Papers
- Statistical inference for Stochastic
Coefficient Regression models (2011). Handbook of Statistics, vol 30.
Abstract and
Paper.
- A test for second order stationarity based on the
discrete Fourier transform (with Yogesh Dwivedi)
(2011) Journal of Time Series Analysis (32), pages 68 -- 91 .
Abstract,
paper and
technical report.
-
On mixing properties of ARCH and time-varying ARCH processes,
(with Piotr Fryzlewicz) (2011) Bernoulli (17), pages 320 -- 346.
Abstract,
(old version) Paper and
Technical Report.
- Nonparametric estimation for dependent data
(with Jan Johannes) (2009) To appear in Journal of Nonparametric Statistics
Abstract and
Paper.
- Statistical analysis of a spatio-temporal model
with location dependent parameters and a test for
spatial stationarity (2008)
Journal of Time Series Analysis (29) pages 673 -- 694.
Abstract and
Paper
- Normalised least
squares estimation in time-varying ARCH models (with Piotr
Fryzlewicz and Theofanis Sapatinas) (2008) Annals of
Statistics 36) pages 742--786
Abstract,
paper and the accompanying
technical report
- A note on uniform convergence of an ARCH(infinity) estimator
(2006) Sankhya (68) pages 600--620.
Abstract
and Paper
- A recursive online
algorithm for the estimation of time-varying ARCH parameters (with
Rainer Dahlhaus) (2007) Bernoulli (13) pages 389--422
Abstract. Here is the
short version of the paper and
this is the accompanying
technical report.
- Statistical analysis and time series models
for minimum/maximum temperatures in the Antarctic Peninsula
(with Gillian Hughes and Tata Subba Rao)
(2007) Proceedings of the Royal Society A. (463) pages 241--259.
Abstract and
Paper
- On some nonstationary, nonlinear random processes and their
stationary approximations (2006) Advances
in Applied Probability (38) pages 1155--1172
Abstract,
Here is the short version
of the paper and
this is the accompanying
technical report.
- Haar-Fisz technique for locally stationary volatility estimation
(with Piotr Fryzlewicz and Theofanis Sapatinas) (2006)
Biometrika (93) pages 687--704,
Abstract and
Paper
- Statistical Inference for time-varying ARCH processes. (with Rainer
Dahlhaus) (2006) Annals of Statistics (34) pages 1074--1114
Abstract and
Paper.
- On multiple regression models with nonstationary correlated errors
(2004) Biometrika (91) pages 645--659
Abstract and
Paper
Preprints
- The quantile spectral density and comparison based tests for
nonlinear time series (with Junbum Lee) (2012). Submitted.
Abstract and
Paper.
- A note on general quadratic forms
of nonstationary time series (with Junbum Lee) (2011). Submitted.
Abstract and
Paper.
-
BaSTA: consistent multiscale multiple change-point detection
for piecewise-stationary (with Piotr Fryzlewicz) (2009). Submitted.
Abstract and
Paper.
- Nonparametric prediction of nonstationary spatio-temporal processes
(with Jan Johannes) (2006) Submitted (Completely revised version).
Abstract
and Paper. Here is the
house price data set used in the paper.
If you would like a copy of a paper or have any questions please feel free
to contact me.
Some journals: