Search Results - subject:"Serial dependence"

Estimation and inference for the persistence of extremely high temperatures

Cai, Juan Juan; Lin, Yicong; Schaumburg, Julia; Wang, … - 2026

We propose a nonparametric framework for estimating the extremal index that captures the persistence of extreme observations. The framework provides unified and simple procedures for verifying the well-known local dependence condition D(ᵈ) (un), which characterizes the extremal index yet is...

Persistent link: https://www.econbiz.de/10015619227

Serial dependence robust bootstrap test for cross-sectional correlation

Hounyo, Ulrich; Kao, Chihwa; Kim, Min Seong - In: The econometrics journal 28 (2025) 3, pp. 442-461

Persistent link: https://www.econbiz.de/10015459770

Estimation and inference for the persistence of extremely high temperatures

Cai, Juan Juan; Lin, Yicong; Schaumburg, Julia; Wang, … - 2026

Persistent link: https://www.econbiz.de/10015567815

Getting the ROC into sync

Yang, Liu; Lahiri, Kajal; Pagan, Adrian R. - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 109-121

Persistent link: https://www.econbiz.de/10014449838

Weighted discrete ARMA models for categorical time series

Weiß, Christian H.; Swidan, Osama - In: Journal of Time Series Analysis 46 (2024) 3, pp. 505-529

A new and flexible class of ARMA‐like (autoregressive moving average) models for nominal or ordinal time series is proposed, which are characterized by using so‐called weighting operators and are, thus, referred to as weighted discrete ARMA (WDARMA) models. By choosing an appropriate type of...

Persistent link: https://www.econbiz.de/10015410795

Measures of dispersion and serial dependence in categorical time series

Weiß, Christian - In: Econometrics : open access journal 7 (2019) 2/17, pp. 1-23

extropy measure can be used for this purpose. Regarding signed serial dependence in categorical time series, we consider three …The analysis and modeling of categorical time series requires quantifying the extent of dispersion and serial … dependence. The dispersion of categorical data is commonly measured by Gini index or entropy, but also the recently proposed …

Persistent link: https://www.econbiz.de/10012025820

A ReMeDI for microstructure noise

Li, Z. Merrick; Linton, Oliver - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 1, pp. 367-389

Persistent link: https://www.econbiz.de/10012821689

Bootstrapping trending timevarying coefficient panel models with missing observations

Lin, Yicong; Sluis, Bernhard van der; Friedrich, Marina - 2023

-sectional and serial dependence, as well as heteroskedasticity. Our models also allow for missing observations in the dependent …

Persistent link: https://www.econbiz.de/10014442008

Fat tails, serial dependence, and implied volatility index connections

Ellington, Michael - In: European journal of operational research : EJOR 299 (2022) 2, pp. 768-779

Persistent link: https://www.econbiz.de/10013207169

Bootstrapping trending timevarying coefficient panel models with missing observations

Lin, Yicong; van der Sluis, Bernhard; Friedrich, Marina - 2023

-sectional and serial dependence, as well as heteroskedasticity. Our models also allow for missing observations in the dependent …

Persistent link: https://www.econbiz.de/10014469349

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