Computational Statistics & Data Analysis

1983 - 2025

Current editor(s): S.P. Azen

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Volume 77, issue C, 2014

Joint inference about sensitivity and specificity at the optimal cut-off point associated with Youden index pp. 1-13

Jingjing Yin and Lili Tian

Exact sequential test of equivalence hypothesis based on bivariate non-central t-statistics pp. 14-24

Fang Liu and Qing Li

Fast approximate L∞ minimization: Speeding up robust regression pp. 25-37

Fumin Shen, Chunhua Shen, Rhys Hill, Anton van den Hengel and Zhenmin Tang

A comparison of simulated annealing algorithms for variable selection in principal component analysis and discriminant analysis pp. 38-53

Michael J. Brusco

On the use of marginal posteriors in marginal likelihood estimation via importance sampling pp. 54-69

Konstantinos Perrakis, Ioannis Ntzoufras and Mike Tsionas

GEE for longitudinal ordinal data: Comparing R-geepack, R-multgee, R-repolr, SAS-GENMOD, SPSS-GENLIN pp. 70-83

Nazanin Nooraee, Geert Molenberghs and Edwin R. van den Heuvel

A Bayesian mixture of lasso regressions with t-errors pp. 84-97

Alberto Cozzini, Ajay Jasra, Giovanni Montana and Adam Persing

Multivariate distributions with proportional reversed hazard marginals pp. 98-112

Debasis Kundu, Manuel Franco and Juana-Maria Vivo

Semiparametric Bayesian joint models of multivariate longitudinal and survival data pp. 113-129

Nian-Sheng Tang, An-Min Tang and Dong-Dong Pan

Strong consistency and rates of convergence for a random estimator of a fuzzy set pp. 130-145

Pedro Terán and Miguel López-Díaz

Variable assessment in latent class models pp. 146-156

Q. Zhang and E.H. Ip

Sample size determination for estimating prevalence and a difference between two prevalences of sensitive attributes using the non-randomized triangular design pp. 157-169

Shi-Fang Qiu, G.Y. Zou and Man-Lai Tang

Partially linear modeling of conditional quantiles using penalized splines pp. 170-187

Chaojiang Wu and Yan Yu

Statistical inference for population quantiles and variance in judgment post-stratified samples pp. 188-205

Omer Ozturk

Semi-parametric estimation of Brown–Proschan preventive maintenance effects and intrinsic wear-out pp. 206-222

Luc Doyen

Screening active factors in supersaturated designs pp. 223-232

Ujjwal Das, Sudhir Gupta and Shuva Gupta

Parsimonious parameterization of correlation matrices using truncated vines and factor analysis pp. 233-251

Eike C. Brechmann and Harry Joe

Discovering and orienting the edges connected to a target variable in a DAG via a sequential local learning approach pp. 252-266

Changzhang Wang, You Zhou, Qiang Zhao and Zhi Geng

Compound Poisson INAR(1) processes: Stochastic properties and testing for overdispersion pp. 267-284

Sebastian Schweer and Christian H. Weiß

A new sliced inverse regression method for multivariate response pp. 285-299

R. Coudret, S. Girard and J. Saracco

Making classifier performance comparisons when ROC curves intersect pp. 300-312

Chiara Gigliarano, Silvia Figini and Pietro Muliere

Nonparametric additive model with grouped lasso and maximizing area under the ROC curve pp. 313-325

Sungwoo Choi and Junyong Park

Mixtures of skew-t factor analyzers pp. 326-335

Paula M. Murray, Ryan P. Browne and Paul D. McNicholas

Monotone splines lasso pp. 336-351

Linn Cecilie Bergersen, Kukatharmini Tharmaratnam and Ingrid K. Glad

Adaptive likelihood ratio approaches for the detection of space–time disease clusters pp. 352-370

Max Sousa de Lima and Luiz Henrique Duczmal

Asymmetric ν-tube support vector regression pp. 371-382

Xiaolin Huang, Lei Shi, Kristiaan Pelckmans and Johan A.K. Suykens

Volume 76, issue C, 2014

The univariate MT-STAR model and a new linearity and unit root test procedure pp. 4-19

Peter Martey Addo, Monica Billio and Dominique Guégan

Sovereign credit ratings, market volatility, and financial gains pp. 20-33

Antonio Afonso, Pedro Gomes and Abderrahim Taamouti

Maximum likelihood estimates for positive valued dynamic score models; The DySco package pp. 34-42

Philipp Andres

Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks pp. 43-60

Francesco Audrino

Maximum likelihood estimation of the Markov-switching GARCH model pp. 61-75

Maciej Augustyniak

Modeling tails of aggregate economic processes in a stochastic growth model pp. 76-94

Stéphane Auray, Aurélien Eyquem and Frédéric Jouneau-Sion

Parameter cascading for panel models with unknown number of unobserved factors: An application to the credit spread puzzle pp. 95-115

Oualid Bada and Alois Kneip

Modified information criteria and selection of long memory time series models pp. 116-131

Richard T. Baillie, George Kapetanios and Fotis Papailias

On the usefulness of cross-validation for directional forecast evaluation pp. 132-143

Christoph Bergmeir, Mauro Costantini and José M. Benítez

Long memory with stochastic variance model: A recursive analysis for US inflation pp. 144-157

Charles Bos, Siem Jan Koopman and Marius Ooms

Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood pp. 158-171

Giorgio Calzolari, Roxana Halbleib and Alessandro Parrini

Robust ranking of multivariate GARCH models by problem dimension pp. 172-185

Massimiliano Caporin and Michael McAleer

Modelling breaks and clusters in the steady states of macroeconomic variables pp. 186-193

Joshua Chan and Gary Koop

Bayesian estimation of smoothly mixing time-varying parameter GARCH models pp. 194-209

Cathy W. S. Chen, Richard Gerlach and Edward Lin

Multivariate GARCH estimation via a Bregman-proximal trust-region method pp. 210-236

Stéphane Chrétien and Juan-Pablo Ortega

Numerical distribution functions for seasonal unit root tests pp. 237-247

Ignacio Díaz-Emparanza

Testing for serial independence of panel errors pp. 248-261

Zaichao Du

Multiple break detection in the correlation structure of random variables pp. 262-282

Pedro Galeano and Dominik Wied

Interest rate spreads and output: A time scale decomposition analysis using wavelets pp. 283-290

Marco Gallegati, James B. Ramsey and Willi Semmler

Comparison of specification tests for GARCH models pp. 291-300

Kilani Ghoudi and Bruno Rémillard

When long memory meets the Kalman filter: A comparative study pp. 301-319

Stefano Grassi and Paolo Santucci de Magistris

EGARCH models with fat tails, skewness and leverage pp. 320-338

Andrew Harvey and Genaro Sucarrat

Infinite-order, long-memory heterogeneous autoregressive models pp. 339-358

Eunju Hwang and Dong Wan Shin

Estimation of risk measures in energy portfolios using modern copula techniques pp. 359-376

Stefan Jäschke

Panel cointegration testing in the presence of a time trend pp. 377-390

Deniz Karaman Örsal and Bernd Droge

Testing for unit roots in short panels allowing for a structural break pp. 391-407

Yiannis Karavias and Elias Tzavalis

Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models pp. 408-423

Gregor Kastner and Sylvia Frühwirth-Schnatter

Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models pp. 424-448

Jan Kiviet and Garry D.A. Phillips

Efficient importance sampling in mixture frameworks pp. 449-463

Tore Kleppe and Roman Liesenfeld

The indirect continuous-GMM estimation pp. 464-488

Rachidi Kotchoni

A likelihood ratio type test for invertibility in moving average processes pp. 489-501

Rolf Larsson

Testing for persistence change in fractionally integrated models: An application to world inflation rates pp. 502-522

Luis Martins and Paulo Rodrigues

SCOMDY models based on pair-copula constructions with application to exchange rates pp. 523-535

Aleksey Min and Claudia Czado

Forecasting with a noncausal VAR model pp. 536-555

Henri Nyberg and Pentti Saikkonen

Variance clustering improved dynamic conditional correlation MGARCH estimators pp. 556-576

Gian Piero Aielli and Massimiliano Caporin

A joint test for structural stability and a unit root in autoregressions pp. 577-587

Jean-Yves Pitarakis

Bayesian option pricing using mixed normal heteroskedasticity models pp. 588-605

Jeroen V.K. Rombouts and Lars Stentoft

Dynamic factor multivariate GARCH model pp. 606-617

Andre Santos and Guilherme Moura

Realized stochastic volatility with leverage and long memory pp. 618-641

Shinichiro Shirota, Takayuki Hizu and Yasuhiro Omori

A flexible and automated likelihood based framework for inference in stochastic volatility models pp. 642-654

Hans J. Skaug and Jun Yu

Vine-copula GARCH model with dynamic conditional dependence pp. 655-671

Mike K.P. So and Cherry Y.T. Yeung

Regime switches in the dependence structure of multidimensional financial data pp. 672-686

Jakob Stöber and Claudia Czado

Extended stochastic volatility models incorporating realised measures pp. 687-707

J.H. Venter and P.J. de Jongh

Optimal design of Fourier estimator in the presence of microstructure noise pp. 708-722

Fangfang Wang

A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution pp. 723-736

Dominik Wied, Herold Dehling, Maarten van Kampen and Daniel Vogel

Solving norm constrained portfolio optimization via coordinate-wise descent algorithms pp. 737-759

Yu-Min Yen and Tso-Jung Yen