper 57794, University Library of Munich, Germany.
  3. Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN, 2009. "Sup-Tests for Linearity in a General Nonlinear AR(1) Model," Working Papers 2009-16, Centre de Recherche en Economie et Statistique.
  4. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2009. "Merits and drawbacks of variance targeting in GARCH models," MPRA Paper 15143, University Library of Munich, Germany.
  5. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2008. "Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space," MPRA Paper 16669, University Library of Munich, Germany.
  6. HORVATH, Lajos & KOKOSZKA, Piotr & TEYSSIÈRE , Gilles, 2003. "Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals," CORE Discussion Papers 2003009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Horvath, L. & Kokoszka, P. & Teyssiere, G., 1999. "Empirical Process of the Squared Residuals of an ARCH Sequence," G.R.E.Q.A.M. 99a44, Universite Aix-Marseille III.

Articles

  1. Fremdt, Stefan & Horváth, Lajos & Kokoszka, Piotr & Steinebach, Josef G., 2014. "Functional data analysis with increasing number of projections," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 313-332.
  2. Aue, Alexander & Horváth, Lajos & Hurvich, Clifford & Soulier, Philippe, 2014. "Limit Laws In Transaction-Level Asset Price Models," Econometric Theory, Cambridge University Press, vol. 30(03), pages 536-579, June.
  3. Bazarova, Alina & Berkes, István & Horváth, Lajos, 2014. "On the central limit theorem for modulus trimmed sums," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 61-67.
  4. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(2), pages 219-255, June.
  5. Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory, 2014. "Testing stationarity of functional time series," Journal of Econometrics, Elsevier, vol. 179(1), pages 66-82.
  6. Lajos Horváth & Gregory Rice, 2014. "Rejoinder on: Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(2), pages 287-290, June.
  7. Stefan Fremdt & Josef G. Steinebach & Lajos Horváth & Piotr Kokoszka, 2013. "Testing the Equality of Covariance Operators in Functional Samples," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(1), pages 138-152, 03.
  8. Lajos Horváth & Piotr Kokoszka & Ron Reeder, 2013. "Estimation of the mean of functional time series and a two-sample problem," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(1), pages 103-122, 01.
  9. Berkes, István & Horváth, Lajos & Rice, Gregory, 2013. "Weak invariance principles for sums of dependent random functions," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 385-403.
  10. Horváth, Lajos & Hušková, Marie & Rice, Gregory, 2013. "Test of independence for functional data," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 100-119.
  11. Batsidis, A. & Horváth, L. & Martín, N. & Pardo, L. & Zografos, K., 2013. "Change-point detection in multinomial data using phi-divergence test statistics," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 53-66.
  12. Hörmann, Siegfried & Horváth, Lajos & Reeder, Ron, 2013. "A Functional Version Of The Arch Model," Econometric Theory, Cambridge University Press, vol. 29(02), pages 267-288, April.
  13. Alexander Aue & Lajos Horváth, 2013. "Structural breaks in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 1-16, 01.
  14. Lajos Horváth & Marie Hušková, 2012. "Change-point detection in panel data," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(4), pages 631-648, 07.
  15. Aue, Alexander & Horváth, Lajos & Hušková, Marie, 2012. "Segmenting mean-nonstationary time series via trending regressions," Journal of Econometrics, Elsevier, vol. 168(2), pages 367-381.
  16. Berkes, István & Horváth, Lajos, 2012. "The central limit theorem for sums of trimmed variables with heavy tails," Stochastic Processes and their Applications, Elsevier, vol. 122(2), pages 449-465.
  17. Aue, Alexander & Hörmann, Siegfried & Horváth, Lajos & Hušková, Marie & Steinebach, Josef G., 2012. "Sequential Testing For The Stability Of High-Frequency Portfolio Betas," Econometric Theory, Cambridge University Press, vol. 28(04), pages 804-837, August.
  18. Christian Francq & Lajos Horváth, 2011. "Merits and Drawbacks of Variance Targeting in GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(4), pages 619-656.
  19. István Berkes & Lajos Horváth & Shiqing Ling & Johannes Schauer, 2011. "Testing for structural change of AR model to threshold AR model," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(5), pages 547-565, 09.
  20. Francq, Christian & Horvath, Lajos & Zakoïan, Jean-Michel, 2010. "Sup-Tests For Linearity In A General Nonlinear Ar(1) Model," Econometric Theory, Cambridge University Press, vol. 26(04), pages 965-993, August.
  21. Horváth, Lajos & Husková, Marie & Kokoszka, Piotr, 2010. "Testing the stability of the functional autoregressive process," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 352-367, February.
  22. István Berkes & Lajos Horváth & Shiqing Ling, 2009. "Estimation in nonstationary random coefficient autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 395-416, 07.
  23. István Berkes & Robertas Gabrys & Lajos Horváth & Piotr Kokoszka, 2009. "Detecting changes in the mean of functional observations," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(5), pages 927-946.
  24. Aue, Alexander & Horváth, Lajos & Hušková, Marie & Ling, Shiqing, 2009. "On Distinguishing Between Random Walk And Change In The Mean Alternatives," Econometric Theory, Cambridge University Press, vol. 25(02), pages 411-441, April.
  25. Aue, Alexander & Gabrys, Robertas & Horváth, Lajos & Kokoszka, Piotr, 2009. "Estimation of a change-point in the mean function of functional data," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2254-2269, November.
  26. Lajos Horváth & Remigijus Leipus, 2009. "Effect of aggregation on estimators in AR(1) sequence," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 18(3), pages 546-567, November.
  27. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.
  28. Horváth, Lajos & Horváth, Zsuzsanna & Zhou, Wang, 2008. "Asymptotic Properties Of Nonparametric Frontier Estimators," Econometric Theory, Cambridge University Press, vol. 24(06), pages 1607-1627, December.
  29. Alexander Aue & Lajos Horváth & Piotr Kokoszka & Josef Steinebach, 2008. "Monitoring shifts in mean: Asymptotic normality of stopping times," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(3), pages 515-530, November.
  30. Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
  31. Aue, Alexander & Horváth, Lajos & Steinebach, Josef, 2007. "Rescaled range analysis in the presence of stochastic trend," Statistics & Probability Letters, Elsevier, vol. 77(12), pages 1165-1175, July.
  32. Horváth, Lajos & Shao, Qi-Man, 2007. "Limit theorems for permutations of empirical processes with applications to change point analysis," Stochastic Processes and their Applications, Elsevier, vol. 117(12), pages 1870-1888, December.
  33. Horváth, Lajos & Kokoszka, Piotr & Steinebach, Josef, 2007. "On sequential detection of parameter changes in linear regression," Statistics & Probability Letters, Elsevier, vol. 77(9), pages 885-895, May.
  34. Horvath, Lajos & Kokoszka, Piotr & Zitikis, Ricardas, 2006. "Testing for stochastic dominance using the weighted McFadden-type statistic," Journal of Econometrics, Elsevier, vol. 133(1), pages 191-205, July.
  35. Lajos Horváth & Piotr Kokoszka & Ricardas Zitikis, 2006. "Sample and Implied Volatility in GARCH Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 617-635.
  36. Alexander Aue & Lajos Horváth & Josef Steinebach, 2006. "Estimation in Random Coefficient Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 61-76, 01.
  37. Berkes, Istvan & Horváth, Lajos & Kokoszka, Piotr, 2004. "Testing for parameter constancy in GARCH(p,q) models," Statistics & Probability Letters, Elsevier, vol. 70(4), pages 263-273, December.
  38. Aue, Alexander & Horváth, Lajos, 2004. "Delay time in sequential detection of change," Statistics & Probability Letters, Elsevier, vol. 67(3), pages 221-231, April.
  39. Berkes, István & Horváth, Lajos, 2003. "The rate of consistency of the quasi-maximum likelihood estimator," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 133-143, January.
  40. Berkes, István & Horváth, Lajos, 2003. "Limit results for the empirical process of squared residuals in GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 105(2), pages 271-298, June.
  41. Horváth, Lajos & Kokoszka, Piotr, 2003. "A bootstrap approximation to a unit root test statistic for heavy-tailed observations," Statistics & Probability Letters, Elsevier, vol. 62(2), pages 163-173, April.
  42. Horváth, Lajos & Zitikis, Ricardas, 2003. "Asymptotics of the Lp-norms of density estimators in the first-order autoregressive models," Statistics & Probability Letters, Elsevier, vol. 65(4), pages 331-342, December.
  43. Clark, Jim & Horváth, Lajos & Lewis, Mark, 2001. "On the estimation of spread rate for a biological population," Statistics & Probability Letters, Elsevier, vol. 51(3), pages 225-234, February.
  44. Berkes, István & Horváth, Lajos, 2001. "The logarithmic average of sample extremes is asymptotically normal," Stochastic Processes and their Applications, Elsevier, vol. 91(1), pages 77-98, January.
  45. Irina Grabovsky & Lajos Horváth, 2001. "Change-Point Detection in Angular Data," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(3), pages 552-566, September.
  46. Horváth, Lajos, 2001. "Change-Point Detection in Long-Memory Processes," Journal of Multivariate Analysis, Elsevier, vol. 78(2), pages 218-234, August.
  47. Horváth, Lajos & Kokoszka, Piotr & Steinebach, Josef, 2000. "Approximations for weighted bootstrap processes with an application," Statistics & Probability Letters, Elsevier, vol. 48(1), pages 59-70, May.
  48. Horváth, Lajos & Steinebach, Josef, 1999. "On the best approximation for bootstrapped empirical processes," Statistics & Probability Letters, Elsevier, vol. 41(2), pages 117-122, January.
  49. Horváth, Lajos & Kokoszka, Piotr & Steinebach, Josef, 1999. "Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes," Journal of Multivariate Analysis, Elsevier, vol. 68(1), pages 96-119, January.
  50. Eastwood, Vera R. & Horváth, Lajos, 1999. "Limit theorems for short distances in," Statistics & Probability Letters, Elsevier, vol. 45(3), pages 261-268, November.
  51. Berkes, István & Horváth, Lajos & Khoshnevisan, Davar, 1998. "Logarithmic averages of stable random variables are asymptotically normal," Stochastic Processes and their Applications, Elsevier, vol. 77(1), pages 35-51, September.
  52. Berkes, István & Csáki, Endre & Horváth, Lajos, 1998. "Almost sure central limit theorems under minimal conditions," Statistics & Probability Letters, Elsevier, vol. 37(1), pages 67-76, January.
  53. Aboabboud, M.M. & Horvath, L. & Szépvölgy, J. & Mink, G. & Radhika, E. & Kudish, A.I., 1997. "The use of a thermal energy recycle unit in conjunction with a basin-type solar still for enhanced productivity," Energy, Elsevier, vol. 22(1), pages 83-91.
  54. Lajos Horváth, 1997. "Detection of Changes in Linear Sequences," Annals of the Institute of Statistical Mathematics, Springer, vol. 49(2), pages 271-283, June.
  55. Csörgő Miklós & Horváth Lajos & Szyszkowicz Barbara, 1997. "Integral Tests For Suprema Of Kiefer Processes With Application," Statistics & Risk Modeling, De Gruyter, vol. 15(4), pages 365-378, April.
  56. Aboabboud, M.M. & Horvath, L. & Mink, G. & Yasin, M. & Kudish, A.I., 1996. "An energy saving atmospheric evaporator utilizing low grade thermal or waste energy," Energy, Elsevier, vol. 21(12), pages 1107-1117.
  57. Gombay Edit & Horváth Lajos & Husková Marie, 1996. "Estimators And Tests For Change In Variances," Statistics & Risk Modeling, De Gruyter, vol. 14(2), pages 145-160, February.
  58. Horvàth, Lajos & Shao, Qi-Man, 1996. "Darling-Erdos-type theorems for sums of Gaussian variables with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 63(1), pages 117-137, October.
  59. Csörgo, Miklós & Horváth, Lajos, 1996. "A note on the change-point problem for angular data," Statistics & Probability Letters, Elsevier, vol. 27(1), pages 61-65, March.
  60. Gombay, Edit & Horváth, Lajos, 1996. "On the Rate of Approximations for Maximum Likelihood Tests in Change-Point Models," Journal of Multivariate Analysis, Elsevier, vol. 56(1), pages 120-152, January.
  61. Berkes, István & Horváth, Lajos, 1996. "Between local and global logarithmic averages," Statistics & Probability Letters, Elsevier, vol. 30(4), pages 369-378, November.
  62. Horvath, Lajos & Khoshnevisan, Davar, 1995. "Weight functions and pathwise local central limit theorems," Stochastic Processes and their Applications, Elsevier, vol. 59(1), pages 105-123, September.
  63. Gombay, Edit & Horváth, Lajos, 1994. "An application of the maximum likelihood test to the change-point problem," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 161-171, March.
  64. Horváth, Lajos & Shao, Qi-Man, 1994. "A note on dichotomy theorems for integrals of stable processes," Statistics & Probability Letters, Elsevier, vol. 19(1), pages 45-49, January.
  65. Gombay, Edit & Horváth, Lajos, 1994. "Limit theorems for change in linear regression," Journal of Multivariate Analysis, Elsevier, vol. 48(1), pages 43-69, January.
  66. Horváth, Lajos, 1993. "Change in autoregressive processes," Stochastic Processes and their Applications, Elsevier, vol. 44(2), pages 221-242, February.
  67. Csörgo, Miklós & Horváth, Lajos & Shao, Qi-Man, 1993. "Convergence of integrals of uniform empirical and quantile processes," Stochastic Processes and their Applications, Elsevier, vol. 45(2), pages 283-294, April.
  68. Gombay, Edit & Horváth, Lajos, 1992. "A goodness-of-fit test for exponential families," Statistics & Probability Letters, Elsevier, vol. 15(3), pages 235-239, October.
  69. Csörgo, Miklós & Horváth, Lajos, 1992. "Rényi-type empirical processes," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 338-358, May.
  70. Horváth, Lajos, 1991. "Short distances on the line," Stochastic Processes and their Applications, Elsevier, vol. 39(1), pages 65-80, October.
  71. Horváth, Lajos, 1991. "On the asymptotic distributions of weighted uniform multivariate empirical processes," Journal of Multivariate Analysis, Elsevier, vol. 36(1), pages 127-143, January.
  72. Horváth, Lajos, 1991. "Rate of convergence in limit theorems for Brownian excursions," Stochastic Processes and their Applications, Elsevier, vol. 39(1), pages 55-64, October.
  73. Horváth Lajos & Johnson Richard A., 1991. "Tests Of Fit For Composite Hypotheses With Censored Data," Statistics & Risk Modeling, De Gruyter, vol. 9(1-2), pages 21-44, February.
  74. Chang-Jo Chung & Miklós Csörgő & Lajos Horváth, 1990. "Confidence bands for quantile function under random censorship," Annals of the Institute of Statistical Mathematics, Springer, vol. 42(1), pages 21-36, March.
  75. Csörgo, Miklós & Horváth, Lajos, 1989. "On best possible approximations of local time," Statistics & Probability Letters, Elsevier, vol. 8(4), pages 301-306, September.
  76. Horváth, Lajos, 1989. "The limit distributions of likelihood ratio and cumulative sum tests for a change in a binomial probability," Journal of Multivariate Analysis, Elsevier, vol. 31(1), pages 148-159, October.
  77. Csörgo, Miklós & Horváth, Lajos, 1988. "Invariance principles for changepoint problems," Journal of Multivariate Analysis, Elsevier, vol. 27(1), pages 151-168, October.
  78. Horváth, Lajos & Yandell, Brian S., 1988. "Asymptotics of conditional empirical processes," Journal of Multivariate Analysis, Elsevier, vol. 26(2), pages 184-206, August.
  79. Csorgo, Miklos & Horvath, Lajos, 1988. "Asymptotics for Lp-norms of kernel estimators of densities," Computational Statistics & Data Analysis, Elsevier, vol. 6(3), pages 241-250, April.
  80. Csőrgo M. & Horváth L., 1988. "Convergence Of The Empirical And Quantile Distributions To Poisson Measures," Statistics & Risk Modeling, De Gruyter, vol. 6(1-2), pages 129-136, February.
  81. Csörgo, Miklós & Horváth, Lajos, 1988. "A note on strong approximations of multivariate empirical processes," Stochastic Processes and their Applications, Elsevier, vol. 28(1), pages 101-109, April.
  82. Csörgo, Miklós & Horváth, Lajos & Révész, Pál, 1987. "Stability and instability of local time of random walk in random environment," Stochastic Processes and their Applications, Elsevier, vol. 25, pages 185-202.
  83. Horváth, Lajos, 1987. "On the tail behaviour of quantile processes," Stochastic Processes and their Applications, Elsevier, vol. 25, pages 57-72.
  84. Csörgo, Miklós & Horváth, Lajos, 1987. "Approximation of intermediate quantile processes," Journal of Multivariate Analysis, Elsevier, vol. 21(2), pages 250-262, April.
  85. Csörgóo, Miklós & Horváth, Lajos, 1986. "Approximations of weighted empirical and quantile processes," Statistics & Probability Letters, Elsevier, vol. 4(6), pages 275-280, October.
  86. Burke, Murray D. & Horváth, Lajos, 1986. "Estimation of influence functions," Statistics & Probability Letters, Elsevier, vol. 4(2), pages 81-85, March.
  87. Horvath, Lajos & Willekens, Eric, 1986. "Estimates for the probability of ruin starting with a large initial reserve," Insurance: Mathematics and Economics, Elsevier, vol. 5(4), pages 285-293, October.
  88. Csörgo, Miklós & Horváth, Lajos & Révész, Pál, 1986. "How large must be the difference between local time and mesure du voisinage of Brownian motion?," Statistics & Probability Letters, Elsevier, vol. 4(4), pages 161-166, June.
  89. Aly, Emad-Eldin A. A. & Csörgo, Miklós & Horváth, Lajos, 1985. "Strong approximations of the quantile process of the product-limit estimator," Journal of Multivariate Analysis, Elsevier, vol. 16(2), pages 185-210, April.
  90. Horváth, Lajos, 1985. "Approximation for Abel sums of independent, identically distributed random variables," Statistics & Probability Letters, Elsevier, vol. 3(4), pages 221-225, July.
  91. Horváth, Lajos, 1984. "Strong approximation of certain stopped sums," Statistics & Probability Letters, Elsevier, vol. 2(3), pages 181-185, May.
  92. Horváth, Lajos, 1984. "Strong approximation of renewal processes," Stochastic Processes and their Applications, Elsevier, vol. 18(1), pages 127-138, September.
  93. Horváth, Lajos, 1983. "The rate of strong uniform consistency for the multivariate product-limit estimator," Journal of Multivariate Analysis, Elsevier, vol. 13(1), pages 202-209, March.

NEP Fields

3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (2) 2009-05-16 2014-08-09. Author is listed
  2. NEP-ETS: Econometric Time Series (2) 2009-05-16 2014-08-09. Author is listed
  3. NEP-MST: Market Microstructure (1) 2014-04-29. Author is listed
  4. NEP-ORE: Operations Research (2) 2009-05-16 2014-08-09. Author is listed
  5. NEP-RMG: Risk Management (1) 2009-05-16. Author is listed

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