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Non-parametric seasonal unit root tests under periodic non-stationary volatility
This paper presents a new non-parametric seasonal unit root testing framework that is robust to periodic non-stationary volatility in innovation...
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Improved interexceedance-times-based estimator of the extremal index using truncated distribution
The extremal index is an important parameter in the characterization of extreme values of a stationary sequence. This paper presents a novel approach...
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AR Models with Stationary Non-Gaussian Positive Marginals
The Markov sequences of non-negative random variables play important role in modelling the time to events and time series. This chapter provides a...
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Asymptotics for function derivatives estimators based on stationary and ergodic discrete time processes
The main purpose of the present work is to investigate kernel-type estimate of a class of function derivatives including parameters such as the...
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Extreme Values of Non-stationary Time Series
This chapter considers the problem of quantifying extreme natural hazards in non-stationary situations, namely outside the traditional framework. For...
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Barely-stationary AR(1) sequences near random walk
This article investigates a sequence of barely-stationary AR(1) processes near unit root time series, or random walk (RW). Autoregressive coefficient...
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Randomly Censored Kumaraswamy Distribution
In this paper, inferential procedures based on classical and Bayesian framework for the Kumaraswamy distribution under random censoring model are...
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Stationary Processes and Their Information Rate
This chapter briefly introduces the necessary concepts from the theory of stochastic processes (see for example Lamperti 1977; Doob 1953) that are...
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Modeling Long Term Return Distribution and Nonparametric Market Risk Estimation
The log-return of an asset is the change in the asset price, measured in natural logarithmic scale, over a certain time period. We introduce a...
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Fourth moment bound and stationary Gaussian processes with positive correlation
We develop a new technique for the proof of the fourth moment theorem on Wiener chaos to derive the bound in normal approximation of a random...
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Multidimensional specification test based on non-stationary time series
In the literature, most works of the specification tests focus on the problem with one-dimensional response or fixed multidimensional responses. In...
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Stochastic Model of Conditional Non-stationary Time Series of the Wind Chill Index in West Siberia
In this paper, we propose a stochastic model of the conditional time series of the wind chill index. The model is based on the inverse distribution...
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Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates
In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the...
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Whittle estimation for continuous-time stationary state space models with finite second moments
We consider Whittle estimation for the parameters of a stationary solution of a continuous-time linear state space model sampled at low frequencies....
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Environmental Effects on the Spatiotemporal Variability of Sardine Distribution Along the Portuguese Continental Coast
Scientific tools capable of identifying distribution patterns of species are important as they contribute to improve knowledge about biodiversity and...
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On Some Smooth Estimators of the Quantile Function for a Stationary Associated Process
Let { X n , n ≥ 1} be a sequence of stationary non-negative associated random variables with common marginal distribution function F ( x ) and quantile...
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On a Generalization of Gompertz Distribution and its Applications
Gompertz distribution was proposed by Gompertz in 1825 and he showed that age specific mortality rates increase exponentially with age over much of...
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A weighted composite log-likelihood approach to parametric estimation of the extreme quantiles of a distribution
Extreme value theory motivates estimating extreme upper quantiles of a distribution by selecting some threshold, discarding those observations below...
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On Classical and Bayesian Reliability of Systems Using Bivariate Generalized Geometric Distribution
The study of system safety and reliability has always been vital for the quality and manufacturing engineers of varying fields for which generally...
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Bootstrap** regression models with locally stationary disturbances
A linear regression model with errors following a time-varying process is considered. In this class of models, the smoothness condition both in the...
