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62M10 Time series, auto-correlation, regression, etc. (129 articles)

• Aliat, Billel; Hamdi, Fayçal: Probabilistic properties of a Markov-switching periodic $GARCH$ process. (English). Kybernetika, vol. 55 (2019), issue 6, pp. 915-942
• Prášková, Zuzana: Change point detection in vector autoregression. (English). Kybernetika, vol. 54 (2018), issue 6, pp. 1122-1137
• Bibi, Abdelouahab; Ghezal, Ahmed: QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations. (English). Kybernetika, vol. 54 (2018), issue 2, pp. 375-399
• Cipra, Tomáš; Hendrych, Radek: Robust recursive estimation of GARCH models. (English). Kybernetika, vol. 54 (2018), issue 6, pp. 1138-1155
• McAleer, Michael: Stationarity and invertibility of a dynamic correlation matrix. (English). Kybernetika, vol. 54 (2018), issue 2, pp. 363-374
• Bakouch, Hassan S.; Mohammadpour, Mehrnaz; Shirozhan, Masumeh: A zero-inflated geometric INAR(1) process with random coefficient. (English). Applications of Mathematics, vol. 63 (2018), issue 1, pp. 79-105
• Lachout, Petr: On random processes as an implicit solution of equations. (English). Kybernetika, vol. 53 (2017), issue 6, pp. 985-991
• Bejda, Přemysl; Cipra, Tomáš: Exponential smoothing based on L-estimation. (English). Kybernetika, vol. 51 (2015), issue 6, pp. 973-993
• Morvai, Gusztáv; Weiss, Benjamin: Inferring the residual waiting time for binary stationary time series. (English). Kybernetika, vol. 50 (2014), issue 6, pp. 869-882
• Gadiyar, H. Gopalakrishna; Padma, Ramanathan: Ramanujan-Fourier series and the conjecture D of Hardy and Littlewood. (English). Czechoslovak Mathematical Journal, vol. 64 (2014), issue 1, pp. 251-267
• Hanzák, Tomáš: Holt-Winters method with general seasonality. (English). Kybernetika, vol. 48 (2012), issue 1, pp. 1-15
• Hanzák, Tomáš; Cipra, Tomáš: Exponential smoothing for time series with outliers. (English). Kybernetika, vol. 47 (2011), issue 2, pp. 165-178
• Prášková, Zuzana; Vaněček, Pavel: On a class of estimators in a multivariate RCA(1) model. (English). Kybernetika, vol. 47 (2011), issue 4, pp. 501-518
• Zichová, Jitka: Some applications of time series models to financial data. (English). Acta Universitatis Carolinae. Mathematica et Physica, vol. 52 (2011), issue 1, pp. 93-102
• Jarešová, Lucia: EWMA historical volatility estimators. (English). Acta Universitatis Carolinae. Mathematica et Physica, vol. 51 (2010), issue 2, pp. 17-28
• Došlá, Šárka; Anděl, Jiří: Weakly stationary processes with non–positive autocorrelations. (English). Kybernetika, vol. 46 (2010), issue 1, pp. 114-124
• Croux, Christophe; Gelper, Sarah; Fried, Roland: Computational aspects of robust Holt-Winters smoothing based on $M$-estimation. (English). Applications of Mathematics, vol. 53 (2008), issue 3, pp. 163-176
• Cai, Wei-Dong; Qin, Yi-Qing; Yang, Bing-Ru: Determination of phase-space reconstruction parameters of chaotic time series. (English). Kybernetika, vol. 44 (2008), issue 4, pp. 557-570
• Čížek, Pavel: Efficient robust estimation of time-series regression models. (English). Applications of Mathematics, vol. 53 (2008), issue 3, pp. 267-279
• Cipra, Tomáš; Hanzák, Tomáš: Exponential smoothing for irregular time series. (English). Kybernetika, vol. 44 (2008), issue 3, pp. 385-399
• Koul, Hira L.; Surgailis, Donatas: Testing a sub-hypothesis in linear regression models with long memory covariates and errors. (English). Applications of Mathematics, vol. 53 (2008), issue 3, pp. 235-248
• Pázman, Andrej: Criteria for optimal design of small-sample experiments with correlated observations. (English). Kybernetika, vol. 43 (2007), issue 4, pp. 453-462
• Orsáková, Martina: $M$-estimation in nonlinear regression for longitudinal data. (English). Kybernetika, vol. 43 (2007), issue 1, pp. 61-74
• Štulajter, František: MSE of the best linear predictor in nonorthogonal models. (English). Mathematica Slovaca, vol. 57 (2007), issue 1, pp. 83-91
• Bacigál, Tomáš: Multivariate smooth transition AR model with aggregation operators and application to exchange rates. (English). Kybernetika, vol. 43 (2007), issue 2, pp. 245-254
• Cipra, Tomáš: Exponential smoothing for irregular data. (English). Applications of Mathematics, vol. 51 (2006), issue 6, pp. 597-604
• Vaněček, Pavel: Rate of convergence for a class of RCA estimators. (English). Kybernetika, vol. 42 (2006), issue 6, pp. 699-709
• Marek, Tomáš: On invertibility of a random coefficient moving average model. (English). Kybernetika, vol. 41 (2005), issue 6, pp. [743]-756
• Anděl, Jiří; Ranocha, Pavel: Stationary distribution of absolute autoregression. (English). Kybernetika, vol. 41 (2005), issue 6, pp. [735]-742
• Ranocha, Pavel: Efficiency of some algorithms for prediction in finite stationary time series. (English). Kybernetika, vol. 40 (2004), issue 6, pp. [703]-714
• Zvára, Petr: On geometric ergodicity and prediction in nonnegative non-linear autoregressive processes. (English). Kybernetika, vol. 40 (2004), issue 6, pp. [691]-702
• Bognár, Tomáš; Komorník, Jozef; Komorníková, Magda: Regime-switching models of time series with cubic spline transition function in geodetic application. (English). Kybernetika, vol. 40 (2004), issue 1, pp. [143]-150
• Marhuenda, Marco A.; Marhuenda, Yolanda; Morales, Domingo: On the computation of the exact distribution of power divergence test statistics. (English). Kybernetika, vol. 39 (2003), issue 1, pp. [55]-74
• Šindelář, Jan; Knížek, Jiří: On unequally spaced AR(1) process. (English). Kybernetika, vol. 39 (2003), issue 1, pp. [13]-27
• Prášková, Zuzana: Wild bootstrap in RCA(1) model. (English). Kybernetika, vol. 39 (2003), issue 1, pp. [1]-12
• Jarušková, Daniela; Antoch, Jaromír: Detekce změn v časových řadách a její aplikace v ekologii. (Czech) [Detection of changes in time series and its application in ecology]. Pokroky matematiky, fyziky a astronomie, vol. 47 (2002), issue 4, pp. 307-323
• Allende, Héctor; Moraga, Claudio; Salas, Rodrigo: Artificial neural networks in time series forecasting: a comparative analysis. (English). Kybernetika, vol. 38 (2002), issue 6, pp. [685]-707
• Prášková, Zuzana: Bootstrap in nonstationary autoregression. (English). Kybernetika, vol. 38 (2002), issue 4, pp. [389]-404
• Janečková, Hana: Estimation of variances in a heteroscedastic RCA(1) model. (English). Kybernetika, vol. 38 (2002), issue 4, pp. [405]-424
• Janečková, Hana: Some generalizations in a heteroscedastic RCA (1) model. (English). Acta Universitatis Carolinae. Mathematica et Physica, vol. 43 (2002), issue 1, pp. 31-47
• Komorníková, Magda; Komorník, Jozef: Time series models for Earth's crust kinematics. (English). Kybernetika, vol. 38 (2002), issue 3, pp. [383]-387
• Víšek, Jan Ámos: Combining forecasts using the least trimmed squares. (English). Kybernetika, vol. 37 (2001), issue 2, pp. [183]-204
• Prášková, Zuzana; Cipra, Tomáš; Dupačová, Jitka; Lachout, Petr: Současná ekonometrie jako součást matematiky. (Czech) [Contemporary econometrics a as part of mathematics]. Pokroky matematiky, fyziky a astronomie, vol. 45 (2000), issue 3, pp. 177-187
• Arteche, Josu: Gaussian semiparametric estimation in seasonal/cyclical long memory time series. (English). Kybernetika, vol. 36 (2000), issue 3, pp. [279]-310
• Anděl, Jiří: Linear approximations to some non-linear AR(1) processes. (English). Kybernetika, vol. 36 (2000), issue 4, pp. [389]-399
• Arteche, Josu: Log-periodogram regression in asymmetric long memory. (English). Kybernetika, vol. 36 (2000), issue 4, pp. [415]-435
• Anděl, Jiří; Hrach, Karel: On calculation of stationary density of autoregressive processes. (English). Kybernetika, vol. 36 (2000), issue 3, pp. [311]-319
• Anděl, Jiří; Dupač, Václav: Extrapolations in non-linear autoregressive processes. (English). Kybernetika, vol. 35 (1999), issue 3, pp. [383]-389
• Anděl, Jiří: An estimator for parameters of a nonlinear nonnegative multidimensional AR(1) process. (English). Applications of Mathematics, vol. 43 (1998), issue 5, pp. 389-398
• Anděl, Jiří; Neuhaus, Georg: Extrapolation in fractional autoregressive models. (English). Kybernetika, vol. 34 (1998), issue 3, pp. [309]-316
• Michálek, Jiří: Maximum likelihood principle and $I$-divergence: continuous time observations. (English). Kybernetika, vol. 34 (1998), issue 3, pp. [289]-308
• Michálek, Jiří: Maximum likelihood principle and $I$-divergence: discrete time observations. (English). Kybernetika, vol. 34 (1998), issue 3, pp. [265]-288
• Anděl, Jiří; Antoch, Jaromír: On Bartlett's test for correlation between time series. (English). Kybernetika, vol. 34 (1998), issue 5, pp. [545]-554
• Antoniou, E. N.; Vardulakis, A. I. G.; Karampetakis, N. P.: A spectral characterization of the behavior of discrete time AR–representations over a finite time interval. (English). Kybernetika, vol. 34 (1998), issue 5, pp. [555]-564
• Kadi, Amina: Spectrum of randomly sampled multivariate ARMA models. (English). Kybernetika, vol. 34 (1998), issue 3, pp. [317]-333
• Fernández-Macho, Francisco Javier: A dynamic factor model for economic time series. (English). Kybernetika, vol. 33 (1997), issue 6, pp. 583-606
• Caminero, Emilio; Díaz-Emparanza, Ignacio: Estimation and testing of cointegration relationships with strongly seasonal monthly data. (English). Kybernetika, vol. 33 (1997), issue 6, pp. 607-631
• Dupačová, Jitka; Abaffy, Jozsef; Bertocchi, Marida; Hušková, Marie: On estimating the yield and volatility curves. (English). Kybernetika, vol. 33 (1997), issue 6, pp. 659-673
• Anděl, Jiří: On residual analysis for time series models. (English). Kybernetika, vol. 33 (1997), issue 2, pp. 161-170
• Volf, Petr: Analysis of generalized residuals in hazard regression models. (English). Kybernetika, vol. 32 (1996), issue 5, pp. 501-510
• Mariel, Petr: A comparison of cointegration tests. (English). Applications of Mathematics, vol. 41 (1996), issue 6, pp. 411-431
• Zichová, Jitka: On a method of estimating parameters in non-negative ARMA models. (English). Kybernetika, vol. 32 (1996), issue 4, pp. 409-424
• Ratinger, Tomáš: Seasonal time series with missing observations. (English). Applications of Mathematics, vol. 41 (1996), issue 1, pp. 41-55
• Anděl, Jiří: Bayesian analysis of the model of hidden periodicities. (English). Kybernetika, vol. 31 (1995), issue 1, pp. 1-16
• Prášková, Zuzana: A contribution to bootstrapping autoregressive processes. (English). Kybernetika, vol. 31 (1995), issue 4, pp. 359-373
• Antoch, Jaromír: Critical values of Fisher's and Siegel's test. (English). Kybernetika, vol. 31 (1995), issue 4, pp. 385-393
• Michálek, Jiří: A method of detecting changes in the behaviour of locally stationary sequences. (English). Kybernetika, vol. 31 (1995), issue 1, pp. 17-29
• Hurt, Jan; Kuhlisch, Wiltrud: A simple robust estimator of correlations for Gaussian stationary random sequences. (English). Kybernetika, vol. 31 (1995), issue 5, pp. 481-488
• Koubková, Alena: Two special models of $AR(n)$ processes with time-dependent random parameters. (English). Kybernetika, vol. 31 (1995), issue 4, pp. 347-357
• Cipra, Tomáš: Asymmetric recursive methods for time series. (English). Applications of Mathematics, vol. 39 (1994), issue 3, pp. 203-214
• Teräsvirta, Timo: Testing linearity and modelling nonlinear time series. (English). Kybernetika, vol. 30 (1994), issue 3, pp. 319-330
• Michálek, Jiří; Skřivánek, Jiří: A method of detecting changes in the behaviour of a random sequence based on the Bayes approach. (English). Kybernetika, vol. 29 (1993), issue 2, pp. 166-179
• Cipra, Tomáš; Rubio, Asunción; Canal, José Luis: Recursive estimation in autoregressive models with additive outliers. (English). Kybernetika, vol. 29 (1993), issue 1, pp. 62-72
• Liese, Friedrich: Every continuous first order autoregressive stochastic process is a Gaussian process. (English). Kybernetika, vol. 28 (1992), issue 3, pp. 227-233
• Michálek, Jiří; Skřivánek, Jiří: A method of trend recognition in time series. (English). Kybernetika, vol. 28 (1992), issue 6, pp. 472-483
• Anděl, Jiří: Nonnegative multivariate $\operatorname{AR}(1)$ processes. (English). Kybernetika, vol. 28 (1992), issue 3, pp. 213-226
• Štulajter, František: Consistency of linear and quadratic least squares estimators in regression models with covariance stationary errors. (English). Applications of Mathematics, vol. 36 (1991), issue 2, pp. 149-155
• Anděl, Martin: Non-negative linear processes. (English). Applications of Mathematics, vol. 36 (1991), issue 4, pp. 277-283
• Anděl, Jiří: On stationarity of a multiple doubly stochastic model. (English). Kybernetika, vol. 27 (1991), issue 2, pp. 114-119
• Deniau, Claude; Oppenheim, Georges; Viano, Marie-Claude: Estimation of a centrality parameter and random sampling time schemes. II. Applications. (English). Kybernetika, vol. 26 (1990), issue 2, pp. 155-164
• Deniau, Claude; Oppenheim, Georges; Viano, Marie-Claude: Estimation of a centrality parameter and random sampling time. I. Necessary conditions for optimality. (English). Kybernetika, vol. 26 (1990), issue 1, pp. 67-78
• Cipra, Tomáš: Note on approximate non-Gaussian filtering with nonlinear observation relation. (English). Commentationes Mathematicae Universitatis Carolinae, vol. 31 (1990), issue 3, pp. 601-605
• Král, Milan: Die Bestimmung des ARMA Modells der stationären Zeitreihe. (German) [Determination of the ARMA model of stationary time series]. Acta Universitatis Palackianae Olomucensis. Facultas Rerum Naturalium. Mathematica, vol. 28 (1989), issue 1, pp. 227-242
• Horváth, Michal: AR models with uniformly distributed noise. (English). Aplikace matematiky, vol. 34 (1989), issue 5, pp. 396-401
• Anděl, Jiří: AR(1) processes with given moments of marginal distribution. (English). Kybernetika, vol. 25 (1989), issue 5, pp. 337-347
• Tomášek, Ladislav: Confidence bands for spectral characteristics [Abstract of thesis]. (English). Commentationes Mathematicae Universitatis Carolinae, vol. 30 (1989), issue 1, pp. 196-197
• Michálek, Jiří: Multidimensional random processes with normal covariances. (English). Kybernetika, vol. 25 (1989), issue 5, pp. 348-365
• Anděl, Jiří: Periodic autoregression with exogenous variables and periodic variances. (English). Aplikace matematiky, vol. 34 (1989), issue 5, pp. 387-395
• Cipra, Tomáš: Some problems of exponential smoothing. (English). Aplikace matematiky, vol. 34 (1989), issue 2, pp. 161-169
• Anděl, Jiří; Gómez, María; Vega, Carlos: Stationary distribution of some nonlinear $AR(1)$ processes. (English). Kybernetika, vol. 25 (1989), issue 6, pp. 453-460
• Janžura, Martin: Asymptotic theory of parameter estimation for Gauss-Markov random fields. (English). Kybernetika, vol. 24 (1988), issue 3, pp. 161-176
• Linka, Aleš: On transformations of multivariate ARMA processes. (English). Kybernetika, vol. 24 (1988), issue 2, pp. 122-129
• Jarušková, Daniela: Siegel's test for periodic components in multiple time series and its application in engineering practice. (English). Kybernetika, vol. 24 (1988), issue 2, pp. 130-138
• Anděl, Jiří; Zvára, Karel: Tables for $AR(1)$ processes with exponential white noise. (English). Kybernetika, vol. 24 (1988), issue 5, pp. 372-377
• Anděl, Jiří; Gómez, María: Two-dimensional long memory models. (English). Kybernetika, vol. 24 (1988), issue 1, pp. 1-16
• Štulajter, František: Bayes unbiased estimators of parameters of linear trend with autoregressive errors. (English). Aplikace matematiky, vol. 32 (1987), issue 6, pp. 451-458
• Anděl, Jiří: On multiple periodic autoregression. (English). Aplikace matematiky, vol. 32 (1987), issue 1, pp. 63-80
• Michálek, Jiří: Random sequences with normal covariances. (English). Kybernetika, vol. 23 (1987), issue 6, pp. 443-457
• Stockinger, Norbert; Dutter, Rudolf: Robust time series analysis: a survey. (English). Kybernetika, vol. 23 (1987), issue 7, pp. (1),3-88
• Cipra, Tomáš; Motyková, I.: Study on Kalman filter in time series analysis. (English). Commentationes Mathematicae Universitatis Carolinae, vol. 28 (1987), issue 3, pp. 549-563
• Peterka, Václav: Control of uncertain processes: applied theory and algorithms. (English). Kybernetika, vol. 22 (1986), issue 7, pp. (1),3-101
• Anděl, Jiří: Long memory time series models. (English). Kybernetika, vol. 22 (1986), issue 2, pp. 105-123
• Cipra, Tomáš: Note on inappropriate trend and seasonal elimination. (English). Commentationes Mathematicae Universitatis Carolinae, vol. 27 (1986), issue 2, pp. 277-283
• Anděl, Jiří; Rubio, Asunción: On interpolation in periodic autoregressive processes. (English). Aplikace matematiky, vol. 31 (1986), issue 6, pp. 480-485
• Štulajter, František: Variance components estimators in a replicated regression model. (English). Mathematica Slovaca, vol. 36 (1986), issue 2, pp. 191-198
• Cipra, Tomáš; Anděl, Jiří: ARMA models with nonstationary white noise. (English). Commentationes Mathematicae Universitatis Carolinae, vol. 26 (1985), issue 2, pp. 285-298
• Anděl, Jiří; Rubio, Asunción; Insua, Antonio: On periodic autoregression with unknown mean. (English). Aplikace matematiky, vol. 30 (1985), issue 2, pp. 126-139
• Cipra, Tomáš: Periodic moving average process. (English). Aplikace matematiky, vol. 30 (1985), issue 3, pp. 218-229
• Cipra, Tomáš: Statistical analysis of multiple moving average processes using periodicity. (English). Kybernetika, vol. 21 (1985), issue 5, pp. 335-345
• Fuchs, Alexander: Threshold moving average model. (English). Commentationes Mathematicae Universitatis Carolinae, vol. 26 (1985), issue 2, pp. 420
• Fuchs, Alexander: Treshold moving average model [Abstract of thesis]. (English). Commentationes Mathematicae Universitatis Carolinae, vol. 26 (1985), issue 4, pp. 839
• Cipra, Tomáš: Investigation of periodicity for dependent observations. (English). Aplikace matematiky, vol. 29 (1984), issue 2, pp. 134-142
• Anděl, Jiří; Netuka, Ivan; Zvára, Karel: On threshold autoregressive processes. (English). Kybernetika, vol. 20 (1984), issue 2, pp. 89-106
• Kárný, Miroslav: Quantification of prior knowledge about global characteristics of linear normal model. (English). Kybernetika, vol. 20 (1984), issue 5, pp. 376-385
• Pelikán, Emil: Spectral analysis of ARMA processes by Prony's method. (English). Kybernetika, vol. 20 (1984), issue 4, pp. 322-328
• Anděl, J.: Dependent random variables with a given marginal distribution. (English). Acta Universitatis Carolinae. Mathematica et Physica, vol. 24 (1983), issue 1, pp. 3-12
• Cipra, Tomáš: Improvement of Fisher's test of periodicity. (English). Aplikace matematiky, vol. 28 (1983), issue 3, pp. 186-193
• Anděl, Jiří: Statistical analysis of periodic autoregression. (English). Aplikace matematiky, vol. 28 (1983), issue 5, pp. 364-385
• Koubková, Alena: First-order autoregressive processes with time-dependent random parameters. (English). Kybernetika, vol. 18 (1982), issue 5, pp. 408-414
• Cipra, Tomáš: Improvement of extrapolation in multivariate stationary processes. (English). Kybernetika, vol. 17 (1981), issue 3, pp. 234-243
• Pelikán, Emil; Vošvrda, Miloslav: On covariance coefficients estimates of finite order moving average processes. (English). Kybernetika, vol. 17 (1981), issue 2, pp. 169-174
• Toan, Ha Huy: A remark on models of Box-Jenkins type. (English). Časopis pro pěstování matematiky, vol. 103 (1978), issue 1, pp. 27-35
• Kučera, Vladimír: Algebraic methods in discrete linear estimation. (English). Kybernetika, vol. 12 (1976), issue 3, pp. (171)-191
• Prouza, Ludvík: On linear inversion of moving averages, discrete equalizers and "whitening" filters, and the related difference equations and infinite systems of linear equations. (English). Kybernetika, vol. 12 (1976), issue 2, pp. (103)-117
• Vaněček, Antonín: LQG problem of estimation and control in the tensor space. Evolution in the discrete finite time. (English). Kybernetika, vol. 11 (1975), issue 4, pp. (287)-300
• Peterka, Václav: A square root filter for real time multivariate regression. (English). Kybernetika, vol. 11 (1975), issue 1, pp. (53)-67
• Hurt, Jan: On a simple estimate of correlations of stationary random sequences. (English). Aplikace matematiky, vol. 18 (1973), issue 3, pp. 176-187
• Anděl, Jiří: On the Bayes approach in general multiple autoregressive series. (English). Aplikace matematiky, vol. 18 (1973), issue 1, pp. 18-29
• Anděl, Jiří: The efficiency of estimates in stationary autoregressive series. (English). Aplikace matematiky, vol. 15 (1970), issue 1, pp. 18-30