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Publications

by members of

Universidad Carlos III de Madrid → Instituto Flores de Lemus

Carlos III University of Madrid → Flores de Lemus Institute

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2020

  1. Camacho, Maximo & Caro Navarro, Ángela & Peña, Daniel, 2020, "What do international energy prices have in common after taking into account the key drivers?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 31647, Dec.

2019

  1. Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019, "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-23, Dec.

2018

  1. Caro Navarro, Ángela & Peña, Daniel, 2018, "Estimation of the common component in Dynamic Factor Models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 27047, Jun.

2017

  1. Peña, Daniel & Prieto Fernández, Francisco Javier & Rendon Aguirre, Janeth Carolina, 2017, "Clustering Big Data by Extreme Kurtosis Projections," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 24522, Apr.

2014

  1. Álvarez, Adolfo & Peña, Daniel, 2014, "Recombining partitions from multivariate data: a clustering method on Bayes factors," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws140804, Mar.
  2. Peña, Daniel & Prieto, Francisco J. & Rendón, Carolina, 2014, "Independent components techniques based on kurtosis for functional data analysis," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws141006, May.

2013

  1. Álvarez, Adolfo & Peña, Daniel, 2013, "Recombining partitions via unimodality tests," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws130706, Mar.
  2. Badagian Baharian, Ana Laura & Kaiser Remiro, Regina & Peña, Daniel, 2013, "The change-point problem and segmentation of processes with conditional heteroskedasticity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws131718, Jun.

2011

  1. García-Ferrer, Antonio & González-Prieto, Ester & Peña, Daniel, 2011, "Exploring ICA for time series decomposition," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws111611, May.
  2. Giuliodori, Andrea & Lillo Rodríguez, Rosa Elvira & Peña, Daniel, 2011, "Handwritten digit classification," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws111712, Jun.
  3. Bermejo Mancera, Miguel Ángel & Peña, Daniel & Sánchez, Ismael, 2011, "Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws111813, Jun.
  4. Pérez, Betsabé & Peña, Daniel & Molina, Isabel, 2011, "Robust Henderson III estimators of variance components in the nested error model," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws114332, Dec.

2009

  1. Giuliodori, Andrea & Lillo Rodríguez, Rosa Elvira & Peña, Daniel, 2009, "Clustering and classifying images with local and global variability," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws090101, Jan.
  2. Bermejo Mancera, Miguel Ángel & Peña, Daniel & Sánchez, Ismael, 2009, "Graphical identification of TAR models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws097723, Dec.
  3. Badagian Baharian, Ana Laura & Kaiser Remiro, Regina & Peña, Daniel, 2009, "Time series segmentation by Cusum, AutoSLEX and AutoPARM methods," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws098025, Dec.
  4. Álvarez, Adolfo & Peña, Daniel, 2009, "Recombining dependent data: an Order Statistics," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws098526, Dec.
  5. Molina, Isabel & Peña, Daniel & Pérez, Betsabé, 2009, "Robust estimation in linear regression models with fixed effects," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws098827, Dec.
  6. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2009, "Comparison of time series with unequal length in the frequency domain," MPRA Paper, University Library of Munich, Germany, number 15310, Apr.

2008

  1. Alonso Fernández, Andrés Modesto & Peña, Daniel & Rodríguez, Julio, 2008, "A methodology for population projections: an application to Spain," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws084512, Sep.
  2. García-Ferrer, Antonio & González-Prieto, Ester & Peña, Daniel, 2008, "A multivariate generalized independent factor GARCH model with an application to financial stock returns," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws087528, Dec.
  3. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008, "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2008-13, Oct.

2007

  1. González, Javier & Peña, Daniel & Romera, Rosario, 2007, "A robust partial least squares method with applications," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws071304, Mar.
  2. Alonso Fernández Andrés M. & Peña Sánchez de Rivera Daniel & Rodríguez Puerta Julio, 2007, "Proyecciones de demanda de educación en España," Working Papers, Fundacion BBVA / BBVA Foundation, number 201081, Jun.
  3. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007, "Is there an identity within international stock market volatilities?," MPRA Paper, University Library of Munich, Germany, number 2069.
  4. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007, "Comparison of time series with unequal length," MPRA Paper, University Library of Munich, Germany, number 6605, Dec.

2006

  1. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2006, "An interpolated periodogram-based metric for comparison of time series with unequal lengths," MPRA Paper, University Library of Munich, Germany, number 2075.

2004

  1. Benito Bonito, Mónica & Peña, Daniel, 2004, "Dimensionality reduction with image data," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws041003, Feb.
  2. Galeano, Pedro & Peña, Daniel, 2004, "Variance changes detection in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws041305, Feb.
  3. Galeano, Pedro & Peña, Daniel, 2004, "Model selection criteria and quadratic discrimination in ARMA and SETAR time series models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws041406, Feb.
  4. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2004, "Spurious and hidden volatility," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws042007, Jul.
  5. Galeano, Pedro & Peña, Daniel, 2004, "A note on prediction and interpolation errors in time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws042710, Sep.
  6. Galeano, Pedro & Peña, Daniel & Tsay, Ruey S., 2004, "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws044211, Sep.

2003

  1. Guttman, Irwin & Peña, Daniel & Redondas, María Dolores, 2003, "A bayesian approach for predicting with polynomial regresión of unknown degree," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws032104, Apr.
  2. Peña, Daniel & Redondas, María Dolores, 2003, "Bayesian curve estimation by model averaging," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws034410, Sep.
  3. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2003, "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws036313, Nov.

2001

  1. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001, "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws010704, Feb.
  2. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2001, "Is stochastic volatility more flexible than garch?," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws010805, Mar.
  3. Peña, Daniel & Sánchez, Ismael, 2001, "New in-sample prediction errors in time series with applications," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws011107, Jan.
  4. Alonso Fernández, Andrés Modesto & Peña, Daniel & Romo, Juan, 2001, "Introducing model uncertainty in time series bootstrap," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws011409, Feb.
  5. Galeano, Pedro & Peña, Daniel, 2001, "Multivariate analysis in vector time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws012415, Mar.

2000

  1. Álvarez, María José & Montes, María J. & Peña, Daniel, 2000, "La investigación internacional en TQM : análisis de tendencias (1994-1999)," DEE - Documentos de Trabajo. Economía de la Empresa. DB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 6312, Nov.
  2. Peña, Daniel & Rodríguez, Julio, 2000, "A powerful portmanteau test of lack of fit for time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10133, Dec.
  3. Alonso Fernández, Andrés Modesto & Peña, Daniel & Romo, Juan, 2000, "Forecasting time series with sieve bootstrap," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9858, Feb.
  4. Peña, Daniel, 2000, "An interview to George Box," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9920, Jul.
  5. Alonso Fernández, Andrés Modesto & Peña, Daniel & Romo, Juan, 2000, "Resampling time series by missing values techniques," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9923, Jul.
  6. Peña, Daniel & Poncela, Pilar, 2000, "Forecasting with nostationary dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9959, Jul.
  7. Peña, Daniel & Rodríguez, Julio, 2000, "Descriptive measures of multivariate scatter and linear dependence," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9960, Sep.

1999

  1. Victor Gómez & Agustin Maravall & Daniel Peña, 1999, "Missing observations in ARIMA models: Skipping strategy versus outlier approach," Working Papers, Banco de España, number 9701.
  2. Gil, J. A. & Peña, Daniel & Rodriguez, J., 1999, "Trend in statistical research productivity by journal publications over the period 1985-1997," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6355, Oct.
  3. Gil, J. A. & Peña, Daniel & Rodriguez, J., 1999, "Statiscal research in Europe:1985-1997," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6356, Oct.
  4. Peña, Daniel & Prieto, Francisco J., 1999, "The kurtosis coeficient and the linear discriminant function," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6358, Oct.

1998

  1. Justel, A. & Peña, Daniel, 1998, "Heterogeneity and model uncertainty in bayesian regression models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6260, Sep.
  2. Tsay, Ruey S. & Peña, Daniel & Pankratz, Alan E., 1998, "Outliers in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6285, Dec.
  3. Justel, A. & Peña, Daniel & Tsay, Ruey S., 1998, "Detection of outlier patches in autoregressive time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 9821, Feb.

1997

  1. Peña, Daniel, 1997, "La mejora de la calidad en la educación: reflexiones y experiencias," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3645, Jul.
  2. Peña, Daniel & Prieto, Francisco J., 1997, "Robust covariance matrix estimation and multivariate outlier detection," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10497, Feb.
  3. Gómez, Víctor & Maravall, Agustín & Peña, Daniel, 1997, "Missing observations in ARIMA models: skipping strategy versus additive outlier approach," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10576, Feb.
  4. Guerrero, Victor M. & Peña, Daniel & Poncela, Pilar, 1997, "Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6212, Oct.
  5. Sánchez, María Jesús & Peña, Daniel, 1997, "The identification of multiple outliers in arima models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6220, Oct.
  6. Peña, Daniel & Poncela, Pilar, 1997, "Eigenstructure of nonstationary factor models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 6224, Dec.

1996

  1. Agustín Maravall & Daniel Peña, 1996, "Missing Observations and Additive Outliers in Time Series Models," Working Papers, Banco de España, number 9612.
  2. JUSTEL, Ana & PEÑA , Daniel, 1996, "Bayesian Unmasking in Linear Models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1996019, May.
  3. Peña, Daniel, 1996, "El futuro de los métodos estadísticos," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3639, Feb.
  4. Peña, Daniel & Zamar, Rubén, 1996, "A simple diagnostic tool for local prior sensitivity," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10486, Sep.
  5. Peña, Daniel & Poncela, Pilar, 1996, "Pooling information and forecasting with dynamic factor analysis," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10709, Nov.
  6. Peña, Daniel & Yohai, Víctor J., 1996, "A procedure for robust estimation and diagnostics in regression," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10710, Dec.
  7. Peña, Daniel, 1996, "Measuring service quality by linear indicators," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10736, Sep.

1995

  1. Victor M. Guerrero & Daniel Peña, 1995, "Linear Combination of Information in Time Series Analysis," Working Papers, Centro de Investigacion Economica, ITAM, number 9507, Sep.
  2. Peña, Daniel, 1995, "Experiencias de mejora de la calidad en la universidad," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10881, Oct.
  3. Sánchez, Ismael & Peña, Daniel, 1995, "Properties of predictors in overdifferenced nearly nonstationary autoregression," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10347, Dec.
  4. Justel, Ana & Peña, Daniel, 1995, "Gibbs sampling will fail in outlier problems with strong masking," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4203, Jun.
  5. Peña, Daniel & Ruiz-Castillo, Javier, 1995, "Inflation and inequality bias in the presence of bulk purchases for food and drinks," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4514, Oct.
  6. Peña, Daniel, 1995, "Combining information in statistical modelling," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4516, Nov.

1994

  1. Justel, Ana & Peña, Daniel & Sánchez, María Jesús, 1994, "Grupos atípicos en modelos econométricos," DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10755, May.
  2. Justel, Ana & Peña, Daniel & Zamar, Rubén, 1994, "A multivariate Kolmogorov-Smornov test of goodnes of fit," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3955, Sep.

1993

  1. Escribano, Álvaro & Peña, Daniel, 1993, "Cointegration and common factors," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3680, Apr.
  2. Peña, Daniel & Zamar, Rubén, 1993, "On bayesian robustness: an asymptotic approach," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3736, Oct.
  3. Gómez, Víctor & Maravall, Agustín & Peña, Daniel, 1993, "Computing missing values in time series," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3737, Oct.
  4. Peña, Daniel, 1993, "Forecasting growth with time series models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 3740, Dec.

1992

  1. Peña, Daniel, 1992, "Reflexiones sobre la enseñanza experimental de la estadística," DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía, number 3009, Feb.
  2. Juan, Jesús & Peña, Daniel, 1992, "A simple method to identify significant effects in unreplicated two-level factorial designs," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2818, Feb.
  3. Guttman, Irwin & Peña, Daniel, 1992, "A Bayesian look at diagnostics in the univariate linear model," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2831, May.
  4. Peña, Daniel & Guttman, Irwin, 1992, "Comparing probabilistic methods for outlier detection," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2841, Jul.

1991

  1. Peña, Daniel & Tiao, George C., 1991, "A Note on likelihood estimation of missing values in time series," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2748, Feb.
  2. Peña, Daniel & Espasa, Antoni, 1991, "ARIMA models, the steady state of economic variables and their estimation," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2760, Feb.
  3. Peña, Daniel & Yohai, Víctor J., 1991, "The detection of influential subsets in linear regression using an influence matrix," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2798, Mar.
  4. Peña, Daniel & Tiao, George C., 1991, "Bayesian outliers functions for linear models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 5816, Mar.

1990

  1. Peña, Daniel, 1990, "Measuring influence in dynamic regression models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2768, Jun.
  2. Peña, Daniel & Maravall, Agustín, 1990, "Interpolation, outliers and inverse autocorrelations," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 2770, Feb.

Journal articles

2023

  1. Daniel Peña & Ruey S. Tsay, 2023, "A testing approach to clustering scalar time series," Journal of Time Series Analysis, Wiley Blackwell, volume 44, issue 5-6, pages 667-685, September, DOI: 10.1111/jtsa.12706.
  2. Camacho, Maximo & Caro, Angela & Peña, Daniel, 2023, "What drives industrial energy prices?," Economic Modelling, Elsevier, volume 120, issue C, DOI: 10.1016/j.econmod.2022.106158.
  3. Pedro Delicado & Daniel Peña, 2023, "Understanding complex predictive models with ghost variables," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 32, issue 1, pages 107-145, March, DOI: 10.1007/s11749-022-00826-x.

2022

  1. Daniel Peña, 2022, "Comment on “Factor Models for High-Dimensional Tensor Time Series”," Journal of the American Statistical Association, Taylor & Francis Journals, volume 117, issue 537, pages 118-123, January, DOI: 10.1080/01621459.2021.2024214.

2021

  1. Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021, "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, volume 37, issue 4, pages 1333-1337, DOI: 10.1016/j.ijforecast.2021.06.004.
  2. Peña, Daniel & Smucler, Ezequiel & Yohai, Victor J., 2021, "Sparse estimation of dynamic principal components for forecasting high-dimensional time series," International Journal of Forecasting, Elsevier, volume 37, issue 4, pages 1498-1508, DOI: 10.1016/j.ijforecast.2020.10.008.

2020

  1. Alonso, Andrés M. & Galeano, Pedro & Peña, Daniel, 2020, "A robust procedure to build dynamic factor models with cluster structure," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 35-52, DOI: 10.1016/j.jeconom.2020.01.004.
  2. Peña, Daniel, 2020, "Agustín Maravall: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, volume 36, issue 4, pages 1241-1251, DOI: 10.1016/j.ijforecast.2019.12.005.

2019

  1. Pedro Galeano & Daniel Peña, 2019, "Data science, big data and statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 28, issue 2, pages 289-329, June, DOI: 10.1007/s11749-019-00651-9.
  2. Pedro Galeano & Daniel Peña, 2019, "Rejoinder on: Data science, big data and statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 28, issue 2, pages 363-368, June, DOI: 10.1007/s11749-019-00652-8.
  3. Daniel Peña & Ezequiel Smucler & Victor J. Yohai, 2019, "Forecasting Multiple Time Series With One-Sided Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, volume 114, issue 528, pages 1683-1694, October, DOI: 10.1080/01621459.2018.1520117.

2016

  1. Daniel Peña & Victor J. Yohai, 2016, "Generalized Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, volume 111, issue 515, pages 1121-1131, July, DOI: 10.1080/01621459.2015.1072542.

2012

  1. Carnero, M. Angeles & Peña, Daniel & Ruiz, Esther, 2012, "Estimating GARCH volatility in the presence of outliers," Economics Letters, Elsevier, volume 114, issue 1, pages 86-90, DOI: 10.1016/j.econlet.2011.09.023.
  2. García-Ferrer, Antonio & González-Prieto, Ester & Peña, Daniel, 2012, "A conditionally heteroskedastic independent factor model with an application to financial stock returns," International Journal of Forecasting, Elsevier, volume 28, issue 1, pages 70-93, DOI: 10.1016/j.ijforecast.2011.02.010.

2011

  1. Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2011, "Identification of TAR models using recursive estimation," Journal of Forecasting, John Wiley & Sons, Ltd., volume 30, issue 1, pages 31-50, January.
  2. E. Silva & V. M. Guerrero & D. Peña, 2011, "Temporal disaggregation and restricted forecasting of multiple population time series," Journal of Applied Statistics, Taylor & Francis Journals, volume 38, issue 4, pages 799-815, January, DOI: 10.1080/02664761003692316.

2010

  1. Peña, Daniel & Prieto, Francisco J. & Viladomat, Júlia, 2010, "Eigenvectors of a kurtosis matrix as interesting directions to reveal cluster structure," Journal of Multivariate Analysis, Elsevier, volume 101, issue 9, pages 1995-2007, October.

2009

  1. Daniel Peña, 2009, "Dimension reduction in time series and the dynamic factor model," Biometrika, Biometrika Trust, volume 96, issue 2, pages 494-496.

2007

  1. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2007, "Effects of outliers on the identification and estimation of GARCH models," Journal of Time Series Analysis, Wiley Blackwell, volume 28, issue 4, pages 471-497, July, DOI: 10.1111/j.1467-9892.2006.00519.x.
  2. Daniel Peña & Ismael Sánchez, 2007, "Measuring the Advantages of Multivariate vs. Univariate Forecasts," Journal of Time Series Analysis, Wiley Blackwell, volume 28, issue 6, pages 886-909, November, DOI: 10.1111/j.1467-9892.2007.00538.x.
  3. Benito, Monica & Pena, Daniel, 2007, "Detecting defects with image data," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 12, pages 6395-6403, August.
  4. Galeano, Pedro & Peña, Daniel, 2007, "On the connection between model selection criteria and quadratic discrimination in ARMA time series models," Statistics & Probability Letters, Elsevier, volume 77, issue 9, pages 896-900, May.

2006

  1. Galeano, Pedro & Pena, Daniel & Tsay, Ruey S., 2006, "Outlier Detection in Multivariate Time Series by Projection Pursuit," Journal of the American Statistical Association, American Statistical Association, volume 101, pages 654-669, June.
  2. Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006, "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 10, pages 2668-2684, June.
  3. Pena, Daniel & Redondas, Dolores, 2006, "Bayesian curve estimation by model averaging," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 3, pages 688-709, February.
  4. Andrés Alonso & Daniel Peña & Juan Romo, 2006, "Introducing model uncertainty by moving blocks bootstrap," Statistical Papers, Springer, volume 47, issue 2, pages 167-179, March, DOI: 10.1007/s00362-005-0282-7.

2005

  1. Daniel Pena & Ismael Sanchez, 2005, "Multifold Predictive Validation in ARMAX Time Series Models," Journal of the American Statistical Association, American Statistical Association, volume 100, pages 135-146, March.
  2. Pena, Daniel & Rodriguez, Julio, 2005, "Detecting nonlinearity in time series by model selection criteria," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 731-748.
  3. Galeano, Pedro & Peña, Daniel, 2005, "A note on prediction and interpolation errors in time series," Statistics & Probability Letters, Elsevier, volume 73, issue 1, pages 71-78, June.

2004

  1. Pena, Daniel & Poncela, Pilar, 2004, "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, volume 119, issue 2, pages 291-321, April.

2003

  1. Peña, Daniel & Rodríguez, Julio, 2003, "Descriptive measures of multivariate scatter and linear dependence," Journal of Multivariate Analysis, Elsevier, volume 85, issue 2, pages 361-374, May.
  2. Alonso, Andrés M. & Peña, Daniel & Romo, Juan, 2003, "On sieve bootstrap prediction intervals," Statistics & Probability Letters, Elsevier, volume 65, issue 1, pages 13-20, October.
  3. Andrés Alonso & Daniel Peña & Juan Romo, 2003, "Resampling time series using missing values techniques," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, volume 55, issue 4, pages 765-796, December, DOI: 10.1007/BF02523392.

2002

  1. Pena D. & Rodriguez J., 2002, "A Powerful Portmanteau Test of Lack of Fit for Time Series," Journal of the American Statistical Association, American Statistical Association, volume 97, pages 601-610, June.

2001

  1. Pena D. & Prieto F.J., 2001, "Cluster Identification Using Projections," Journal of the American Statistical Association, American Statistical Association, volume 96, pages 1433-1445, December.
  2. Ismael Sanchez & Daniel Pena, 2001, "Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, volume 22, issue 1, pages 45-66, January, DOI: 10.1111/1467-9892.00211.
  3. Justel, Ana & Pena, Daniel, 2001, "Bayesian unmasking in linear models," Computational Statistics & Data Analysis, Elsevier, volume 36, issue 1, pages 69-84, March.
  4. Pena, Daniel, 2001, "George Box: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, volume 17, issue 1, pages 1-9.

2000

  1. Peña, Daniel, 2000, "Sebastián Coll y Marta Guijarro: Estadística aplicada a las ciencias sociales, Madrid, Pirámide, 1998," Revista de Historia Económica / Journal of Iberian and Latin American Economic History, Cambridge University Press, volume 18, issue 3, pages 687-690, December.
  2. Peña, Daniel & Prieto, Francisco J., 2000, "The kurtosis coefficient and the linear discriminant function," Statistics & Probability Letters, Elsevier, volume 49, issue 3, pages 257-261, September.
  3. Juan Gil & Daniel Peña & Julio Rodríguez, 2000, "Statistical research in Europe: 1985–1997," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 9, issue 1, pages 255-281, June, DOI: 10.1007/BF02595861.

1999

  1. N. Locantore & J. Marron & D. Simpson & N. Tripoli & J. Zhang & K. Cohen & Graciela Boente & Ricardo Fraiman & Babette Brumback & Christophe Croux & Jianqing Fan & Alois Kneip & John Marden & Daniel P, 1999, "Robust principal component analysis for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 8, issue 1, pages 1-73, June, DOI: 10.1007/BF02595862.

1998

  1. Pena, Daniel & Ruiz-Castillo, Javier, 1998, "The Estimation of Food Expenditures from Household Budget Data in the Presence of Bulk Purchases," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 3, pages 292-303, July.
  2. Guerrero, Victor M & Pena, Daniel & Poncela, Pilar, 1998, "Measuring Intervention Effects on Multiple Time Series Subjected to Linear Restrictions: A Banking Example," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 4, pages 489-497, October.
  3. Gomez, Victor & Maravall, Agustin & Pena, Daniel, 1998, "Missing observations in ARIMA models: Skipping approach versus additive outlier approach," Journal of Econometrics, Elsevier, volume 88, issue 2, pages 341-363, November.
  4. Nozer Singpurwalla & G. Box & D. Cox & D. Dey & A. Fries & J. Ghosh & M. Gómez-Villegas & T. Irony & W. Kliemann & S. Kotz & D. Lindley & M. McGrath & D. Peña & N. Singpurwalla, 1998, "The stochastic control of process capability indices," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 7, issue 1, pages 1-74, June, DOI: 10.1007/BF02565102.

1997

  1. Justel, Ana & Peña, Daniel & Zamar, Rubén, 1997, "A multivariate Kolmogorov-Smirnov test of goodness of fit," Statistics & Probability Letters, Elsevier, volume 35, issue 3, pages 251-259, October.
  2. Peña, Daniel & Zamar, Ruben, 1997, "A simple diagnostic tool for local prior sensitivity," Statistics & Probability Letters, Elsevier, volume 36, issue 2, pages 205-212, December.

1996

  1. George Casella & Juan Ferrándiz & Daniel Peña & David Insua & José Bernardo & P. García-López & A. González & J. Berger & A. Dawid & Thomas Diciccio & Martin Wells & Paul Gustafson & Larry Wasserman &, 1996, "Statistical inference and Monte Carlo algorithms," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 5, issue 2, pages 249-344, December, DOI: 10.1007/BF02562621.

1994

  1. Alvaro Escribano & Daniel Peña, 1994, "Cointegration And Common Factors," Journal of Time Series Analysis, Wiley Blackwell, volume 15, issue 6, pages 577-586, November, DOI: 10.1111/j.1467-9892.1994.tb00213.x.

1993

  1. Joseph Kadane & Javier Girón & Daniel Peña & Peter Fishburn & Simon French & D. Lindley & Giovanni Parmigiani & Robert Winkler, 1993, "Several Bayesians: A review," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, volume 2, issue 1, pages 1-32, December, DOI: 10.1007/BF02562668.

1990

  1. Pena, Daniel, 1990, "Influential Observations in Time Series," Journal of Business & Economic Statistics, American Statistical Association, volume 8, issue 2, pages 235-241, April.
  2. Antoni Espasa & Daniel Peña, 1990, "Los modelos Arima, el estado de equilibrio en variables económicas y su estimación," Investigaciones Economicas, Fundación SEPI, volume 14, issue 2, pages 191-211, May.

1987

  1. Daniel Peña, 1987, "Observaciones influyentes en modelos econométricos," Investigaciones Economicas, Fundación SEPI, volume 11, issue 1, pages 3-24, January.

1984

  1. Pena, Daniel & Ruiz-Castillo, Javier, 1984, "Robust Methods of Building Regression Models-An Application to the Housing Sector," Journal of Business & Economic Statistics, American Statistical Association, volume 2, issue 1, pages 10-20, January.
  2. Daniel Peña, 1984, "The Autocorrelation Function Of Seasonal Arma Models," Journal of Time Series Analysis, Wiley Blackwell, volume 5, issue 4, pages 269-272, July, DOI: 10.1111/j.1467-9892.1984.tb00392.x.
  3. Pena, Daniel & Ruiz-Castillo, Javier, 1984, "Distributional aspects of public rental housing and rent control policies in Spain," Journal of Urban Economics, Elsevier, volume 15, issue 3, pages 350-370, May.

1980

  1. DANIEL PEÑA & Professor JOSÉ SUMPSI, 1980, "The relationship between farm and retail prices in the Spanish broiler chicken industry: An application of the Box-Jenkins approach," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, volume 7, issue 3, pages 267-288.

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