Levine, Michael "Mihail" - Department of Statistics, Purdue University

• Bandwidth selection for a class of difference-based variance estimators in the nonparametric regression
• 1. For an AR(2) process show Xt -1Xt-1 -2Xt-2 = t
• A Test for Normality of Observations and Regression Residuals Author(s): Carlos M. Jarque and Anil K. Bera
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data Author(s): Robert F. Engle and Jeffrey R. Russell
• STAT 512: Applied Regression Analysis Spring 2008
• STAT 512: Applied Regression Analysis Chapter 3: Diagnostics and Remedial Measures
• 1. Consider monthly simple returns of 3M stocks. The file has two columns denoting date and simple return. Begin with transformation of simple
• Variance Function Estimation in Multivariate Nonparametric T. Tony Cai1
• STAT 512: Applied Regression Analysis Spring 2008
• BioMed Central Page 1 of 6
• Instructor: Prof. Michael Levine Office: HAAS 154
• STAT 512: Applied Regression Analysis August, 2009
• STAT 512: Applied Regression Analysis Spring 2008
• A Tutorial for G@RCH 2.3, a Complete Ox Package for Estimating and Forecasting ARCH Models
• Instructor: Prof. Michael Levine Office: HAAS 154
• STAT 512: Applied Regression Analysis Spring 2008
• STAT 512: Applied Regression Analysis Spring 2008
• Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
• Journal of Econometrics 31 (1986) 307-327. North-Holland GENERALIZED AUTOREGRESSIVE CONDITIONAL
• 1. Let rt be the log return of an asset at time t. Assume that rt is a Gaussian white noise series with mean 0.05 and variance 1.5. Suppose that the
• ORIGINAL PAPER Meteorological influence on the occurrence of gastric
• 1. Suppose that r1, . . . , rn are observations of a return series that follows the AR(1)-GARCH(1,1) model
• STAT 512: Applied Regression Analysis Spring 2008
• A Functional EM Algorithm for Mixing Density Estimation via Nonparametric Penalized Likelihood Maximization
• Instructor: Prof. Michael Levine Office: HAAS 154
• Estimation for Conditional Independence Multivariate Finite Mixture Models
• Statistics & Probability Letters 76 (2006) 20072016 Nonparametric estimation of volatility models with
• Computational Statistics & Data Analysis 50 (2006) 34053431 www.elsevier.com/locate/csda
• Local Instrumental Variable (LIVE) Method For The Generalized Additive-Interactive Nonlinear Volatility Model
• 1 Simulation This chapter is dedicated to a simulation study that illustrates the finite-sample behavior
• The Annals of Statistics 2007, Vol. 35, No. 5, 22192232
• ORIGINAL PAPER Meteorological influence on the occurrence of gastric
• Supplemental materials for this article are available through the JCGS web page at http://www.amstat.org/publications.
• Dynamical Random-Set Modeling of Concentrated Precipitation in North America
• Stat Infer Stoch Process (2009) 12:221250 DOI 10.1007/s11203-008-9030-7
• INSTRUCTOR: PROF. MICHAEL LEVINE OFFICE: HAAS 154
• Exploratory Data Analysis of Time Series Shumway and Stoffer: 2.3
• Statistics 520: Time Series and Applications Purdue University
• Statistics 520: Time Series and Applications Purdue University
• Nonparametric Estimation of Volatility Models with General Autoregressive Innovations
• Statistics 520: Time Series and Applications Purdue University
• Statistics 520: Time Series and Applications Purdue University
• A simple additivity test for conditionally heteroscedastic nonlinear autoregression
• Instructor: Prof. Michael Levine Office: HAAS 154