Bootstrapping spectral statistics in high dimensions.
Preprint (with M. Lopes and Andrew Blandino).
Testing for stationarity of functional time series in the frequency domain.
Preprint (with A. van Delft).
Estimating functional time series by moving average process fitting.
Preprint (with J. Klepsch).
An adaptable generalization of Hotelling's $T^2$ in high dimensions.
Preprint (with H. Li, D. Paul, J. Peng and P. Wang).
Estimation of prediction error in time series.
Preprint (with P. Burman).
Detecting and dating structural breaks in functional data without dimension reduction.
Journal of the Royal Statistical Society, Series B
, to appear (with G. Rice and O. Sönmez).
Consistent estimation for partition-wise regression and classification models.
IEEE Transactions on Signal Processing 65
(with R.C.Y. Cheung and T.C.M. Lee).
Spectral analysis of sample autocovariance matrices for a class of linear time series in moderately high dimensions.
(with L. Wang and D. Paul).
Functional generalized autoregressive conditional heteroskedasticity.
Journal of Time Series Analysis 38
(with L. Horváth and D. Pellatt).
Piecewise quantile autoregressive modeling for non-stationary time series.
(with R. Cheung, T.C.M. Lee and M. Zhong). [Preprint]
Exploratory analysis and modeling of stock return data.
Journal of Computational and Graphical Statistics 25 (2016), 363-381.
(with K. Noguchi and P. Burman).
On the prediction of stationary functional time series.
Journal of the American Statistical Association 110 (2015), 378-392.
(with D. Dubart Norinho and S. Hörmann).
Reaction times of monitoring schemes for ARMA time series.
Bernoulli 21 (2015), 1238-1259.
(with C. Dienes, S. Fremdt and J. Steinebach).
The Marcenko-Pastur law for linear time series.
The Annals of Statistics 43 (2015), 675-712
(with H. Liu and D. Paul).
Automatic estimation of flux distributions of astrophysical source populations.
The Annals of Applied Statistics 8 (2014), 1690-1712
(with R.K.W. Wong, P. Baines, T.C.M. Lee and V.L. Kashyap).
Segmented model selection in quantile regression using the minimum description length principle.
Journal of the American Statistical Association 109 (2014), 1241-1256.
(with R. Cheung, T.C.M. Lee and M. Zhong).
Dependent functional linear models with applications to monitoring structural change.
Statistica Sinica 24 (2014), 1043-1073
(with S. Hörmann, S., L. Horváth and M. Hušková).
Limit laws in transaction-level asset price models.
Econometric Theory 30 (2014), 536-579
(with L. Horváth, C. Hurvich and P. Soulier).
Random matrix theory in statistics: a review.
Journal of Statistical Planning and Inference 150 (2014), 1-29
(with D. Paul).
On-line monitoring of pollution concentrations with autoregressive moving average times series.
Journal of Time Series Analysis 35 (2014), 239-261
(with C. Dienes).
Structural breaks in time series.
Journal of Time Series Analysis 34 (2013), 1-16
(with L. Horváth).
Sequential testing for the stability of high frequency portfolio betas.
Econometric Theory 28 (2012), 804-837
(with S. Hörmann, L. Horváth, M. Hušková and J. Steinebach).
Segmenting mean-nonstationary time series via trending regressions.
Journal of Econometrics 168 (2012), 367-381
(with L. Horváth and M. Hušková).
On the reaction time of moving sum detectors.
Journal of Statistical Planning and Inference 142 (2012), 2271-2288
(with L. Horváth, M. Kühn and J. Steinebach).
Local bandwidth selection via second derivative segmentation.
Electronic Journal of Statistics, 6 (2012), 478-500
(with T.C.M. Lee and H. Wang).
On image segmentation using information theoretic criteria.
The Annals of Statistics 39 (2011), 2912-2935 (with T.C.M. Lee).
Fast scatterplot smoothing using blockwise least squares fitting.
In Nonparametric Statisical Methods and Related Topics (P.K. Bhattacharya Festschrift).
(Eds. Jiang, Roussas, Samaniego). World Scientific, Singapore (2011), pp. 299-314 (with T.C.M. Lee).
Mean shift testing in correlated data.
Journal of Time Series Analysis 32 (2011), 498-511 (with M. Robbins, C. Gallagher and R. Lund).
Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients.
Statistica Sinica 21 (2011), 973-999 (with L. Horváth).
Statistically consistent image segmentation.
Proceedings of the 2010 IEEE 17th International Conference on Image Processing (2010), 2229-2232 (with T.C.M. Lee).
Break detection in the covariance structure of multivariate time series models.
The Annals of Statistics 37 (2009), 4046-4087 (with S. Hörmann, L. Horváth and M. Reimherr).
Estimation of a change-point in the mean function of functional data.
Journal of Multivariate Analysis 100 (2009), 2254-2269 (with R. Gabrys, L. Horváth and P. Kokoszka).
Delay times of sequential procedures for multiple time series regression models.
Journal of Econometrics 149 (2009), 174-190 (with L. Horváth and M.L. Reimherr).
On distinguishing between random walk and change in the mean alternatives.
Econometric Theory 25 (2009), 411-441 (with L. Horváth, M. Hušková and S. Ling).
Extreme value theory for stochastic integrals of Legendre polynomials.
Journal of Multivariate Analysis 100 (2009), 1029-1043 (with L. Horváth and M. Hušková).
Monitoring shifts in mean: Asymptotic normality of stopping times.
Test 17 (2008), 515-530 (with L. Horváth, P. Kokoszka and J. Steinebach).
Near-integrated random coefficient autoregressive time series.
Econometric Theory 24 (2008), 1343-1372.
Testing for changes in polynomial regression.
Bernoulli 14 (2008), 637-660 (with L. Horváth, M. Hušková and P. Kokoszka).
Extreme value distribution of a recursive-type detector in a linear model.
Extremes 11 (2008), 135-166 (with M. Kühn).
Selection from a stable box.
Bernoulli 14 (2008), 125-139 (with I. Berkes and L. Horváth).
A note on the existence of solutions to a stochastic recurrence equation.
Acta Scientiarum Mathematicarum 73 (2007), 831-843 (with I. Berkes and L. Horváth).
Rescaled range analysis in the presence of stochastic trend.
Statistics & Probability Letters 77 (2007), 1165-1175 (with L. Horváth and J. Steinebach).
A limit theorem for mildly explosive autoregression with stable errors.
Econometric Theory 23 (2007), 201-220 (with L. Horváth).
Discriminating between level shifts and random walks: A delay time approach.
In: Conference Proceedings, Prague Stochastics 2006, 73-80
(with L. Horváth and Zs. Horváth).
Change-point monitoring in linear models.
Econometrics Journal 9 (2006), 373-403 (with L. Horváth, M. Hušková and P. Kokoszka).
Strong approximation for the sums of squares of augmented GARCH sequences.
Bernoulli 12 (2006), 583-608 (with I. Berkes and L. Horváth).
Testing for parameter stability in RCA(1) time series.
Journal of Statistical Planning and Inference 136 (2006), 3070-3089.
Estimation in random coefficient autoregressive models.
Journal of Time Series Analysis 27 (2006), 61-76 (with L. Horváth and J. Steinebach).
In: Encyclopedia of Actuarial Science, Vol. 3,
Wiley, Chichester (2004), 1593-1596.
Strong approximation for RCA(1) time series with applications.
Statistics & Probability Letters 68 (2004), 369-382.
Delay time in sequential detection of change.
Statistics & Probability Letters 67 (2004), 221-231 (with L. Horváth).
Approximations for the maximum of a vector-valued stochastic process with drift.
Periodica Mathematica Hungarica 47 (2003), 1-15 (with L. Horváth).
A note on estimating the change-point of a gradually changing stochastic process.
Statistics & Probability Letters 56 (2002), 177-191 (with J. Steinebach).