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Computational Statistics & Data Analysis
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2013, Volume 62, Issue C
- 1-10 Clustering through empirical likelihood ratio
by Melnykov, Volodymyr & Shen, Gang - 11-25 Smallest Pareto confidence regions and applications
by Fernández, Arturo J. - 26-38 A coordinate descent MM algorithm for fast computation of sparse logistic PCA
by Lee, Seokho & Huang, Jianhua Z. - 39-51 Estimation of the volume under the ROC surface with three ordinal diagnostic categories
by Kang, Le & Tian, Lili - 52-69 Kalman filter estimation for a regression model with locally stationary errors
by Ferreira, Guillermo & Rodríguez, Alejandro & Lagos, Bernardo - 70-82 Adaptive profile-empirical-likelihood inferences for generalized single-index models
by Huang, Zhensheng & Pang, Zhen & Zhang, Riquan - 83-92 A class of inference procedures for validating the generalized Koziol–Green model with recurrent events
by Adekpedjou, Akim & Stocker, Russell & De Mel, Withanage A. - 93-107 Multivariate regression shrinkage and selection by canonical correlation analysis
by An, Baiguo & Guo, Jianhua & Wang, Hansheng - 108-121 Bayesian planning and inference of a progressively censored sample from linear hazard rate distribution
by Sen, Ananda & Kannan, Nandini & Kundu, Debasis - 122-135 Sparse regularized local regression
by Vidaurre, Diego & Bielza, Concha & Larrañaga, Pedro - 136-148 Bandwidth selection for backfitting estimation of semiparametric additive models: A simulation study
by Häggström, Jenny - 149-170 A new exponential-type distribution with constant, decreasing, increasing, upside-down bathtub and bathtub-shaped failure rate function
by Lemonte, Artur J. - 171-180 Estimation of the accelerated failure time frailty model under generalized gamma frailty
by Chen, Pengcheng & Zhang, Jiajia & Zhang, Riquan - 181-187 A partial spline approach for semiparametric estimation of varying-coefficient partially linear models
by Kim, Young-Ju
2013, Volume 61, Issue C
- 1-6 A numerical investigation of the accuracy of parametric bootstrap for discrete data
by Lloyd, Chris J. - 7-21 A comparison between Markov approximations and other methods for large spatial data sets
by Bolin, David & Lindgren, Finn - 22-37 Efficient two-dimensional smoothing with P-spline ANOVA mixed models and nested bases
by Lee, Dae-Jin & Durbán, María & Eilers, Paul - 38-49 Fiducial-based tolerance intervals for some discrete distributions
by Mathew, Thomas & Young, Derek S. - 50-66 Generative models for functional data using phase and amplitude separation
by Tucker, J. Derek & Wu, Wei & Srivastava, Anuj - 67-82 Score tests for zero-inflation and overdispersion in two-level count data
by Lim, Hwa Kyung & Song, Juwon & Jung, Byoung Cheol - 83-98 A pure L1-norm principal component analysis
by Brooks, J.P. & Dulá, J.H. & Boone, E.L. - 99-106 Conditional tests for homogeneity of zero-inflated Poisson and Poisson-hurdle distributions
by Bedrick, Edward J. & Hossain, Anwar - 107-123 Bandwidth selection for kernel density estimation with doubly truncated data
by Moreira, C. & Van Keilegom, I. - 124-136 A fast algorithm for robust constrained clustering
by Fritz, Heinrich & García-Escudero, Luis A. & Mayo-Iscar, Agustín - 137-147 Mixed beta regression: A Bayesian perspective
by Figueroa-Zúñiga, Jorge I. & Arellano-Valle, Reinaldo B. & Ferrari, Silvia L.P. - 148-157 A hyper-Poisson regression model for overdispersed and underdispersed count data
by Sáez-Castillo, A.J. & Conde-Sánchez, A. - 158-173 Estimation of a regression spline sample selection model
by Marra, Giampiero & Radice, Rosalba - 174-186 Automatic variable selection for longitudinal generalized linear models
by Li, Gaorong & Lian, Heng & Feng, Sanying & Zhu, Lixing - 187-198 Prediction of sea surface temperature in the tropical Atlantic by support vector machines
by Lins, Isis Didier & Araujo, Moacyr & Moura, Márcio das Chagas & Silva, Marcus André & Droguett, Enrique López - 199-210 On sufficient conditions for mean residual life and related orders
by Belzunce, Félix & Martínez-Riquelme, Carolina & Ruiz, José M.
2013, Volume 60, Issue C
- 1-11 Exactly computing bivariate projection depth contours and median
by Liu, Xiaohui & Zuo, Yijun & Wang, Zhizhong - 12-31 Improved Bayesian inference for the stochastic block model with application to large networks
by McDaid, Aaron F. & Murphy, Thomas Brendan & Friel, Nial & Hurley, Neil J. - 32-49 A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples
by Liu, Shen & Maharaj, Elizabeth Ann - 50-69 A new variable selection approach using Random Forests
by Hapfelmeier, A. & Ulm, K. - 70-79 Advances in seeded dimension reduction: Bootstrap criteria and extensions
by Yoo, Jae Keun - 80-89 Group variable selection and estimation in the tobit censored response model
by Liu, Xianhui & Wang, Zhanfeng & Wu, Yaohua - 90-96 Objective Bayesian higher-order asymptotics in models with nuisance parameters
by Ventura, Laura & Sartori, Nicola & Racugno, Walter - 97-110 A Bayesian semiparametric model for volatility with a leverage effect
by Delatola, E.-I. & Griffin, J.E. - 111-122 An expected power approach for the assessment of composite endpoints and their components
by Rauch, G. & Kieser, M. - 123-131 A new class of generalized log rank tests for interval-censored failure time data
by Zhao, Xingqiu & Duan, Ran & Zhao, Qiang & Sun, Jianguo - 132-145 Assessing agreement with intraclass correlation coefficient and concordance correlation coefficient for data with repeated measures
by Chen, Chia-Cheng & Barnhart, Huiman X. - 146-156 Bayesian dynamic models for space–time point processes
by Reis, Edna A. & Gamerman, Dani & Paez, Marina S. & Martins, Thiago G. - 157-168 Most powerful rank tests for perfect rankings
by Frey, Jesse & Wang, Le - 169-178 Sample size requirements to detect an intervention by time interaction in longitudinal cluster randomized clinical trials with random slopes
by Heo, Moonseong & Xue, Xiaonan & Kim, Mimi Y.
2013, Volume 59, Issue C
- 1-12 Estimation of the optimal design of a nonlinear parametric regression problem via Monte Carlo experiments
by Hertel, Ida & Kohler, Michael - 13-27 Efficient maximum likelihood estimation of multiple membership linear mixed models, with an application to educational value-added assessments
by Karl, Andrew T. & Yang, Yan & Lohr, Sharon L. - 28-40 Tuning parameter selection in sparse regression modeling
by Hirose, Kei & Tateishi, Shohei & Konishi, Sadanori - 41-51 On computing the distribution function for the Poisson binomial distribution
by Hong, Yili - 52-69 Selecting and estimating regular vine copulae and application to financial returns
by Dißmann, J. & Brechmann, E.C. & Czado, C. & Kurowicka, D. - 70-81 Bootstrapping for highly unbalanced clustered data
by Samanta, Mayukh & Welsh, A.H. - 82-94 Nonparametric inference in small data sets of spatially indexed curves with application to ionospheric trend determination
by Gromenko, Oleksandr & Kokoszka, Piotr - 95-102 A new semiparametric estimation method for accelerated hazards mixture cure model
by Zhang, Jiajia & Peng, Yingwei & Li, Haifen - 103-120 Estimation in linear regression models with measurement errors subject to single-indexed distortion
by Zhang, Jun & Gai, Yujie & Wu, Ping - 121-133 Testing structural change in partially linear single-index models with error-prone linear covariates
by Huang, Zhensheng & Pang, Zhen & Hu, Tao - 134-143 Analysis of presence-only data via semi-supervised learning approaches
by Wang, Junhui & Fang, Yixin - 144-160 Simultaneous multifactor DIF analysis and detection in Item Response Theory
by Gonçalves, F.B. & Gamerman, D. & Soares, T.M. - 161-170 Influence diagnostics in generalized symmetric linear models
by Villegas, Cristian & Paula, Gilberto A. & Cysneiros, Francisco José A. & Galea, Manuel - 171-179 Robust inference using hierarchical likelihood approach for heavy-tailed longitudinal outcomes with missing data: An alternative to inverse probability weighted generalized estimating equations
by Lee, Donghwan & Lee, Youngjo & Paik, Myunghee Cho & Kenward, Michael G. - 180-182 The Cicchetti–Allison weighting matrix is positive definite
by Warrens, Matthijs J.
2013, Volume 58, Issue C
- 4-14 Removing seasonality under a changing regime: Filtering new car sales
by Thornton, Michael A. - 15-26 An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options
by Li, Junye - 27-44 Identifying anomalous signals in GPS data using HMMs: An increased likelihood of earthquakes?
by Wang, Ting & Bebbington, Mark - 45-57 Extracting common pulse-like signals from multiple ice core time series
by Gazeaux, Julien & Batista, Deborah & Ammann, Caspar M. & Naveau, Philippe & Jégat, Cyrille & Gao, Chaochao - 58-70 Sequential estimation of mixtures of structured autoregressive models
by Prado, Raquel - 71-81 A 2D wavelet-based multiscale approach with applications to the analysis of digital mammograms
by Ramírez-Cobo, Pepa & Vidakovic, Brani - 82-97 A three-state recursive sequential Bayesian algorithm for biosurveillance
by Zamba, K.D. & Tsiamyrtzis, Panagiotis & Hawkins, Douglas M. - 98-113 Description length and dimensionality reduction in functional data analysis
by Poskitt, D.S. & Sengarapillai, Arivalzahan - 114-126 Trend filtering via empirical mode decompositions
by Moghtaderi, Azadeh & Flandrin, Patrick & Borgnat, Pierre - 127-138 Mixture ensemble Kalman filters
by Frei, Marco & Künsch, Hans R. - 139-146 Widely linear prediction for transfer function models based on the infinite past
by Navarro-Moreno, Jesús & Moreno-Kaiser, Javier & Fernández-Alcalá, Rosa María & Ruiz-Molina, Juan Carlos - 147-161 Noise space decomposition method for two-dimensional sinusoidal model
by Nandi, Swagata & Kundu, Debasis & Srivastava, Rajesh Kumar - 162-176 A generative model for rank data based on insertion sort algorithm
by Biernacki, Christophe & Jacques, Julien - 177-186 The computation of bivariate normal and t probabilities, with application to comparisons of three normal means
by Kim, Jongphil - 187-200 Approximate posterior distributions for convolutional two-level hidden Markov models
by Rimstad, Kjartan & Omre, Henning - 201-209 Exact statistical power for response adaptive designs
by Yi, Yanqing - 210-226 A consistent method of estimation for the three-parameter Weibull distribution
by Nagatsuka, Hideki & Kamakura, Toshinari & Balakrishnan, N. - 227-241 Detection, classification and estimation of individual shapes in 2D and 3D point clouds
by Su, J. & Srivastava, A. & Huffer, F.W. - 242-256 Minimum distance estimation of ARFIMA processes
by Zevallos, Mauricio & Palma, Wilfredo - 257-264 Modeling time-dependent overdispersion in longitudinal count data
by Ye, Fei & Yue, Chen & Yang, Ying - 265-275 Simultaneous confidence intervals for multiple comparisons among expected values of log-normal variables
by Schaarschmidt, Frank - 276-282 A procedure for finding an improved upper bound on the number of optimal design points
by Hyun, Seung Won & Yang, Min & Flournoy, Nancy - 283-291 Sample size calculation for comparing time-averaged responses in k-group repeated-measurement studies
by Zhang, Song & Ahn, Chul - 292-307 Spatial interaction models with individual-level data for explaining labor flows and developing local labor markets
by Chakraborty, A. & Beamonte, M.A. & Gelfand, A.E. & Alonso, M.P. & Gargallo, P. & Salvador, M. - 308-325 Small area estimation with spatio-temporal Fay–Herriot models
by Marhuenda, Yolanda & Molina, Isabel & Morales, Domingo - 326-338 Resistant estimates for high dimensional and functional data based on random projections
by Fraiman, Ricardo & Svarc, Marcela - 339-351 SURE-tuned tapering estimation of large covariance matrices
by Yi, Feng & Zou, Hui - 352-367 The compound class of extended Weibull power series distributions
by Silva, Rodrigo B. & Bourguignon, Marcelo & Dias, Cícero R.B. & Cordeiro, Gauss M. - 368-382 Smoothing survival densities in practice
by Gámiz Pérez, M. Luz & Martínez Miranda, María Dolores & Nielsen, Jens Perch - 383-396 A semiparametric approach to source separation using independent component analysis
by Eloyan, Ani & Ghosh, Sujit K. - 397-406 Comparison among run order algorithms for sequential factorial experiments
by Hilow, Hisham - 407-419 Optimal reduction of a spatial monitoring grid: Proposals and applications in process control
by Borgoni, Riccardo & Radaelli, Luigi & Tritto, Valeria & Zappa, Diego
2013, Volume 57, Issue 1
- 1-16 Minimum quadratic distance density estimation using nonparametric mixtures
by Chee, Chew-Seng & Wang, Yong - 17-32 Independent Component Analysis for the objective classification of globular clusters of the galaxy NGC 5128
by Chattopadhyay, Asis Kumar & Mondal, Saptarshi & Chattopadhyay, Tanuka - 33-40 Robust estimation for panel count data with informative observation times
by Zhao, Xingqiu & Tong, Xingwei & Sun, Jianguo - 41-51 An EM algorithm for the proportional hazards model with doubly censored data
by Kim, Yongdai & Kim, Joungyoun & Jang, Woncheol - 52-58 On simulating Balakrishnan skew-normal variates
by Teimouri, Mahdi & Nadarajah, Saralees - 59-67 A maximum entropy type test of fit: Composite hypothesis case
by Lee, Sangyeol - 68-81 Improved Birnbaum–Saunders inference under type II censoring
by Barreto, Larissa Santana & Cysneiros, Audrey H.M.A. & Cribari-Neto, Francisco - 82-94 Hyperparameter estimation and plug-in kernel density estimates for maximum a posteriori land-cover classification with multiband satellite data
by Stover, Jason H. & Ulm, Matthew C. - 95-111 Exact methods for variable selection in principal component analysis: Guide functions and pre-selection
by Pacheco, Joaquín & Casado, Silvia & Porras, Santiago - 112-124 Statistical analysis of discrete-valued time series using categorical ARMA models
by Song, Peter X.-K. & Freeland, R. Keith & Biswas, Atanu & Zhang, Shulin - 125-140 Robust estimation for the covariance matrix of multivariate time series based on normal mixtures
by Kim, Byungsoo & Lee, Sangyeol - 141-148 Exact simultaneous confidence intervals for a finite set of contrasts of three, four or five generally correlated normal means
by Liu, W. & Ah-Kine, P. & Bretz, F. & Hayter, A.J. - 149-165 Simulating the characteristics of populations at the small area level: New validation techniques for a spatial microsimulation model in Australia
by Rahman, Azizur & Harding, Ann & Tanton, Robert & Liu, Shuangzhe - 166-209 Hybrid censoring: Models, inferential results and applications
by Balakrishnan, N. & Kundu, Debasis - 210-222 Association estimation for clustered failure time data with a cure fraction
by Chen, Chyong-Mei & Lu, Tai-Fang C. & Hsu, Chao-Min - 223-232 Sparse sufficient dimension reduction using optimal scoring
by Wang, Tao & Zhu, Lixing - 233-245 A hierarchical Bayesian approach for the analysis of longitudinal count data with overdispersion: A simulation study
by Aregay, Mehreteab & Shkedy, Ziv & Molenberghs, Geert - 246-261 Some tests for detecting trends based on the modified Baumgartner–Weiß–Schindler statistics
by Shan, Guogen & Ma, Changxing & Hutson, Alan D. & Wilding, Gregory E. - 262-270 A multivariate control quantile test using data depth
by Liu, Zhenyu & Modarres, Reza & Yang, Mengta - 271-281 Bayes estimation for the Marshall–Olkin bivariate Weibull distribution
by Kundu, Debasis & Gupta, Arjun K. - 282-296 Interpretable dimension reduction for classifying functional data
by Tian, Tian Siva & James, Gareth M. - 297-308 Testing the significance of index parameters in varying-coefficient single-index models
by Wong, Heung & Zhang, Riquan & Leung, Bartholomew & Huang, Zhensheng - 309-319 Testing the fit of the logistic model for matched case-control studies
by Chen, Li-Ching & Wang, Jiun-Yi - 320-335 Sequential Monte Carlo for Bayesian sequentially designed experiments for discrete data
by Drovandi, Christopher C. & McGree, James M. & Pettitt, Anthony N. - 336-348 Statistical inference and visualization in scale-space using local likelihood
by Park, Cheolwoo & Huh, Jib - 349-363 The robustness of the hyperbolic efficiency estimator
by Bruffaerts, C. & De Rock, B. & Dehon, C. - 364-376 Full bandwidth matrix selectors for gradient kernel density estimate
by Horová, Ivana & Koláček, Jan & Vopatová, Kamila - 377-391 Drift mining in data: A framework for addressing drift in classification
by Hofer, Vera & Krempl, Georg - 392-403 Limited information estimation in binary factor analysis: A review and extension
by Wu, Jianmin & Bentler, Peter M. - 404-416 Λ-neighborhood wavelet shrinkage
by Reményi, Norbert & Vidakovic, Brani - 417-428 Parameter estimation for multivariate diffusion systems
by Varughese, Melvin M. - 429-434 A note on the lack of symmetry in the graphical lasso
by Rolfs, Benjamin T. & Rajaratnam, Bala - 435-449 Variable selection in quantile varying coefficient models with longitudinal data
by Tang, Yanlin & Wang, Huixia Judy & Zhu, Zhongyi - 450-464 Influence diagnostics in linear and nonlinear mixed-effects models with censored data
by Matos, Larissa A. & Lachos, Victor H. & Balakrishnan, N. & Labra, Filidor V. - 465-478 An efficient proposal distribution for Metropolis–Hastings using a B-splines technique
by Shao, Wei & Guo, Guangbao & Meng, Fanyu & Jia, Shuqin - 479-490 Halfline tests for multivariate one-sided alternatives
by Lu, Zeng-Hua - 491-503 Variable selection in the additive rate model for recurrent event data
by Chen, Xiaolin & Wang, Qihua - 504-517 An EM algorithm for continuous-time bivariate Markov chains
by Mark, Brian L. & Ephraim, Yariv - 518-535 A simple generalisation of the Hill estimator
by Fátima Brilhante, M. & Ivette Gomes, M. & Pestana, Dinis - 536-548 One-step robust estimation of fixed-effects panel data models
by Aquaro, M. & Čížek, P. - 549-557 Likelihood inference in generalized linear mixed measurement error models
by Torabi, Mahmoud - 558-569 Assessing model adequacy in possibly misspecified quantile regression
by Noh, Hohsuk & El Ghouch, Anouar & Van Keilegom, Ingrid - 570-588 Stochastic models for multiple pathways of temporal natural history on co-morbidity of chronic disease
by Yen, Amy Ming-Fang & Chen, Hsiu-Hsi - 589-599 Modeling respiratory illnesses with change point: A lesson from the SARS epidemic in Hong Kong
by Wong, Heung & Shao, Quanxi & Ip, Wai-cheung - 600-614 A Bayesian model averaging approach to analyzing categorical data with nonignorable nonresponse
by Janicki, Ryan & Malec, Donald - 615-630 Smoothed rank correlation of the linear transformation regression model
by Lin, Huazhen & Peng, Heng - 631-644 An extended variable inclusion and shrinkage algorithm for correlated variables
by Mkhadri, Abdallah & Ouhourane, Mohamed - 645-660 On Crevecoeur’s bathtub-shaped failure rate model
by Liu, Junfeng & Wang, Yi - 661-671 Variational Bayesian inference for the Latent Position Cluster Model for network data
by Salter-Townshend, Michael & Murphy, Thomas Brendan - 672-683 Parameter estimation for growth interaction processes using spatio-temporal information
by Redenbach, Claudia & Särkkä, Aila - 684-698 Change point models for cognitive tests using semi-parametric maximum likelihood
by van den Hout, Ardo & Muniz-Terrera, Graciela & Matthews, Fiona E.
2012, Volume 56, Issue 11
- 2993-3005 Jump robust daily covariance estimation by disentangling variance and correlation components
by Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe - 3006-3019 A Bayesian conditional autoregressive geometric process model for range data
by Chan, J.S.K. & Lam, C.P.Y. & Yu, P.L.H. & Choy, S.T.B. & Chen, C.W.S. - 3020-3034 Detection of structural breaks in linear dynamic panel data models
by De Wachter, Stefan & Tzavalis, Elias - 3035-3054 Bayesian estimation of generalized hyperbolic skewed student GARCH models
by Deschamps, Philippe J. - 3055-3069 Modeling dynamic effects of promotion on interpurchase times
by Fok, Dennis & Paap, Richard & Franses, Philip Hans - 3070-3079 Covariate unit root tests with good size and power
by Fossati, Sebastian - 3080-3090 On the online estimation of local constant volatilities
by Fried, Roland - 3091-3104 Econometric analysis of volatile art markets
by Bocart, Fabian Y.R.P. & Hafner, Christian M. - 3105-3119 Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
by Kleppe, Tore Selland & Skaug, Hans Julius - 3120-3133 The dynamics of UK and US inflation expectations
by Gefang, Deborah & Koop, Gary & Potter, Simon M. - 3134-3152 Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
by Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius - 3153-3181 Estimation of SEM with GARCH errors
by Krishnakumar, Jaya & Kabili, Andi & Roko, Ilir - 3182-3197 Robust small sample accurate inference in moment condition models
by Lô, Serigne N. & Ronchetti, Elvezio - 3198-3211 Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
by Luger, Richard - 3212-3229 Counterfactual distributions of wages via quantile regression with endogeneity
by Martinez-Sanchis, Elena & Mora, Juan & Kandemir, Ilker - 3230-3240 Optimal control of nonlinear dynamic econometric models: An algorithm and an application
by Blueschke-Nikolaeva, V. & Blueschke, D. & Neck, R. - 3241-3259 Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
by Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia - 3260-3275 Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein–Uhlenbeck processes
by Raknerud, Arvid & Skare, Øivind - 3276-3285 Robust analysis of default intensity
by Bellini, Tiziano & Riani, Marco - 3286-3306 On the asymptotic t-test for large nonstationary panel models
by Trapani, Lorenzo - 3309-3321 An application of shrinkage estimation to the nonlinear regression model
by Ahmed, S. Ejaz & Nicol, Christopher J. - 3322-3344 Localized level crossing random walk test robust to the presence of structural breaks
by Alexeev, Vitali & Maynard, Alex - 3345-3365 Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
by Tsay, Ruey S. & Ando, Tomohiro - 3366-3380 A new class of independence tests for interval forecasts evaluation
by Araújo Santos, P. & Fraga Alves, M.I. - 3381-3397 Forecasting with spatial panel data
by Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain - 3398-3414 A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
by Ardia, David & Baştürk, Nalan & Hoogerheide, Lennart & van Dijk, Herman K. - 3415-3429 On marginal likelihood computation in change-point models
by Bauwens, Luc & Rombouts, Jeroen V.K. - 3430-3443 On robust tail index estimation
by Beran, Jan & Schell, Dieter - 3444-3458 Efficient bootstrap with weakly dependent processes
by Bravo, Francesco & Crudu, Federico - 3459-3476 Modelling and forecasting wind speed intensity for weather risk management
by Caporin, Massimiliano & Preś, Juliusz - 3477-3490 Structural model of credit migration
by Chan, Ngai Hang & Wong, Hoi Ying & Zhao, Jing - 3491-3497 A wavelet-based approach to test for financial market contagion
by Gallegati, Marco - 3498-3516 Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution
by Chen, Qian & Gerlach, Richard & Lu, Zudi - 3517-3532 Dynamic risk exposures in hedge funds
by Billio, Monica & Getmansky, Mila & Pelizzon, Loriana - 3533-3545 On the estimation of dynamic conditional correlation models
by Hafner, Christian M. & Reznikova, Olga - 3546-3566 Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment
by Guidolin, Massimo & Hyde, Stuart - 3567-3586 Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation
by Kiviet, Jan F. & Niemczyk, Jerzy - 3587-3598 Specification tests for the error distribution in GARCH models
by Klar, B. & Lindner, F. & Meintanis, S.G. - 3599-3622 Applications of the characteristic function-based continuum GMM in finance
by Kotchoni, Rachidi - 3623-3631 Recursive computation of piecewise constant volatilities
by Davies, Laurie & Höhenrieder, Christian & Krämer, Walter - 3632-3644 On the estimation and diagnostic checking of the ARFIMA–HYGARCH model
by Kwan, Wilson & Li, Wai Keung & Li, Guodong - 3645-3658 A spectral estimation of tempered stable stochastic volatility models and option pricing
by Li, Junye & Favero, Carlo & Ortu, Fulvio - 3659-3673 Vine copulas with asymmetric tail dependence and applications to financial return data
by Nikoloulopoulos, Aristidis K. & Joe, Harry & Li, Haijun - 3674-3689 Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
by Ishihara, Tsunehiro & Omori, Yasuhiro - 3690-3704 Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution
by Nakajima, Jouchi & Omori, Yasuhiro - 3705-3729 Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
by Kiviet, Jan F. & Phillips, Garry D.A. - 3730-3742 Long memory and nonlinearities in realized volatility: A Markov switching approach
by Raggi, Davide & Bordignon, Silvano - 3743-3756 Likelihood-free Bayesian inference for α-stable models
by Peters, G.W. & Sisson, S.A. & Fan, Y. - 3757-3773 Modelling multi-output stochastic frontiers using copulas
by Carta, Alessandro & Steel, Mark F.J. - 3774-3792 Bayesian inference in a Stochastic Volatility Nelson–Siegel model
by Hautsch, Nikolaus & Yang, Fuyu - 3793-3807 The power of weather
by Huurman, Christian & Ravazzolo, Francesco & Zhou, Chen
2012, Volume 56, Issue 10
- 2840-2855 Small area estimation of poverty proportions under area-level time models
by Esteban, M.D. & Morales, D. & Pérez, A. & Santamaría, L. - 2856-2863 Modelling over and undercounts for design-based Monte Carlo studies in small area estimation: An application to the German register-assisted census
by Burgard, Jan Pablo & Münnich, Ralf T. - 2864-2874 Small area estimation using skew normal models
by Ferraz, V.R.S. & Moura, F.A.S. - 2875-2888 Small area estimation under spatial nonstationarity
by Chandra, Hukum & Salvati, Nicola & Chambers, Ray & Tzavidis, Nikos - 2889-2902 Non-parametric bootstrap mean squared error estimation for M-quantile estimators of small area averages, quantiles and poverty indicators
by Marchetti, Stefano & Tzavidis, Nikos & Pratesi, Monica - 2903-2917 A new class of semi-mixed effects models and its application in small area estimation
by José Lombardía, María & Sperlich, Stefan - 2918-2933 Estimation of the monthly unemployment rate for six domains through structural time series modelling with cointegrated trends
by Krieg, Sabine & van den Brakel, Jan A.