Statistics and Its Interface

Volume 16 (2023)

Number 1

Special issue on recent developments in complex time series analysis – Part I

Guest editors: Robert T. Krafty (Emory Univ.), Guodong Li (Univ. of Hong Kong), Anatoly Zhigljavsky (Cardiff Univ.)

Contents

Editorial: Special issue on recent developments in complex time series analysis – Part I

pp. 1-2

On dual-asymmetry linear double AR models

Songhua Tan and Qianqian Zhu

pp. 3-16

Generalized Gaussian time series model for increments of EEG data

Nikolai N. Leonenko, Zeljka Salinger, Alla Sikorskii, Nenad Suvak, and Michael Boivin

pp. 17-29

Forecasting industrial production indices with a new singular spectrum analysis forecasting algorithm

Sofia Borodich Suarez, Saeed Heravi, and Andrey Pepelyshev

pp. 31-42

Testing threshold effect in single-index models

Zhaoxing Gao, Zichuan Mi, and Shiqing Ling

pp. 43-56

Analyses of the impact of country specific macro risk variables on gold futures contract and its position as an asset class: evidence from India

Rupel Nargunam, William W. S. Wei, and N. Anuradha

pp. 57-67

Hierarchical dynamic PARCOR models for analysis of multiple brain signals

Wenjie Zhao and Raquel Prado

pp. 69-79

Robust conditional spectral analysis of replicated time series

Zeda Li

pp. 81-96

AutoSpec: detection of narrowband frequency changes in time series

David S. Stoffer

pp. 97-108

Study of automatic choice of parameters for forecasting in singular spectrum analysis

Safia Al Marhoobi and Andrey Pepelyshev

pp. 109-116

Low-rank signal subspace: parameterization, projection and signal estimation

Nikita Zvonarev and Nina Golyandina

pp. 117-132

The elliptical Ornstein–Uhlenbeck process

Adam Sykulski, Sofia Olhede, and Hanna Sykulska-Lawrence

pp. 133-146

Detection of signals by Monte Carlo singular spectrum analysis: multiple testing

Nina Golyandina

pp. 147-157