19 citations · 24 across the 4 of their papers we have counts for
4 papers
Fourier-type monitoring procedures for strict stationarity
Sangyeol Lee, Simos G. Meintanis, Charl Pretorius
We consider model-free monitoring procedures for strict stationarity of a given time series. The new criteria are formulated as L2-type statistics incorporating the empirical chara…
Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity
Jungsik Noh, Sangyeol Lee
This paper considers quantile regression for a wide class of time series models including ARMA models with asymmetric GARCH (AGARCH) errors. The classical mean-variance models are…
On the Identifiability Conditions in Some Nonlinear Time Series Models
Jungsik Noh, Sangyeol Lee
In this study, we consider the identifiability problem for nonlinear time series models. Special attention is paid to smooth transition GARCH, nonlinear Poisson autoregressive, and…
Test for tail index change in stationary time series with Pareto-type marginal distribution
Moosup Kim, Sangyeol Lee
The tail index, indicating the degree of fatness of the tail distribution, is an important component of extreme value theory since it dominates the asymptotic distribution of extre…