Computational Statistics & Data Analysis

1983 - 2025

Current editor(s): S.P. Azen

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Volume 101, issue C, 2016

EM algorithm in Gaussian copula with missing data pp. 1-11

Wei Ding and Peter X.-K. Song

Symmetric adaptive smoothing regimens for estimation of the spatial relative risk function pp. 12-28

Tilman M. Davies, Khair Jones and Martin L. Hazelton

Inference and mixture modeling with the Elliptical Gamma Distribution pp. 29-43

Reshad Hosseini, Suvrit Sra, Lucas Theis and Matthias Bethge

Computation of the autocovariances for time series with multiple long-range persistencies pp. 44-56

Tucker McElroy and Scott H. Holan

Covariate-adjusted quantile inference with competing risks pp. 57-63

Minjung Lee and Junhee Han

Bayesian nonparametric multiple testing pp. 64-79

William Cipolli , Timothy Hanson and Alexander C. McLain

Change of spatiotemporal scale in dynamic models pp. 80-92

Yongku Kim and L. Mark Berliner

Dynamic GSCANO (Generalized Structured Canonical Correlation Analysis) with applications to the analysis of effective connectivity in functional neuroimaging data pp. 93-109

Lixing Zhou, Yoshio Takane and Heungsun Hwang

Prior selection for panel vector autoregressions pp. 110-120

Dimitris Korobilis

A Bayesian method for simultaneous registration and clustering of functional observations pp. 121-136

Zizhen Wu and David B. Hitchcock

Maximum likelihood estimation of the mixture of log-concave densities pp. 137-147

Hao Hu, Yichao Wu and Weixin Yao

A fast and objective multidimensional kernel density estimation method: fastKDE pp. 148-160

O’Brien, Travis A., Karthik Kashinath, Nicholas R. Cavanaugh, William D. Collins and O’Brien, John P.

Multivariate frailty models for multi-type recurrent event data and its application to cancer prevention trial pp. 161-173

Khaled Bedair, Yili Hong, Jie Li and Hussein R. Al-Khalidi

Using link-preserving imputation for logistic partially linear models with missing covariates pp. 174-185

Qixuan Chen, Myunghee Cho Paik, Minjin Kim and Cuiling Wang

Structure learning in Bayesian Networks using regular vines pp. 186-208

Ingrid Hobæk Haff, Kjersti Aas, Arnoldo Frigessi and Virginia Lacal

Robust closed-form estimators for the integer-valued GARCH (1,1) model pp. 209-225

Qi Li, Heng Lian and Fukang Zhu

Data Shared Lasso: A novel tool to discover uplift pp. 226-235

Samuel M. Gross and Robert Tibshirani

Random density functions with common atoms and pairwise dependence pp. 236-249

Spyridon J. Hatjispyros, Theodoros Nicoleris and Stephen G. Walker

Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise pp. 250-276

Namgil Lee, Hyemi Choi and Sung-Ho Kim

High resolution simulation of nonstationary Gaussian random fields pp. 277-288

William Kleiber

l1 regularized multiplicative iterative path algorithm for non-negative generalized linear models pp. 289-299

B.N. Mandal and Jun Ma

Accurate pairwise convolutions of non-negative vectors via FFT pp. 300-315

Huon Wilson and Uri Keich

Volume 100, issue C, 2016

Spectral approach to parameter-free unit root testing pp. 4-16

Natalia Bailey and Liudas Giraitis

Estimation and empirical performance of non-scalar dynamic conditional correlation models pp. 17-36

Luc Bauwens, Lyudmila Grigoryeva and Juan-Pablo Ortega

Efficient Gibbs sampling for Markov switching GARCH models pp. 37-57

Monica Billio, Roberto Casarin and Ayokunle Osuntuyi

Semiparametric score driven volatility models pp. 58-69

Francisco Blasques, Jiangyu Ji and Andre Lucas

Bayesian nonparametric forecasting for INAR models pp. 70-78

Luisa Bisaglia and Antonio Canale

Predicting the yield curve using forecast combinations pp. 79-98

João F. Caldeira, Guilherme Moura and Andre Santos

On selection of statistics for approximate Bayesian computing (or the method of simulated moments) pp. 99-114

Michael Creel and Dennis Kristensen

State space modeling of Gegenbauer processes with long memory pp. 115-130

G.S. Dissanayake, M.S. Peiris and Tommaso Proietti

Managing risk with a realized copula parameter pp. 131-152

Matthias Fengler and Ostap Okhrin

Skewness and kurtosis of multivariate Markov-switching processes pp. 153-159

Gabriele Fiorentini, Christophe Planas and Alessandro Rossi

A simple test for a bubble based on growth and acceleration pp. 160-169

Philip Hans Franses

The uncertainty of conditional returns, volatilities and correlations in DCC models pp. 170-185

Diego E. Fresoli and Esther Ruiz

The ability to correct the bias in the stable AD(1,1) model with a feedback effect pp. 186-204

Noud Giersbergen

On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families pp. 205-220

Emanuele Giorgi and Alexander J. McNeil

Revisiting useful approaches to data-rich macroeconomic forecasting pp. 221-239

Jan Groen and George Kapetanios

Improved GMM estimation of panel VAR models pp. 240-264

Kazuhiko Hayakawa

On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions pp. 265-303

Kazuhiko Hayakawa and Shuichi Nagata

On conditional covariance modelling: An approach using state space models pp. 304-317

R. Hendrych and T. Cipra

Testing for the number of states in hidden Markov models pp. 318-330

Hajo Holzmann and Florian Schwaiger

Matrix exponential stochastic volatility with cross leverage pp. 331-350

Tsunehiro Ishihara, Yasuhiro Omori and Manabu Asai

Asymmetry in tail dependence in equity portfolios pp. 351-368

Eric Jondeau

Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods pp. 369-382

George Kapetanios, Massimiliano Marcellino and Fotis Papailias

Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach pp. 383-400

Sébastien Laurent, Christelle Lecourt and Franz Palm

Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects pp. 401-423

Rui Li, Alan T.K. Wan and Jinhong You

Generalized nonparametric smoothing with mixed discrete and continuous data pp. 424-444

Degui Li, Leopold Simar and Valentin Zelenyuk

Horizon effect in the term structure of long-run risk-return trade-offs pp. 445-466

Cédric Okou and Éric Jacquier

Bootstrap prediction intervals for Markov processes pp. 467-494

Li Pan and Dimitris N. Politis

The Fisher effect in the presence of time-varying coefficients pp. 495-511

Ekaterini Panopoulou and Theologos Pantelidis

A simple and successful shrinkage method for weighting estimators of treatment effects pp. 512-525

Winfried Pohlmeier, Ruben Seiberlich and Selver Uysal

Neighbourhood GMM estimation of dynamic panel data models pp. 526-544

Vasilis Sarafidis

Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness pp. 545-559

Laura Spierdijk

The Split-SV model pp. 560-581

Vladica S. Stojanović, Biljana Č. Popović and Gradimir V. Milovanović

Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown pp. 582-594

Genaro Sucarrat, Steffen Grønneberg and Alvaro Escribano

Linking Tukey’s legacy to financial risk measurement pp. 595-615

Chu-Ping C. Vijverberg, Wim Vijverberg and Suleyman Taspinar

Bayesian model selection for unit root testing with multiple structural breaks pp. 616-630

Alexander Vosseler

The exact Gaussian likelihood estimation of time-dependent VARMA models pp. 633-644

Abdelkamel Alj, Kristján Jónasson and Guy Mélard

A bootstrap approximation for the distribution of the Local Whittle estimator pp. 645-660

Josu Arteche and Jesus Orbe

Real-time factor model forecasting and the effects of instability pp. 661-675

Michael Clements

Adaptive bandwidth selection in the long run covariance estimator of functional time series pp. 676-693

Lajos Horvath, Gregory Rice and Stephen Whipple

Interval-valued time series models: Estimation based on order statistics exploring the Agriculture Marketing Service data pp. 694-711

Wei Lin and Gloria Gonzalez-Rivera

Moment Ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors pp. 712-733

J. Huston McCulloch

Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models pp. 734-762

Garry D.A. Phillips and Gareth Liu-Evans

A Gini-based unit root test pp. 763-772

Amit Shelef

Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR–ARCH type processes pp. 773-793

Florian Ziel

Dynamic equicorrelation stochastic volatility pp. 795-813

Yuta Kurose and Yasuhiro Omori

A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection pp. 814-829

Audrone Virbickaite, M. Concepción Ausín and Pedro Galeano

Income inequality decomposition using a finite mixture of log-normal distributions: A Bayesian approach pp. 830-846

Michel Lubrano and Abdoul Aziz Junior Ndoye

Fast computation of the deviance information criterion for latent variable models pp. 847-859

Joshua Chan and Angelia Grant