Hosoya's reviews published in Mathematical Reviews (totaling 104 reviews of papers and books as of October 2023)

2023
MR4539834 Deistler, Manfred; Scherrer, Wolfgang Time series models. Extended translated version of the 2018 German edition. Lecture Notes in Statistics, 224. Springer, Cham, (2022)
MR4524508 Goto, Yuichi; Kley, Tobias; Van Hecke, Ria; Volgushev, Stanislav; Dette, Holger; Hallin, Marc The integrated copula spectrum. Ann. Statist. 50 (2022), no. 6, 3563--3591.
MR4513316 Pavliotis, Grigorios A.; Zanoni, Andrea Eigenfunction martingale estimators for interacting particle systems and their mean field limit. SIAM J. Appl. Dyn. Syst. 21 (2022), no. 4, 2338--2370.
MR4400505 Huber, Florian; Rossini, Luca Inference in Bayesian additive vector autoregressive tree models. Ann. Appl. Stat. 16 (2022), no. 1, 104--123.
MR4396674 Fasen-Hartmann, Vicky; Mayer, Celeste: Whittle estimation for continuous-time stationary state space models with finite second moments. Ann. Inst. Statist. Math. 74 (2022), no. 2, 233--270.
2022
MR4336180 Kozak, P. S.; Luz, M. M.; Moklyachuk, M. P. Minimax prediction of sequences with periodically stationary increments. Carpathian Math. Publ. 13 (2021), no. 2, 352--376.
MR4441121 Huang, Hsueh-Han; Chan, Ngai Hang; Chen, Kun; Ing, Ching-Kang Consistent order selection for ARFIMA processes. Ann. Statist. 50 (2022), no. 3, 1297--1319.
MR4359301 Guerrero, Matheus B.; Barreto-Souza, Wagner; Ombao, Hernando Integer-valued autoregressive processes with prespecified marginal and innovation distributions: a novel perspective. Stoch. Models 38 (2022), no. 1, 70--90.
MR4271129 Baxevani, Anastassia; Podgórski, Krzysztof: Signals featuring harmonics with random frequencies—spectral, distributional and ergodic properties. IEEE Trans. Signal Process. 69 (2021), 2779--2794.
MR4255241 Morvai, Gusztáv; Weiss, Benjamin: On universal algorithms for classifying and predicting stationary processes. Probab. Surv. 18 (2021), 77--131.
2021
MR4192926 Leonardi, Florencia; Lopez-Rosenfeld, Matías; Rodriguez, Daniela; Severino, Magno T. F.; Sued, Mariela: Independent block identification in multivariate time series. J. Time Series Anal. 42 (2021), no. 1, 19--33.
MR4182794 Feldheim, Naomi; Feldheim, Ohad; Jaye, Benjamin; Nazarov, Fedor; Nitzan, Shahaf: On the probability that a stationary Gaussian process with spectral gap remains non-negative on a long interval. Int. Math. Res. Not. IMRN 2020, no. 23, 9210--9227.
MR4122081 McElroy, Tucker; Roy, Anindya: Testing for adequacy of seasonal adjustment in the frequency domain. J. Statist. Plann. Inference 211 (2021), 241--255.
2020
MR4023923 La Vecchia, Davide; Ronchetti, Elvezio: Saddlepoint approximations for short and long memory time series: a frequency domain approach. J. Econometrics 213 (2019), no. 2, 578--592.
MR3963060 Velilla, Santiago; Nguyen, Huong: A new diagnostic tool for VARMA models. Statistics 53 (2019), no. 4, 866--884.
2019
MR3877868 Eckley, I. A.; Nason, G. P. A test for the absence of aliasing or local white noise in locally stationary wavelet time series. Biometrika 105 (2018), no. 4, 833--848.
MR3819346 Abadi, Miguel; Gallo, Sandro; Rada-Mora, Erika Alejandra The shortest possible return time of β-mixing processes. IEEE Trans. Inform. Theory 64 (2018), no. 7, 4895--4906.
2018
MR3706792 Inoue, Akihiko; Kasahara, Yukio; Pourahmadi, Mohsen Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes. Bernoulli 24 (2018), no. 2, 1202--1232.
MR3687966 Alj, Abdelkamel; Azrak, Rajae; Ley, Christophe; Mélard, Guy Asymptotic properties of QML estimators for VARMA models with time-dependent coefficients. Scand. J. Stat. 44 (2017), no. 3, 617--635.
MR3650551 McElroy, Tucker; McCracken, Michael W. Multistep ahead forecasting of vector time series. Econometric Rev. 36 (2017), no. 5, 495--513.
2017
MR3601312 Aue, Alexander; Horváth, Lajos; Pellatt, Daniel F. Functional generalized autoregressive conditional heteroskedasticity. J. Time Series Anal. 38 (2017), no. 1, 3--21.
MR3467827 Palma, Wilfredo Time series analysis. Wiley Series in Probability and Statistics. John Wiley & Sons, Inc., Hoboken, NJ, 2016. xxv+579 pp. ISBN: 978-1-118-63432-5
MR3488088 Phillips, Peter C. B.; Lee, Ji Hyung Robust econometric inference with mixed integrated and mildly explosive regressors. J. Econometrics 192 (2016), no. 2, 433--450.
2016
MR3464352 Mesters, G.; Koopman, S. J.; Ooms, M. Monte Carlo maximum likelihood estimation for generalized long-memory time series models. Econometric Rev. 35 (2016), no. 4, 659--687.
MR3451253 Inoue, Akihiko; Kasahara, Yukio; Pourahmadi, Mohsen The intersection of past and future for multivariate stationary processes. Proc. Amer. Math. Soc. 144 (2016), no. 4, 1779--1786.
MR3414898 Brockwell, Peter J.; Lindner, Alexander Prediction of Lévy-driven CARMA processes. J. Econometrics 189 (2015), no. 2, 263--271.
MR3378711 Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics. J. Time Series Anal. 36 (2015), no. 5, 603--629.
MR3357870 Basu, Sumanta; Michailidis, George Regularized estimation in sparse high-dimensional time series models. Ann. Statist. 43 (2015), no. 4, 1535--1567.
2015
MR3273254 Hassler, Uwe; Hosseinkouchack, Mehdi Effect of the order of fractional integration on impulse responses. Econom. Lett. 125 (2014), no. 2, 311--314.
MR3233474 Hou, Jie; Perron, Pierre Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. J. Econometrics 182 (2014), no. 2, 309--328.
2014
MR3098581 Li, Ta-Hsin Time series with mixed spectra. CRC Press, Boca Raton, FL, 2014. x+670 pp. ISBN: 978-1-58488-176-6
MR3071882 Azmoodeh, Ehsan; Valkeila, Esko Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion. Stat. Inference Stoch. Process. 16 (2013), no. 2, 97--112.
MR2983225 Aneiros, Germán Comments on: Some recent theory for autoregressive count time series [ MR2983224]. TEST 21 (2012), no. 3, 439--441.
MR2983228 Fokianos, Konstantinos Comments on: Some recent theory for autoregressive count time series [ MR2983224]. TEST 21 (2012), no. 3, 451--454.
MR2983233 Tjøstheim, Dag Rejoinder on: Some recent theory for autoregressive count time series [ MR2983224; MR2983225; MR2983226; MR2983227; MR2983228; MR2983229; MR2983230; MR2983231; MR2983232]. TEST 21 (2012), no. 3, 469--476.
MR2983231 Heinen, Andréas Comments on: Some recent theory for autoregressive count time series [ MR2983224]. TEST 21 (2012), no. 3, 464--466.
MR2983224 Tjøstheim, Dag Some recent theory for autoregressive count time series. TEST 21 (2012), no. 3, 413--438.
MR2983230 Gao, Jiti Comments on: Some recent theory for autoregressive count time series [ MR2983224]. TEST 21 (2012), no. 3, 459--463.
MR2983232 Kedem, Benjamin Comments on: Some recent theory for autoregressive count time series [ MR2983224]. TEST 21 (2012), no. 3, 467--468.
MR2983226 Dolado, Juan J. Comments on: Some recent theory for autoregressive count time series [ MR2983224]. TEST 21 (2012), no. 3, 442--446.
MR2983229 Galeano, Pedro Comments on: Some recent theory for autoregressive count time series [ MR2983224]. TEST 21 (2012), no. 3, 455--458.
MR2983227 Doukhan, Paul Comments on: Some recent theory for autoregressive count time series [ MR2983224]. TEST 21 (2012), no. 3, 447--450.
2013
MR2981615 Brockwell, Peter; Lindner, Alexander; Vollenbröker, Bernd Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise. Ann. Inst. Statist. Math. 64 (2012), no. 6, 1089--1119.
MR2977733 Huzii, Mituaki Can we have correspondence between discrete-time ARMA processes and continuous-time ARMA processes? (Japanese) J. Jpn. Stat. Soc. Jpn. Issue 41 (2012), no. 2, 421--444.
MR2944840 Martin, Rodney A. Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes. J. Time Series Anal. 33 (2012), no. 4, 583--607.
MR2877614 Brockwell, Peter J.; Ferrazzano, Vincenzo; Klüppelberg, Claudia High-frequency sampling of a continuous-time ARMA process. J. Time Series Anal. 33 (2012), no. 1, 152--160.
2012
MR2805082 Ayache, Antoine; Bertrand, Pierre Raphael Discretization error of wavelet coefficient for fractal like processes. Adv. Pure Appl. Math. 2 (2011), no. 2, 297--321.
MR2848512 Gneiting, Tilmann; Ranjan, Roopesh Comparing density forecasts using threshold- and quantile-weighted scoring rules. J. Bus. Econom. Statist. 29 (2011), no. 3, 411--422.
MR2808666 Martin, Rodney A. A state-space approach to optimal level-crossing prediction for linear Gaussian processes. IEEE Trans. Inform. Theory 56 (2010), no. 10, 5083--5096.
2011
MR2731063 Rosenblatt, Murray Stationary processes and a one-sided representation in terms of independent identically distributed random variables. Dependence in probability, analysis and number theory, 311--315, Kendrick Press, Heber City, UT, 2010.
MR2641971 Taniguchi, Masanobu Asymptotic theory for time series analysis. (Japanese) Sūgaku 62 (2010), no. 2, 194--218.
2010
MR2541508 Yamaguchi, Keiko Testing for the presence of noise in long memory processes. (Japanese) J. Japan Statist. Soc. 38 (2009), no. 2, Japanese Issue, 111--120.
MR2503296 Soltani, A. R.; Mohammadpour, M. Time domain interpolation algorithm for innovations of discrete time multivariate stationary processes. Stoch. Anal. Appl. 27 (2009), no. 2, 317--330.
2009
MR2463404 Kargin, V.; Onatski, A. Curve forecasting by functional autoregression. J. Multivariate Anal. 99 (2008), no. 10, 2508--2526.
MR2451567 Kirchgässner, Gebhard; Wolters, Jürgen Introduction to modern time series analysis. Springer, Berlin, 2007. x+274 pp. ISBN: 978-3-540-73290-7
2008
MR2386062 van Zanten, Harry A remark on the equivalence of Gaussian processes. Electron. Commun. Probab. 13 (2008), 54--59.
MR2321195 Florens, Jean-Pierre; Marimoutou, Vêlayoudom; Péguin-Feissolle, Anne Econometric modeling and inference. Translated from the French by Josef Perktold and Marine Carrasco. With a foreword by James J. Heckman. Themes in Modern Econometrics. Cambridge University Press, Cambridge, 2007. xxii+496 pp. ISBN: 978-0-521-70006-1; 0-521-70006-X
MR2305108 Katayama, Naoya Model-selection problems in terms of prediction mean squared error. (Japanese) Proc. Inst. Statist. Math. 54 (2006), no. 2, 481--510.
MR2297359 Palma, Wilfredo Long-memory time series. Theory and methods. Wiley Series in Probability and Statistics. Wiley-Interscience [John Wiley & Sons], Hoboken, NJ, 2007. xviii+285 pp. ISBN: 978-0-470-11402-5
2007
MR2295849 Nielsen, Lars Tyge Dividends in the theory of derivative securities pricing. Econom. Theory 31 (2007), no. 3, 447--471.
MR2265063 Cont, Rama Volatility clustering in financial markets: empirical facts and agent-based models. Long memory in economics, 289--309, Springer, Berlin, 2007.
2006
MR2219710 Ceci, Claudia Risk minimizing hedging for a partially observed high frequency data model. Stochastics 78 (2006), no. 1, 13--31.
MR2178502 Dzhaparidze, Kacha; van Zanten, Harry; Zareba, Pawel Representations of fractional Brownian motion using vibrating strings. Stochastic Process. Appl. 115 (2005), no. 12, 1928--1953.
MR2182068 Li, Guangfei; Miao, Yu; Peng, Huiming; Wu, Liming Poincaré and log-Sobolev inequality for stationary Gaussian processes and moving average processes. Ann. Math. Blaise Pascal 12 (2005), no. 2, 231--243.
MR2112777 Kitagawa, Genshiro Statistical approach to environmental science. (Japanese) Proc. Inst. Statist. Math. 52 (2004), no. 2, 275--279.
MR2172646 Faliva, Mario; Zoia, Maria Grazia Topics in dynamic model analysis. Advanced matrix methods and unit-root econometrics representation theorems. Lecture Notes in Economics and Mathematical Systems, 558. Springer-Verlag, Berlin, 2006. x+144 pp. ISBN: 978-3-540-26196-4; 3-540-26196-6
MR2141354 Benhenni, K.; Drouilhet, R. Adjusted Euler-Maclaurin predictor for integrating smooth spatial processes. ; translated from Teor. Veroyatnost. i Primenen. 48 (2003), no. 3, 596--608 Theory Probab. Appl. 48 (2004), no. 3, 506--520
2005
MR2104493 Bellini, Fabio; Figà-Talamanca, Gianna Runs tests for assessing volatility forecastability in financial time series. European J. Oper. Res. 163 (2005), no. 1, 102--114.
MR2101952 Kim, Woocheol; Linton, Oliver The live method for generalized additive volatility models. Econometric Theory 20 (2004), no. 6, 1094--1139.
MR2101950 Nze, Patrick Ango; Doukhan, Paul Weak dependence: models and applications to econometrics. Econometric Theory 20 (2004), no. 6, 995--1045.
MR2060170 Mercurio, Danilo; Spokoiny, Vladimir Statistical inference for time-inhomogeneous volatility models. Ann. Statist. 32 (2004), no. 2, 577--602.
2004
MR2055167 Bábela, Ján Middle term predictions of time series in the models with external information about future. Probastat '02. Part I. Tatra Mt. Math. Publ. 26 (2003), part I, 103--113.
MR2049001 Ghazal, M. A.; Farag, E. A. Asymptotic distribution of spectral density estimate and broadened periodogram of continuous time series. J. Combin. Inform. System Sci. 26 (2001), no. 1-4, 87--102.
MR2010049 de Jong, Robert M. Logarithmic spurious regressions. Econom. Lett. 81 (2003), no. 1, 13--21.
MR2010244 De Cock, Katrien; De Moor, Bart Subspace angles between ARMA models. Systems Control Lett. 46 (2002), no. 4, 265--270.
MR2004651 Erratum to: "A computational approach to liquidity-constrained firms over an infinite horizon'' [J. Econom. Dynam. Control 28 (2003), no. 1, 189–205; MR2004650] by M. Ono. J. Econom. Dynam. Control 28 (2003), no. 1, 207.
MR2018112 Calafiore, G.; Campi, M. C. A learning theory approach to the construction of predictor models. Dynamical systems and differential equations (Wilmington, NC, 2002). Discrete Contin. Dyn. Syst. 2003, suppl., 156--166.
MR2004650 Ono, Masanori A computational approach to liquidity-constrained firms over an infinite horizon. J. Econom. Dynam. Control 28 (2003), no. 1, 189--205.
MR2004714 Hutter, Marcus Convergence and loss bounds for Bayesian sequence prediction. IEEE Trans. Inform. Theory 49 (2003), no. 8, 2061--2067.
MR1986405 Guhr, Thomas; Kälber, Bernd A new method to estimate the noise in financial correlation matrices. Random matrix theory. J. Phys. A 36 (2003), no. 12, 3009--3032.
MR1973398 Omori, Yasuhiro Estimation for unequally spaced time series of counts with serially correlated random effects. Statist. Probab. Lett. 63 (2003), no. 1, 1--12.
2003
MR1979744 Boldin, M. V. On sequential residual empirical processes in heteroscedastic time series. Math. Methods Statist. 11 (2002), no. 4, 453--464 (2003).
MR1967180 Wong, H.; Ip, Wai-Cheung; Xie, Zhongjie; Lui, Xueli Modelling and forecasting by wavelets, and the application to exchange rates. J. Appl. Stat. 30 (2003), no. 5, 537--553.
MR1950668 Leipus, Remigijus; Viano, Marie-Claude Long memory and stochastic trend. Statist. Probab. Lett. 61 (2003), no. 2, 177--190.
MR1929978 Hidalgo, Javier; Robinson, Peter M. Adapting to unknown disturbance autocorrelation in regression with long memory. Econometrica 70 (2002), no. 4, 1545--1581.
2002
MR1880988 Li, Jiaqi; Kitaoka, Masatoshi Modelling autoregressive threshold in non-linear time series analysis with genetic algorithm and simulated annealing. (Japanese) Sci. Rep. Res. Inst. Engrg. Kanagawa Univ. No. 24 (2001), 32--43.
MR1870530 Tanaka-Yamawaki, Mieko; Ohta, Takehiro Statistical property of the short term fluctuation of stock prices. (Japanese) Mem. Fac. Engrg. Miyazaki Univ. No. 30 (2001), 307--312.
MR1870531 Tanaka-Yamawaki, Mieko; Ikeda, Go Fractal time series prediction of the short term currency exchange rate. (Japanese) Mem. Fac. Engrg. Miyazaki Univ. No. 30 (2001), 313--318.
MR1867128 Gençay, Ramazan; Selçuk, Faruk; Whitcher, Brandon An introduction to wavelets and other filtering methods in finance and economics. Academic Press, Inc., San Diego, CA, 2002. xxii+359 pp. ISBN: 0-12-279670-5
MR1856263 Makagon, Andrzej Characterization of the spectra of periodically correlated processes. J. Multivariate Anal. 78 (2001), no. 1, 1--10.
MR1856951 Durbin, J.; Koopman, S. J. Time series analysis by state space methods. Oxford Statistical Science Series, 24. Oxford University Press, Oxford, 2001. xviii+253 pp. ISBN: 0-19-852354-8
2001
MR1806536 Park, Joon Y.; Phillips, Peter C. B. Nonlinear regressions with integrated time series. Econometrica 69 (2001), no. 1, 117--161.
MR1813857 Zumbach, Gilles; Müller, Ulrich Operators on inhomogeneous time series. Int. J. Theor. Appl. Finance 4 (2001), no. 1, 147--177.
MR1789986 Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas A model for long memory conditional heteroscedasticity. Ann. Appl. Probab. 10 (2000), no. 3, 1002--1024.
MR1761514 Konishi, Sadanori Theory of statistical modeling and the construction of information criteria—an approach based on functionals. (Japanese) Sūgaku 52 (2000), no. 2, 128--141.
MR1746331 Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan Stable Paretian models in econometrics. II. Math. Sci. 24 (1999), no. 2, 113--127.
2000
MR1706996 Li, Qi Consistent model specification tests for time series econometric models. J. Econometrics 92 (1999), no. 1, 101--147.
MR1711410 Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan Stable Paretian models in econometrics. I. Math. Sci. 24 (1999), no. 1, 24--55.
1999
MR1649122 Chan, K. S.; Tsay, Ruey S. Limiting properties of the least squares estimator of a continuous threshold autoregressive model. Biometrika 85 (1998), no. 2, 413--426.
MR1650012 Hansen, Lars Peter; Scheinkman, José Alexandre; Touzi, Nizar Spectral methods for identifying scalar diffusions. J. Econometrics 86 (1998), no. 1, 1--32.
MR1649221 Kyriazidou, Ekaterini Testing for serial correlation in multivariate regression models. J. Econometrics 86 (1998), no. 2, 193--220.
MR1650873 Cline, Daren B. H.; Pu, Huay-min H. Verifying irreducibility and continuity of a nonlinear time series. Statist. Probab. Lett. 40 (1998), no. 2, 139--148.
MR1632556 van der Leeuw, Johannes Leonardus Maximum likelihood estimation of exact ARMA models. Dissertation, Katholieke Universiteit Brabant, Tilburg, 1997. Tilburg University Press, Tilburg, 1997. viii+124 pp. ISBN: 90-361-9867-4
1998
MR1614219 Mohapl, Jaroslav On maximum likelihood estimation for Gaussian spatial autoregression models. Ann. Inst. Statist. Math. 50 (1998), no. 1, 165--186.