Publication profile
Publication profile
Dag Bjarne Tjøstheim
Name:
Dag Bjarne Tjøstheim
Title:
Professor II
Phone:
(+47) +47 22 85 25 00
Email:
Dag [dot] Tjostheim [at] math [dot] uib [dot] no
Scientific areas:
Statistical dependence, Time series, Spatial models, Fishery statistics, Nonparametric methods
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Academic anthology/Conference proceedings
2000
(eds). Nonlinear econometric modeling in time series analysis. Cambridge University Press. (ISBN 0-521-59424-3). pp 227. 2000.
Non-fiction book
1998
. Nonparametric specification procedures for time series, in Asymptotic, Nonparametrics and Time Series. : 1998.
Academic article
2022
. Local Lead–Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis. Entropy (ISSN 1099-4300). 24(3) pp 1-18. doi: 10.3390/e24030378. 2022.
. Statistical dependence: Beyond Pearson’s ρ. Statistical Science (ISSN 0883-4237). 37(1) pp 90-109. doi: 10.1214/21-STS823. 2022.
2021
. Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations. Finance Research Letters (ISSN 1544-6123). pp 1-9. doi: 10.1016/j.frl.2021.102475. 2021.
. The locally Gaussian partial correlation. Journal of business & economic statistics (ISSN 0735-0015). doi: 10.1080/07350015.2021.1886107. 2021.
2020
. Nonlinear Spectral Analysis: A Local Gaussian Approach. Journal of the American Statistical Association (ISSN 0162-1459). doi: 10.1080/01621459.2020.1840991. 2020. Arkiv
. Robust nonlinear regression estimation in null recurrent time series. Journal of Econometrics (ISSN 0304-4076). doi: 10.1016/j.jeconom.2020.03.028. 2020.
. Pairwise local Fisher and naive Bayes: Improving two standard discriminants. Journal of Econometrics (ISSN 0304-4076). 216(1) pp 284-304. doi: 10.1016/j.jeconom.2020.01.019. 2020. Arkiv
. Multivariate count autoregression. Bernoulli (ISSN 1350-7265). 26(1) pp 471-499. doi: 10.3150/19-BEJ1132. 2020.
. Some notes on nonlinear cointegration: A partial review with some novel perspectives. Econometric Reviews (ISSN 0747-4938). 39(7) pp 655-673. doi: 10.1080/07474938.2020.1771900. 2020.
. On bandwidth choice for spatial data density estimation. Journal of The Royal Statistical Society Series B-statistical Methodology (ISSN 1369-7412). 82(3) pp 817-840. doi: 10.1111/rssb.12367. 2020.
2019
. Discussion of Models as Approximations I & II. Statistical Science (ISSN 0883-4237). 34(4) pp 575-579. doi: 10.1214/19-STS725. 2019.
2018
. Estimating and Testing Nonlinear Local Dependence Between Two Time Series. Journal of business & economic statistics (ISSN 0735-0015). pp 1-13. doi: 10.1080/07350015.2017.1407777. 2018.
. Asymptotic normality and parameter change test for bivariate Poisson INGARCH models. Test (Madrid) (ISSN 1133-0686). 27(1) pp 52-69. doi: 10.1007/s11749-016-0510-6. 2018.
2017
. Self-exciting jump processes with applications to energy markets. Annals of the Institute of Statistical Mathematics (ISSN 0020-3157). 70(2) pp 373-393. doi: 10.1007/s10463-016-0591-8. 2017.
. Conditional density estimation using the local Gaussian correlation. Statistics and computing (ISSN 0960-3174). 28(2) pp 303-321. doi: 10.1007/s11222-017-9732-z. 2017.
. A new class of bivariate threshold cointegration models. Journal of business & economic statistics (ISSN 0735-0015). 35(2) pp 288-305. doi: 10.1080/07350015.2015.1062385. 2017.
. Specification testing for nonlinear multivariate cointegrating regressions. Journal of Econometrics (ISSN 0304-4076). 200(1) pp 104-117. doi: 10.1016/j.jeconom.2017.05.016. 2017.
. Local Gaussian autocorrelation and tests for serial independence. Journal of Time Series Analysis (ISSN 0143-9782). 38(1) pp 51-71. doi: 10.1111/jtsa.12195. 2017.
2016
. Some properties of local Gaussian correlation and other nonlinear dependence measures. Journal of Time Series Analysis (ISSN 0143-9782). 38(2) pp 352-380. doi: 10.1111/jtsa.12183. 2016.
. Estimation for single-index and partially linear single-index integrated models. Annals of Statistics (ISSN 0090-5364). 44(1) pp 425-453. doi: 10.1214/15-AOS1372. 2016.
. The locally Gaussian density estimator for multivariate data. Statistics and computing (ISSN 0960-3174). Published ahead of print pp 1-22. doi: 10.1007/s11222-016-9706-6. 2016.
. Estimation in nonlinear regression with harris recurrent markov chains. Annals of Statistics (ISSN 0090-5364). 44(5) pp 1957-1987. doi: 10.1214/15-AOS1379. 2016.
. Estimation and simulation of multi-beam sonar noise. Journal of the Acoustical Society of America (ISSN 0001-4966). 139(2) pp 851-862. doi: 10.1121/1.4941913. 2016.
2015
. Nonparametric regression estimation for multivariate null recurrent processes. Econometrics (ISSN 2225-1146). 3 pp 265-288. doi: 10.3390/econometrics3020265. 2015.
2014
. Recognizing and visualizing copulas: An approach using local Gaussian approximation. Insurance, Mathematics & Economics (ISSN 0167-6687). 57(1) pp 90-103. doi: 10.1016/j.insmatheco.2014.04.005. 2014.
. Modellering av avhengigheter i finansmarkeder : lokal gaussisk korrelasjon. Magma - Tidsskrift for økonomi og ledelse (ISSN 1500-0788). 17(6/7) pp 103-113. 2014. Fulltekst
. Uniform consistency for nonparametric estimators in null recurrent time series. Econometric Theory (ISSN 0266-4666). 760 doi: 10.1017/S0266466614000577. 2014.
. Nonparametric estimation of probability density functions for irregularly observed spatial data. Journal of the American Statistical Association (ISSN 0162-1459). 109(508) pp 1546-1564. doi: 10.1080/01621459.2014.947376. 2014.
. Using local Gaussian correlation in a nonlinear re-examination of financial contagion. Journal of Empirical Finance (ISSN 0927-5398). 25 pp 62-82. doi: 10.1016/j.jempfin.2013.11.006. 2014.
. Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation. Statistics and computing (ISSN 0960-3174). 24(5) pp 785-801. doi: 10.1007/s11222-013-9402-8. 2014.
. Introducing localgauss, an R package for estimating and visualizing local Gaussian correlation. Journal of Statistical Software (ISSN 1548-7660). 56(12) pp 1-18. doi: 10.18637/jss.v056.i12. 2014.
. Model selection of copulas: AIC versus a cross validation copula information criterion. Statistics and Probability Letters (ISSN 0167-7152). 92 pp 249-255. doi: 10.1016/j.spl.2014.06.006. 2014.
2013
. Bias and bandwidth for local likelihood density estimation. Statistics and Probability Letters (ISSN 0167-7152). 83(5) pp 1382-1387. doi: 10.1016/j.spl.2013.02.003. 2013.
. Local Gaussian correlation: A new measure of dependence. Journal of Econometrics (ISSN 0304-4076). 172(1) pp 33-48. doi: 10.1016/j.jeconom.2012.08.001. 2013.
. Estimation in threshold autoregressive models with a stationary and a unit root regime. Journal of Econometrics (ISSN 0304-4076). 172(1) pp 1-13. doi: 10.1016/j.jeconom.2011.12.006. 2013.
2012
. Null recurrent unit root processes. Econometric Theory (ISSN 0266-4666). 28(1) pp 1-41. doi: 10.1017/S0266466611000119. 2012.
. Estimation of trends in extreme melt-season duration at Svalbard. International Journal of Climatology (ISSN 0899-8418). 32(14) pp 2227-2239. doi: 10.1002/joc.3395. 2012.
. Simulations of multi-beam sonar echos from schooling individual fish in a quiet environment. Journal of the Acoustical Society of America (ISSN 0001-4966). 132(6) pp 3720-3734. doi: 10.1121/1.4763981. 2012.
. The dynamics of coordinated group hunting and collective information transfer among schooling prey. Current Biology (ISSN 0960-9822). 22(13) pp 1213-1217. doi: 10.1016/j.cub.2012.04.050. 2012.
. Some recent theory for autoregressive count time series. Test (Madrid) (ISSN 1133-0686). 21(3) pp 413-438. doi: 10.1007/s11749-012-0296-0. 2012.
. Nonlinear Poisson autoregression. Annals of the Institute of Statistical Mathematics (ISSN 0020-3157). 64(6) pp 1205-1225. doi: 10.1007/s10463-012-0351-3. 2012.
. On weak dependence conditions for Poisson autoregressions. Statistics and Probability Letters (ISSN 0167-7152). 82(5) pp 942-948. doi: 10.1016/j.spl.2012.01.015. 2012.
. A convolution estimator for the density of nonlinear regression observations. Scandinavian Journal of Statistics (ISSN 0303-6898). 39(2) pp 282-304. doi: 10.1111/j.1467-9469.2011.00762.x. 2012.
2011
. Log-linear Poisson autoregression. Journal of Multivariate Analysis (ISSN 0047-259X). 102(3) pp 563-578. doi: 10.1016/j.jmva.2010.11.002. 2011.
2010
. Nonparametric regression estimation in a null recurrent time series. Journal of Statistical Planning and Inference (ISSN 0378-3758). 140(12) pp 3619-3626. doi: 10.1016/j.jspi.2010.04.029. 2010.
2009
. Nonparametric Additive Models for Panels of Time Series. Econometric Theory (ISSN 0266-4666). 25(2) pp 442-481. doi: 10.1017/S0266466608090142. 2009.
. Two heuristic approaches to describe periodicities in genomic microarrays. Norsk Epidemiologi (ISSN 0803-2491). 19(1) pp 79-98. 2009.
. The sampling volume of trawl and acoustics: estimating availability probabilities from observations of tracked individual fish. Canadian Journal of Fisheries and Aquatic Sciences (ISSN 0706-652X). 66(3) pp 425-438. doi: 10.1139/F09-004. 2009.
. Specification testing in nonlinear and nonstationary time series regression. Annals of Statistics (ISSN 0090-5364). 37 pp 3893-3928. doi: 10.1214/09-AOS698. 2009. Fulltekst
. Poisson autoregression. Journal of the American Statistical Association (ISSN 0162-1459). 104(488) pp 1430-1439. doi: 10.1198/jasa.2009.tm08270. 2009.
. NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY. Econometric Theory (ISSN 0266-4666). 25(6) pp 1869-1892. doi: 10.1017/S0266466609990363. 2009.
. Seasonal cycles and long-term trends of plankton in shelf and oceanic habitats of the Norwegian Sea in relation to environmental varaibales. Deep-Sea Research Part II: Topical Studies in Oceanography (ISSN 0967-0645). 56(21-22) pp 1895-1909. doi: 10.1016/j.dsr2.2008.11.004. 2009.
. Specification testing in regression with nonstatisonarity. Econometric Theory (ISSN 0266-4666). 25 pp 1869-1892. doi: 10.1017/S0266466609990363. 2009.
. Two heuristic approaches to describe periodicities in genomic microarrays. Norsk Epidemiologi (ISSN 0803-2491). 19(1) pp 79-98. 2009.
. Adaptively varying-coefficient spatiotemporal models. Journal of The Royal Statistical Society Series B-statistical Methodology (ISSN 1369-7412). 71(Part 4) pp 859-880. 2009.
. Nonparametric additive models for panels of time series. Econometric Theory (ISSN 0266-4666). 25(2) pp 442-481. doi: 10.1017/S0266466608090142. 2009.
2008
. Spatial smoothing, Nugget effect and infill asymptotics. Statistics and Probability Letters (ISSN 0167-7152). 78(18) pp 3145-3151. doi: 10.1016/j.spl.2008.06.002. 2008.
. Linear and nonlinear alignment of time series with applications to varve chronologies. Environmetrics (ISSN 1180-4009). 19(4) pp 409-427. 2008.
. Linear and nonlinear alignment of time series with applications to varve chronologies. Environmetrics (ISSN 1180-4009). 19(4) pp 409-427. doi: 10.1002/env.887. 2008.
. Moment inequalities for spatial processes. Statistics and Probability Letters (ISSN 0167-7152). 78(6) pp 687-697. doi: 10.1016/j.spl.2007.09.032. 2008.
2007
. Nonparametric estimation in a nonlinear cointegration type model. Annals of Statistics (ISSN 0090-5364). 35(1) pp 252-299. doi: 10.1214/009053606000001181. 2007. Omtale
. Can the precision of bottom trawl indices be increased by using simultaneously collected acoustic data? The Barents Sea experience. Canadian Journal of Fisheries and Aquatic Sciences (ISSN 0706-652X). 64(10) pp 1390-1402. doi: 10.1139/F07-101. 2007.
. A Cautionary Note on the Use of the Kolmogorov–Smirnov Test for Normality. Monthly Weather Review (ISSN 0027-0644). 135(3) pp 1151-1157. doi: 10.1175/MWR3326.1. 2007. Omtale
. Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory. Statistica sinica (ISSN 1017-0405). 17(1) pp 177-197. 2007.
. Exploring spatial nonlinearity using additive approximation. Bernoulli (ISSN 1350-7265). 13(2) pp 447-472. doi: 10.3150/07-BEJ5093. 2007.
2006
. Nonlinear alignment of time series with applications to varv chronologies. Environmetrics (ISSN 1180-4009). 2006.
. Estimation in semiparametric spatial regression. Annals of Statistics (ISSN 0090-5364). 34(3) pp 1395-1435. doi: 10.1214/009053606000000317. 2006.
2005
. When fish meet a trawling vessel: examining the behaviour of gadoids using a free-floating buoy and acoustic split-beam tracking. Canadian Journal of Fisheries and Aquatic Sciences (ISSN 0706-652X). 62 pp 2409-2422. 2005.
2004
. Nonparametric estimation and testing in panels of intercorrelated time series. Journal of Time Series Analysis (ISSN 0143-9782). 25 pp 831-872. 2004.
. Diurnal variation in acoustic densities: why do we see less in the dark? Canadian Journal of Fisheries and Aquatic Sciences (ISSN 0706-652X). 61(11) pp 2237-2254. 2004.
. Decomposing and explaining the variability of bottom trawl survey data from the Barents Sea. Sarsia (ISSN 0036-4827). 89 pp 196-210. 2004.
. Revealing some unexpected dependence properties of linear combinations of stable random variables using symmetric covariations. Communications in Statistics - Theory and Methods (ISSN 0361-0926). 33 pp 769-786. 2004.
2003
. Avoidance behaviour in cod (Gadus morhua) to a bottom-trawling vessel. Aquatic Living Resources (ISSN 0990-7440). 16(3) pp 265-270. doi: 10.1016/S0990-7440(03)00020-2. 2003.
2002
. Nonparametric estimation and testing of additive time series models. Econometric Theory (ISSN 0266-4666). 18 pp 197-251. 2002.
. Modelling diurnal variation in bottom trawl survey catches: does it pay to adjust? Canadian Journal of Fisheries and Aquatic Sciences (ISSN 0706-652X). 59 pp 33-48. 2002.
. The measurement error of marine survey registrations: the bottom trawl case. Fishery Bulletin (ISSN 0090-0656). 2002.
2001
. Nonparametric estimation in null recurrent time series. Annals of Statistics (ISSN 0090-5364). 29(2) pp 372-416. 2001.
. Modelling diurnal variations in marine populations. Biometrics (ISSN 0006-341X). 57 pp 189-196. 2001.
1999
. Modeling panels of intercorrelated autoregressive time series. Biometrika (ISSN 0006-3444). pp 572-590. 1999.
1998
. Local polynomial approximation and linearity testing. Journal of Statistical Planning and Inference (ISSN 0378-3758). 68 pp 295-321. 1998.
. Local polynomial approximation and linearity testing. Journal of Statistical Planning and Inference (ISSN 0378-3758). 68 pp 295-321. 1998.
1997
. Additive nonlinear ARX time series and projection estimates. Econometric Theory (ISSN 0266-4666). 13(2) pp 214-252. 1997.
1996
. Nonparametric statistics for testing linearity and serial independence. Nonparametric Statistics 6 pp 223-251. 1996.
. Testing for serial independence using measures of distance between densities. Springer Lectures Notes in Statistics, 115 115 1996.
. Measures of dependence and tests of independence independence. Statistics 1996.
1995
. Nonparametric tests of linearity for time series. Biometrika (ISSN 0006-3444). 82 pp 351-368. 1995.
. Nonparametric estimation and identification of nonlinear ARCH time series. Econometric Theory (ISSN 0266-4666). 11 pp 258-289. 1995.
1994
. Non-parametric identification of nonlinear time series : Projections. Journal of the American Statistical Association (ISSN 0162-1459). 89 pp 1398-1409. 1994.
. Non-parametric identification of nonlinear time series : Selecting significant lags. Journal of the American Statistical Association (ISSN 0162-1459). 89 pp 1410-1419. 1994.
. Nonlinear time series. A selective review. Scandinavian Journal of Statistics (ISSN 0303-6898). 21 pp 97-130. 1994.
. Nonparametric identification of nonlinear time series: Projections. Journal of the American Statistical Association (ISSN 0162-1459). 1994.
. Nonparametric identification of nonlinear time series: Selecting significant lags. Journal of the American Statistical Association (ISSN 0162-1459). 1994.
1993
. A nonparametric test of serial independence based on the empirical distribution function. Biometrika (ISSN 0006-3444). 80(3) pp 591-602. 1993.
1991
. Functional identification in nonlinear time series. ? 1991.
1990
. Identification of nonlinear time series: First order characterization and order determination. ? 1990.
Academic chapter/article/Conference paper
2015
. Count time series models with latent autoregressive dynamics. In: Handbook of Discrete-Valued Time Series. (ISBN 9781466577732). pp 77-100. 2015.
2012
. Modelling nonlinear and nonstationary time series. In: Time series analysis : methods and applications. (ISBN 978-0-444-53858-1). pp 67-97. 2012.
2007
. A new convolution estimator for nonparametric regression. In: A new convolution estimator for nonparametric regression. (ISBN 978-981-270-369-9). pp 363-384. 2007.
. A new convolution estimator for nonparametric regression. In: Advances in statistical modeling and inference: Essays in honor of Kjell A. Doksum. (ISBN 978-981-270-369-9). pp 363-384. 2007.
2002
. Nonlinear unit root processes and the problem of nonlinear cointegration. In: Essays on Uncertainty. Festskrift for Steinar Ekern. Norwegian Business School. pp 91-120. 2002.
. Nonlinear Unit Root Processes and the Problem of Nonlinear Cointegration. In: Essays on Uncertainty. (ISBN 82-405-0081-1). pp 91-119. 2002.
. Nonlinear Unit Root Processes and the Problem of Nonlinear Cointegration. In: Nonlinear Unit Root Processes and the Problem of Nonlinear Cointegration. pp 91-119. 2002.
1999
. Residual variance estimates and order determination in panels of intercorrelated time series. In: Cointegration, causality, and forecasting : a Festschrift in honour of Clive W. J. Granger. (ISBN 0-19-829683-5). pp 385-409. 1999.
. Nonparametric specification tests for time series. In: Asymptotics, Nonparametrics and Time Series: a tribute to Madan Lal Puri. (ISBN 9780824700515). pp 149-200. 1999.
1998
. Nonparametric specification procedures for time series. In: Asymptotic, Nonparametric and Time Series. 1998.
. Exploring time series using semi- and nonparametric methods. In: Proceedings Compstat, Bristol 1998. pp 125-136. 1998.
1994
. Aspects of modelling nonlinear time series. In: Handbook of Economics. (ISBN 82-456-0580-8). pp 2919-2957. 1994.
Academic lecture
2018
. Characterizing Conditional Dependence and Testing for Conditional Independence using the Local Gaussian Partial Correlation. 4th Conference of the International Society for Nonparametric Statistics (ISNPS); Salerno, 6/11/2018 - 6/15/2018.
2017
. Estimating multivariate and conditional density functions using local Gaussian approximations. 1st International Conference on Econometrics and Statistics (EcoSta 2017); Hong Kong, 6/15/2017 - 6/17/2017.
2013
. Recognizing and visualizing copulas: an approach using local Gaussian approximation. 7th International Conference on Computational and Financial Econometrics; London, 12/14/2013 - 12/16/2013.
. Improved morphological fish school characterization using simulations of multibeam sonar data. ICES; San Sebastian, 4/16/2013 - 4/19/2013.
2011
. Multivariate Poisson Autoregression. The 16th Norwegian Statistical Conference; Røros, 6/14/2011 - 6/17/2011.
2010
. Asymmetries in Financial Returns: A Local Gaussian Correlation Approach. CFE’10 (4th CSDA International Conference on Computational and Financial Econometrics); London, 12/10/2010 - 12/12/2010.
. Asymmetries in Financial Returns: A Local Gaussian Correlation Approach. SETA 2010 (The 2010 International Symposium on Econometric Theory and Applications); Singapore, 4/29/2010 - 5/1/2010.
. Measuring Financial Contagion by Local Gaussian Correlation. 23rd Nordic Conference on Mathematical Statistics (NORDSTAT); Voss, 6/14/2010 - 6/17/2010.
. Measuring Financial Contagion by Local Gaussian Correlation. FIBE XXVII - Fagkonferanse i bedriftsøkonomiske emner; Bergen, 1/7/2010 - 1/8/2010.
2009
. Asymmetries in Financial Returns: A Local Gaussian Correlation Approach. FIBE XXVI - Fagkonferanse i bedriftsøkonomiske emner; Bergen, 1/8/2009 - 1/9/2009.
. Asymmetries in financial returns: A local Gaussian correlation approach. Fagkonferanse i bedriftsøkonomiske emner; Bergen, 1/8/2009 - 1/9/2009.
. Measuring financial contagion by local Gaussian correlation. 3rd International Conference on Computational and Financial Econometrics; Limassol, Kypros, 12/29/2009 - 12/31/2009.
2003
. Avoidance behaviour in cod (Gadus morhua) to a bottom-trawling vessel. ICES Symposium on "Acoustics in Fisheries and Aquatic Ecology"; Montpellier, 6/10/2003 - 6/15/2003.
. Nonparametric estimation in additive models. Universitetet i Santiago del Compostela; Santiago del Compostela, Spania, 2/6/2003.
. Nonparametric estimation in a nonstationary context with applications to nonlinear cointegration. Universitetet i La Coruna; La Coruna, Spania, 2/7/2003.
2002
. Nonparametric estimation in a nonstationary context. Recent advances in nonpåarametrics; Kreta, Hellas, 1/1/2002.
. Survey of nonlinear time series models. Department of Mathematics, University of Western Australia; Perth, Australia, 1/1/2002.
. Introduction to nonparametric methods. Department of Mathematics, University of Cyprus; Nicosia, Kypros, 1/1/2002.
. Nonparametric estimation in a nonstationary context. Department of Mathematics, University of California, San Diego; San Diego, USA, 1/1/2002.
. Survey of nonlinear time series modesl. National University of Singapore; MANGLER, 1/1/2002.
2001
. Two recent developments in nonstationary and nonlinear time series modeling. Canadian Statistical Meeting; Vancouver, Canada, 6/11/2001 - 6/15/2001.
2000
. Analysing panels of intercorrelated time series. Universite Science et Sociales; Toulouse, Frankrike, 1/1/2000.
. Nonlinear cointegration. London School of Economics; London, Storbritannia, 1/1/2000.
. Nonlinear cointegration. Universitetet i Montpellier; Montpellier, Frankrike, 1/1/2000.
. Nonparametric estimation for nonstationary processes. Academy of Sciences; Beijing, Kina, 1/1/2000.
. Alignment of time series. Universite Paul Sabatier; Toulouse, Frankrike, 1/1/2000.
. Linearity tests for time series. Universitetet i Bilbao; Bilbao, Spania, 1/1/2000.
. Exploratory data analysis and linearity tests for time series. Universite Paul Sabatier; Toulouse, Frankrike, 1/1/2000.
. Om additive modeller. Sosialøkonomisk institutt, NTNU; Trondheim, 1/1/2000.
. Intercorrelated panels. Linear and nonlinera models. Statistics 2000; Szklaska Poreba, Polen, 1/1/2000.
. Additive models: an alternative to linear models in econometrics. Workshop nonlinear econometrics; Norges Bank, 1/1/2000.
. Nonlinear models for a panel of intercorrelated time series. International time series conference; Tokio, Japan, 1/1/2000.
. Exploring models for panels of time series. Internation conference on forecasting; Lisboa, Portugal, 6/21/2000.
1998
. Exploring time series using semi- and nonparametric methods. Compstat Meeting; Bristol, England, .
1997
. Panels of intercorrelated time series. Workshop on time series in Biology; Oslo, .
. Nonparametric analysis for null recurrent processes. Workshop on long range dependence; Guanajuato, Mexico, .
. Linear and nonlinear models for panels of time series. Workshop on semiparametric methods; Leiden, Nederland, .
. Nonparametric methods of time series. 2nd Scandinavian-Ukrainian Meeting on Statistics; Umeå, Sverige, .
Lecture
2019
. Measuring conditional dependence using the local Gaussian partial correlation. 13th International Conference on Computational and Financial Econometrics, 12/14/2019 - 12/16/2019.
Poster
2008
. A convolution density estimator for nonlinear time series: Simulations and some preliminary analysis. International Workshop in Recent Advances in Time Series Analysis; University of Cyprus, 6/8/2008 - 6/11/2008.
Doctoral dissertation
2017
. Nonlinear Spectrum Analysis based on the Local Gaussian Correlation and Model Selection for Copulas. University of Bergen. 2017. Fulltekst Omtale
2016
. Multivariate and conditional density estimation using local Gaussian approximations. University of Bergen. 2016. Fulltekst Omtale
. Local Gaussian Correlation for Time Series and Regular Vine Estimation for Bayesian Networks. University of Bergen. 2016. Omtale
Report
2016
. Non-parametric estimation of conditional densities: A new method. Norges Handelshøyskole. Institutt for foretaksøkonomi. Norges Handelshoeyskole. Institutt for Foretaksoekonomi. Discussion Paper 22. pp 25. 2016. Fulltekst
2011
. Using Local Gaussian Correlation in a Nonlinear Re-examination of Financial Contagion. Samfunns- og næringslivsforskning AS. Arbeidsnotat 14. pp 34. 2011. Fulltekst
2010
. Measuring Financial Contagion by Local Gaussian Correlation. Norges Handelshøyskole. Institutt for foretaksøkonomi. 12. pp 31. 2010. Omtale
2007
. A Convolution Estimator for the Density of Nonlinear Regression Observations. Norges Handelshøyskole. Institutt for foretaksøkonomi. 25. pp 33. 2007. Omtale
2000
. Nonparametric estimation in a nonlinear cointegration type model. Sonderforschungsbereich 373. Quantification and Simulation of Economic Processes 33. pp 46. 2000.
1998
. Nonparametric estimation for null recurrent time series. Humboldt Universität zu Berlin, Sonderforschungsbereich 373. Discussion paper 1998.
. Modelling panels of intercorrelated autoregressive time series. Humboldt Universität zu Berlin, Sonderforschungsbereich 373. Discussion paper 1998.
1997
. Nonparametric estimation of interaction in additive models. Humboldt Universit@æt zu Berlin. Discussion Paper 1997.
1990
. Functional identification in nonlinear timeseries. Report No.21 July 1990. Universitetet i Bergen, matematisk institutt. Reports publ.by the Inst.of Mathematics, Dept.of Statistics 1990.
1989
. Identification of nonlinear timeseries. First order characterization and order determination. Report No.20 Nov.1989. Universitetet i Bergen, matematisk institutt. Reports publ.by the Inst.of Mathematics, Dept.of Statistics 1989.
1988
. Segmentation of data traces with applications to dipmeter oilwell measurements. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 18. 1988.
. Estimation of AR parameters in time series with suddenley changing structure. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 19. 1988.
1987
. Consistent estimates of the NEAR(2) and NLAR(2) time series models. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 17. 1987.
1986
. Loss of spectral peaks in autoregressive spectral estimation. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 12. 1986.
. Fitting nonstationary autoregressive models to dipmeter data. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 13. 1986.
1985
. Multiple bilinear time series models. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 11. 1985.
1983
. Theory and practice of multivariate arma forecasting. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 7. 1983.
. On the estimation of residual variances and order in autoregressive time series. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 6. 1983.
. Autoregressive processes with a time dependent variance II: Some further properties of least sequances estimates. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 8. 1983.
1981
. Bias and some commonly used time series estimates. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 2. 1981.
. Autoregressive processes with a time dependent variance. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 1. 1981.
Popular scientific lecture
1998
. Panels of intercorrelated time series. International sympopsium; [Mangler data], Taipei, Taiwan, .
. Specification procedures for linear and nonlinear time series. EMFI; [Mangler data], Madrid, Spania, .
. Panels of intercorrelated time series in linear and nonlinear models. EMFI; [Mangler data], Madrid, Spania, .
. Nonparametric estimation for null recurrent time series. Workshop on time series analysis; [Mangler data], Montreal, Canada, .
. Panels of intercorrelated time series: Linear and nonlinear models. Workshop; [Mangler data], Norges Bank, .
1997
. Panels of intercorrelated time series. Weierstrass Institute; [Mangler data], Berlin, .
. Panels of intercorrelated time series: Linear and nonlinear models. Technical University of Vienna; [Mangler data], [Mangler data], .
. Exploring time series using nonparametric methods. University of Vienna; [Mangler data], [Mangler data], .
. Panels of intercorrelated time series: Linear and nonlinear models. Universit#/e Libre; [Mangler data], Brussel, .
1994
. Tests of Independence. Nonlinear economics; [Mangler data], [Mangler data], .
Article in business/trade/industry journal
2019
. Discussion of Models as Approximations I & II. Statistical Science (ISSN 0883-4237). 34(4) pp 575-579. doi: 10.1214/19-STS725. 2019.
Editorial
2012
. Rejoinder on: Some recent theory for autoregressive count time series. Test (Madrid) (ISSN 1133-0686). 21(3) pp 469-476. doi: 10.1007/s11749-012-0305-3. 2012.
Academic monograph
2021
2010
| Name: | Dag Bjarne Tjøstheim |
| Title: | Professor II |
| Phone: | (+47) +47 22 85 25 00 |
| Email: | Dag [dot] Tjostheim [at] math [dot] uib [dot] no |
| Scientific areas: | Statistical dependence, Time series, Spatial models, Fishery statistics, Nonparametric methods |
| Add to contacts (vCard) |
| Show publications |
Academic anthology/Conference proceedings
2000
(eds). Nonlinear econometric modeling in time series analysis. Cambridge University Press. (ISBN 0-521-59424-3). pp 227. 2000.
Non-fiction book
1998
. Nonparametric specification procedures for time series, in Asymptotic, Nonparametrics and Time Series. : 1998.
Academic article
2022
. Local Lead–Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis. Entropy (ISSN 1099-4300). 24(3) pp 1-18. doi: 10.3390/e24030378. 2022.
. Statistical dependence: Beyond Pearson’s ρ. Statistical Science (ISSN 0883-4237). 37(1) pp 90-109. doi: 10.1214/21-STS823. 2022.
2021
. Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations. Finance Research Letters (ISSN 1544-6123). pp 1-9. doi: 10.1016/j.frl.2021.102475. 2021.
. The locally Gaussian partial correlation. Journal of business & economic statistics (ISSN 0735-0015). doi: 10.1080/07350015.2021.1886107. 2021.
2020
. Nonlinear Spectral Analysis: A Local Gaussian Approach. Journal of the American Statistical Association (ISSN 0162-1459). doi: 10.1080/01621459.2020.1840991. 2020. Arkiv
. Robust nonlinear regression estimation in null recurrent time series. Journal of Econometrics (ISSN 0304-4076). doi: 10.1016/j.jeconom.2020.03.028. 2020.
. Pairwise local Fisher and naive Bayes: Improving two standard discriminants. Journal of Econometrics (ISSN 0304-4076). 216(1) pp 284-304. doi: 10.1016/j.jeconom.2020.01.019. 2020. Arkiv
. Multivariate count autoregression. Bernoulli (ISSN 1350-7265). 26(1) pp 471-499. doi: 10.3150/19-BEJ1132. 2020.
. Some notes on nonlinear cointegration: A partial review with some novel perspectives. Econometric Reviews (ISSN 0747-4938). 39(7) pp 655-673. doi: 10.1080/07474938.2020.1771900. 2020.
. On bandwidth choice for spatial data density estimation. Journal of The Royal Statistical Society Series B-statistical Methodology (ISSN 1369-7412). 82(3) pp 817-840. doi: 10.1111/rssb.12367. 2020.
2019
. Discussion of Models as Approximations I & II. Statistical Science (ISSN 0883-4237). 34(4) pp 575-579. doi: 10.1214/19-STS725. 2019.
2018
. Estimating and Testing Nonlinear Local Dependence Between Two Time Series. Journal of business & economic statistics (ISSN 0735-0015). pp 1-13. doi: 10.1080/07350015.2017.1407777. 2018.
. Asymptotic normality and parameter change test for bivariate Poisson INGARCH models. Test (Madrid) (ISSN 1133-0686). 27(1) pp 52-69. doi: 10.1007/s11749-016-0510-6. 2018.
2017
. Self-exciting jump processes with applications to energy markets. Annals of the Institute of Statistical Mathematics (ISSN 0020-3157). 70(2) pp 373-393. doi: 10.1007/s10463-016-0591-8. 2017.
. Conditional density estimation using the local Gaussian correlation. Statistics and computing (ISSN 0960-3174). 28(2) pp 303-321. doi: 10.1007/s11222-017-9732-z. 2017.
. A new class of bivariate threshold cointegration models. Journal of business & economic statistics (ISSN 0735-0015). 35(2) pp 288-305. doi: 10.1080/07350015.2015.1062385. 2017.
. Specification testing for nonlinear multivariate cointegrating regressions. Journal of Econometrics (ISSN 0304-4076). 200(1) pp 104-117. doi: 10.1016/j.jeconom.2017.05.016. 2017.
. Local Gaussian autocorrelation and tests for serial independence. Journal of Time Series Analysis (ISSN 0143-9782). 38(1) pp 51-71. doi: 10.1111/jtsa.12195. 2017.
2016
. Some properties of local Gaussian correlation and other nonlinear dependence measures. Journal of Time Series Analysis (ISSN 0143-9782). 38(2) pp 352-380. doi: 10.1111/jtsa.12183. 2016.
. Estimation for single-index and partially linear single-index integrated models. Annals of Statistics (ISSN 0090-5364). 44(1) pp 425-453. doi: 10.1214/15-AOS1372. 2016.
. The locally Gaussian density estimator for multivariate data. Statistics and computing (ISSN 0960-3174). Published ahead of print pp 1-22. doi: 10.1007/s11222-016-9706-6. 2016.
. Estimation in nonlinear regression with harris recurrent markov chains. Annals of Statistics (ISSN 0090-5364). 44(5) pp 1957-1987. doi: 10.1214/15-AOS1379. 2016.
. Estimation and simulation of multi-beam sonar noise. Journal of the Acoustical Society of America (ISSN 0001-4966). 139(2) pp 851-862. doi: 10.1121/1.4941913. 2016.
2015
. Nonparametric regression estimation for multivariate null recurrent processes. Econometrics (ISSN 2225-1146). 3 pp 265-288. doi: 10.3390/econometrics3020265. 2015.
2014
. Recognizing and visualizing copulas: An approach using local Gaussian approximation. Insurance, Mathematics & Economics (ISSN 0167-6687). 57(1) pp 90-103. doi: 10.1016/j.insmatheco.2014.04.005. 2014.
. Modellering av avhengigheter i finansmarkeder : lokal gaussisk korrelasjon. Magma - Tidsskrift for økonomi og ledelse (ISSN 1500-0788). 17(6/7) pp 103-113. 2014. Fulltekst
. Uniform consistency for nonparametric estimators in null recurrent time series. Econometric Theory (ISSN 0266-4666). 760 doi: 10.1017/S0266466614000577. 2014.
. Nonparametric estimation of probability density functions for irregularly observed spatial data. Journal of the American Statistical Association (ISSN 0162-1459). 109(508) pp 1546-1564. doi: 10.1080/01621459.2014.947376. 2014.
. Using local Gaussian correlation in a nonlinear re-examination of financial contagion. Journal of Empirical Finance (ISSN 0927-5398). 25 pp 62-82. doi: 10.1016/j.jempfin.2013.11.006. 2014.
. Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation. Statistics and computing (ISSN 0960-3174). 24(5) pp 785-801. doi: 10.1007/s11222-013-9402-8. 2014.
. Introducing localgauss, an R package for estimating and visualizing local Gaussian correlation. Journal of Statistical Software (ISSN 1548-7660). 56(12) pp 1-18. doi: 10.18637/jss.v056.i12. 2014.
. Model selection of copulas: AIC versus a cross validation copula information criterion. Statistics and Probability Letters (ISSN 0167-7152). 92 pp 249-255. doi: 10.1016/j.spl.2014.06.006. 2014.
2013
. Bias and bandwidth for local likelihood density estimation. Statistics and Probability Letters (ISSN 0167-7152). 83(5) pp 1382-1387. doi: 10.1016/j.spl.2013.02.003. 2013.
. Local Gaussian correlation: A new measure of dependence. Journal of Econometrics (ISSN 0304-4076). 172(1) pp 33-48. doi: 10.1016/j.jeconom.2012.08.001. 2013.
. Estimation in threshold autoregressive models with a stationary and a unit root regime. Journal of Econometrics (ISSN 0304-4076). 172(1) pp 1-13. doi: 10.1016/j.jeconom.2011.12.006. 2013.
2012
. Null recurrent unit root processes. Econometric Theory (ISSN 0266-4666). 28(1) pp 1-41. doi: 10.1017/S0266466611000119. 2012.
. Estimation of trends in extreme melt-season duration at Svalbard. International Journal of Climatology (ISSN 0899-8418). 32(14) pp 2227-2239. doi: 10.1002/joc.3395. 2012.
. Simulations of multi-beam sonar echos from schooling individual fish in a quiet environment. Journal of the Acoustical Society of America (ISSN 0001-4966). 132(6) pp 3720-3734. doi: 10.1121/1.4763981. 2012.
. The dynamics of coordinated group hunting and collective information transfer among schooling prey. Current Biology (ISSN 0960-9822). 22(13) pp 1213-1217. doi: 10.1016/j.cub.2012.04.050. 2012.
. Some recent theory for autoregressive count time series. Test (Madrid) (ISSN 1133-0686). 21(3) pp 413-438. doi: 10.1007/s11749-012-0296-0. 2012.
. Nonlinear Poisson autoregression. Annals of the Institute of Statistical Mathematics (ISSN 0020-3157). 64(6) pp 1205-1225. doi: 10.1007/s10463-012-0351-3. 2012.
. On weak dependence conditions for Poisson autoregressions. Statistics and Probability Letters (ISSN 0167-7152). 82(5) pp 942-948. doi: 10.1016/j.spl.2012.01.015. 2012.
. A convolution estimator for the density of nonlinear regression observations. Scandinavian Journal of Statistics (ISSN 0303-6898). 39(2) pp 282-304. doi: 10.1111/j.1467-9469.2011.00762.x. 2012.
2011
. Log-linear Poisson autoregression. Journal of Multivariate Analysis (ISSN 0047-259X). 102(3) pp 563-578. doi: 10.1016/j.jmva.2010.11.002. 2011.
2010
. Nonparametric regression estimation in a null recurrent time series. Journal of Statistical Planning and Inference (ISSN 0378-3758). 140(12) pp 3619-3626. doi: 10.1016/j.jspi.2010.04.029. 2010.
2009
. Nonparametric Additive Models for Panels of Time Series. Econometric Theory (ISSN 0266-4666). 25(2) pp 442-481. doi: 10.1017/S0266466608090142. 2009.
. Two heuristic approaches to describe periodicities in genomic microarrays. Norsk Epidemiologi (ISSN 0803-2491). 19(1) pp 79-98. 2009.
. The sampling volume of trawl and acoustics: estimating availability probabilities from observations of tracked individual fish. Canadian Journal of Fisheries and Aquatic Sciences (ISSN 0706-652X). 66(3) pp 425-438. doi: 10.1139/F09-004. 2009.
. Specification testing in nonlinear and nonstationary time series regression. Annals of Statistics (ISSN 0090-5364). 37 pp 3893-3928. doi: 10.1214/09-AOS698. 2009. Fulltekst
. Poisson autoregression. Journal of the American Statistical Association (ISSN 0162-1459). 104(488) pp 1430-1439. doi: 10.1198/jasa.2009.tm08270. 2009.
. NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY. Econometric Theory (ISSN 0266-4666). 25(6) pp 1869-1892. doi: 10.1017/S0266466609990363. 2009.
. Seasonal cycles and long-term trends of plankton in shelf and oceanic habitats of the Norwegian Sea in relation to environmental varaibales. Deep-Sea Research Part II: Topical Studies in Oceanography (ISSN 0967-0645). 56(21-22) pp 1895-1909. doi: 10.1016/j.dsr2.2008.11.004. 2009.
. Specification testing in regression with nonstatisonarity. Econometric Theory (ISSN 0266-4666). 25 pp 1869-1892. doi: 10.1017/S0266466609990363. 2009.
. Two heuristic approaches to describe periodicities in genomic microarrays. Norsk Epidemiologi (ISSN 0803-2491). 19(1) pp 79-98. 2009.
. Adaptively varying-coefficient spatiotemporal models. Journal of The Royal Statistical Society Series B-statistical Methodology (ISSN 1369-7412). 71(Part 4) pp 859-880. 2009.
. Nonparametric additive models for panels of time series. Econometric Theory (ISSN 0266-4666). 25(2) pp 442-481. doi: 10.1017/S0266466608090142. 2009.
2008
. Spatial smoothing, Nugget effect and infill asymptotics. Statistics and Probability Letters (ISSN 0167-7152). 78(18) pp 3145-3151. doi: 10.1016/j.spl.2008.06.002. 2008.
. Linear and nonlinear alignment of time series with applications to varve chronologies. Environmetrics (ISSN 1180-4009). 19(4) pp 409-427. 2008.
. Linear and nonlinear alignment of time series with applications to varve chronologies. Environmetrics (ISSN 1180-4009). 19(4) pp 409-427. doi: 10.1002/env.887. 2008.
. Moment inequalities for spatial processes. Statistics and Probability Letters (ISSN 0167-7152). 78(6) pp 687-697. doi: 10.1016/j.spl.2007.09.032. 2008.
2007
. Nonparametric estimation in a nonlinear cointegration type model. Annals of Statistics (ISSN 0090-5364). 35(1) pp 252-299. doi: 10.1214/009053606000001181. 2007. Omtale
. Can the precision of bottom trawl indices be increased by using simultaneously collected acoustic data? The Barents Sea experience. Canadian Journal of Fisheries and Aquatic Sciences (ISSN 0706-652X). 64(10) pp 1390-1402. doi: 10.1139/F07-101. 2007.
. A Cautionary Note on the Use of the Kolmogorov–Smirnov Test for Normality. Monthly Weather Review (ISSN 0027-0644). 135(3) pp 1151-1157. doi: 10.1175/MWR3326.1. 2007. Omtale
. Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory. Statistica sinica (ISSN 1017-0405). 17(1) pp 177-197. 2007.
. Exploring spatial nonlinearity using additive approximation. Bernoulli (ISSN 1350-7265). 13(2) pp 447-472. doi: 10.3150/07-BEJ5093. 2007.
2006
. Nonlinear alignment of time series with applications to varv chronologies. Environmetrics (ISSN 1180-4009). 2006.
. Estimation in semiparametric spatial regression. Annals of Statistics (ISSN 0090-5364). 34(3) pp 1395-1435. doi: 10.1214/009053606000000317. 2006.
2005
. When fish meet a trawling vessel: examining the behaviour of gadoids using a free-floating buoy and acoustic split-beam tracking. Canadian Journal of Fisheries and Aquatic Sciences (ISSN 0706-652X). 62 pp 2409-2422. 2005.
2004
. Nonparametric estimation and testing in panels of intercorrelated time series. Journal of Time Series Analysis (ISSN 0143-9782). 25 pp 831-872. 2004.
. Diurnal variation in acoustic densities: why do we see less in the dark? Canadian Journal of Fisheries and Aquatic Sciences (ISSN 0706-652X). 61(11) pp 2237-2254. 2004.
. Decomposing and explaining the variability of bottom trawl survey data from the Barents Sea. Sarsia (ISSN 0036-4827). 89 pp 196-210. 2004.
. Revealing some unexpected dependence properties of linear combinations of stable random variables using symmetric covariations. Communications in Statistics - Theory and Methods (ISSN 0361-0926). 33 pp 769-786. 2004.
2003
. Avoidance behaviour in cod (Gadus morhua) to a bottom-trawling vessel. Aquatic Living Resources (ISSN 0990-7440). 16(3) pp 265-270. doi: 10.1016/S0990-7440(03)00020-2. 2003.
2002
. Nonparametric estimation and testing of additive time series models. Econometric Theory (ISSN 0266-4666). 18 pp 197-251. 2002.
. Modelling diurnal variation in bottom trawl survey catches: does it pay to adjust? Canadian Journal of Fisheries and Aquatic Sciences (ISSN 0706-652X). 59 pp 33-48. 2002.
. The measurement error of marine survey registrations: the bottom trawl case. Fishery Bulletin (ISSN 0090-0656). 2002.
2001
. Nonparametric estimation in null recurrent time series. Annals of Statistics (ISSN 0090-5364). 29(2) pp 372-416. 2001.
. Modelling diurnal variations in marine populations. Biometrics (ISSN 0006-341X). 57 pp 189-196. 2001.
1999
. Modeling panels of intercorrelated autoregressive time series. Biometrika (ISSN 0006-3444). pp 572-590. 1999.
1998
. Local polynomial approximation and linearity testing. Journal of Statistical Planning and Inference (ISSN 0378-3758). 68 pp 295-321. 1998.
. Local polynomial approximation and linearity testing. Journal of Statistical Planning and Inference (ISSN 0378-3758). 68 pp 295-321. 1998.
1997
. Additive nonlinear ARX time series and projection estimates. Econometric Theory (ISSN 0266-4666). 13(2) pp 214-252. 1997.
1996
. Nonparametric statistics for testing linearity and serial independence. Nonparametric Statistics 6 pp 223-251. 1996.
. Testing for serial independence using measures of distance between densities. Springer Lectures Notes in Statistics, 115 115 1996.
. Measures of dependence and tests of independence independence. Statistics 1996.
1995
. Nonparametric tests of linearity for time series. Biometrika (ISSN 0006-3444). 82 pp 351-368. 1995.
. Nonparametric estimation and identification of nonlinear ARCH time series. Econometric Theory (ISSN 0266-4666). 11 pp 258-289. 1995.
1994
. Non-parametric identification of nonlinear time series : Projections. Journal of the American Statistical Association (ISSN 0162-1459). 89 pp 1398-1409. 1994.
. Non-parametric identification of nonlinear time series : Selecting significant lags. Journal of the American Statistical Association (ISSN 0162-1459). 89 pp 1410-1419. 1994.
. Nonlinear time series. A selective review. Scandinavian Journal of Statistics (ISSN 0303-6898). 21 pp 97-130. 1994.
. Nonparametric identification of nonlinear time series: Projections. Journal of the American Statistical Association (ISSN 0162-1459). 1994.
. Nonparametric identification of nonlinear time series: Selecting significant lags. Journal of the American Statistical Association (ISSN 0162-1459). 1994.
1993
. A nonparametric test of serial independence based on the empirical distribution function. Biometrika (ISSN 0006-3444). 80(3) pp 591-602. 1993.
1991
. Functional identification in nonlinear time series. ? 1991.
1990
. Identification of nonlinear time series: First order characterization and order determination. ? 1990.
Academic chapter/article/Conference paper
2015
. Count time series models with latent autoregressive dynamics. In: Handbook of Discrete-Valued Time Series. (ISBN 9781466577732). pp 77-100. 2015.
2012
. Modelling nonlinear and nonstationary time series. In: Time series analysis : methods and applications. (ISBN 978-0-444-53858-1). pp 67-97. 2012.
2007
. A new convolution estimator for nonparametric regression. In: A new convolution estimator for nonparametric regression. (ISBN 978-981-270-369-9). pp 363-384. 2007.
. A new convolution estimator for nonparametric regression. In: Advances in statistical modeling and inference: Essays in honor of Kjell A. Doksum. (ISBN 978-981-270-369-9). pp 363-384. 2007.
2002
. Nonlinear unit root processes and the problem of nonlinear cointegration. In: Essays on Uncertainty. Festskrift for Steinar Ekern. Norwegian Business School. pp 91-120. 2002.
. Nonlinear Unit Root Processes and the Problem of Nonlinear Cointegration. In: Essays on Uncertainty. (ISBN 82-405-0081-1). pp 91-119. 2002.
. Nonlinear Unit Root Processes and the Problem of Nonlinear Cointegration. In: Nonlinear Unit Root Processes and the Problem of Nonlinear Cointegration. pp 91-119. 2002.
1999
. Residual variance estimates and order determination in panels of intercorrelated time series. In: Cointegration, causality, and forecasting : a Festschrift in honour of Clive W. J. Granger. (ISBN 0-19-829683-5). pp 385-409. 1999.
. Nonparametric specification tests for time series. In: Asymptotics, Nonparametrics and Time Series: a tribute to Madan Lal Puri. (ISBN 9780824700515). pp 149-200. 1999.
1998
. Nonparametric specification procedures for time series. In: Asymptotic, Nonparametric and Time Series. 1998.
. Exploring time series using semi- and nonparametric methods. In: Proceedings Compstat, Bristol 1998. pp 125-136. 1998.
1994
. Aspects of modelling nonlinear time series. In: Handbook of Economics. (ISBN 82-456-0580-8). pp 2919-2957. 1994.
Academic lecture
2018
. Characterizing Conditional Dependence and Testing for Conditional Independence using the Local Gaussian Partial Correlation. 4th Conference of the International Society for Nonparametric Statistics (ISNPS); Salerno, 6/11/2018 - 6/15/2018.
2017
. Estimating multivariate and conditional density functions using local Gaussian approximations. 1st International Conference on Econometrics and Statistics (EcoSta 2017); Hong Kong, 6/15/2017 - 6/17/2017.
2013
. Recognizing and visualizing copulas: an approach using local Gaussian approximation. 7th International Conference on Computational and Financial Econometrics; London, 12/14/2013 - 12/16/2013.
. Improved morphological fish school characterization using simulations of multibeam sonar data. ICES; San Sebastian, 4/16/2013 - 4/19/2013.
2011
. Multivariate Poisson Autoregression. The 16th Norwegian Statistical Conference; Røros, 6/14/2011 - 6/17/2011.
2010
. Asymmetries in Financial Returns: A Local Gaussian Correlation Approach. CFE’10 (4th CSDA International Conference on Computational and Financial Econometrics); London, 12/10/2010 - 12/12/2010.
. Asymmetries in Financial Returns: A Local Gaussian Correlation Approach. SETA 2010 (The 2010 International Symposium on Econometric Theory and Applications); Singapore, 4/29/2010 - 5/1/2010.
. Measuring Financial Contagion by Local Gaussian Correlation. 23rd Nordic Conference on Mathematical Statistics (NORDSTAT); Voss, 6/14/2010 - 6/17/2010.
. Measuring Financial Contagion by Local Gaussian Correlation. FIBE XXVII - Fagkonferanse i bedriftsøkonomiske emner; Bergen, 1/7/2010 - 1/8/2010.
2009
. Asymmetries in Financial Returns: A Local Gaussian Correlation Approach. FIBE XXVI - Fagkonferanse i bedriftsøkonomiske emner; Bergen, 1/8/2009 - 1/9/2009.
. Asymmetries in financial returns: A local Gaussian correlation approach. Fagkonferanse i bedriftsøkonomiske emner; Bergen, 1/8/2009 - 1/9/2009.
. Measuring financial contagion by local Gaussian correlation. 3rd International Conference on Computational and Financial Econometrics; Limassol, Kypros, 12/29/2009 - 12/31/2009.
2003
. Avoidance behaviour in cod (Gadus morhua) to a bottom-trawling vessel. ICES Symposium on "Acoustics in Fisheries and Aquatic Ecology"; Montpellier, 6/10/2003 - 6/15/2003.
. Nonparametric estimation in additive models. Universitetet i Santiago del Compostela; Santiago del Compostela, Spania, 2/6/2003.
. Nonparametric estimation in a nonstationary context with applications to nonlinear cointegration. Universitetet i La Coruna; La Coruna, Spania, 2/7/2003.
2002
. Nonparametric estimation in a nonstationary context. Recent advances in nonpåarametrics; Kreta, Hellas, 1/1/2002.
. Survey of nonlinear time series models. Department of Mathematics, University of Western Australia; Perth, Australia, 1/1/2002.
. Introduction to nonparametric methods. Department of Mathematics, University of Cyprus; Nicosia, Kypros, 1/1/2002.
. Nonparametric estimation in a nonstationary context. Department of Mathematics, University of California, San Diego; San Diego, USA, 1/1/2002.
. Survey of nonlinear time series modesl. National University of Singapore; MANGLER, 1/1/2002.
2001
. Two recent developments in nonstationary and nonlinear time series modeling. Canadian Statistical Meeting; Vancouver, Canada, 6/11/2001 - 6/15/2001.
2000
. Analysing panels of intercorrelated time series. Universite Science et Sociales; Toulouse, Frankrike, 1/1/2000.
. Nonlinear cointegration. London School of Economics; London, Storbritannia, 1/1/2000.
. Nonlinear cointegration. Universitetet i Montpellier; Montpellier, Frankrike, 1/1/2000.
. Nonparametric estimation for nonstationary processes. Academy of Sciences; Beijing, Kina, 1/1/2000.
. Alignment of time series. Universite Paul Sabatier; Toulouse, Frankrike, 1/1/2000.
. Linearity tests for time series. Universitetet i Bilbao; Bilbao, Spania, 1/1/2000.
. Exploratory data analysis and linearity tests for time series. Universite Paul Sabatier; Toulouse, Frankrike, 1/1/2000.
. Om additive modeller. Sosialøkonomisk institutt, NTNU; Trondheim, 1/1/2000.
. Intercorrelated panels. Linear and nonlinera models. Statistics 2000; Szklaska Poreba, Polen, 1/1/2000.
. Additive models: an alternative to linear models in econometrics. Workshop nonlinear econometrics; Norges Bank, 1/1/2000.
. Nonlinear models for a panel of intercorrelated time series. International time series conference; Tokio, Japan, 1/1/2000.
. Exploring models for panels of time series. Internation conference on forecasting; Lisboa, Portugal, 6/21/2000.
1998
. Exploring time series using semi- and nonparametric methods. Compstat Meeting; Bristol, England, .
1997
. Panels of intercorrelated time series. Workshop on time series in Biology; Oslo, .
. Nonparametric analysis for null recurrent processes. Workshop on long range dependence; Guanajuato, Mexico, .
. Linear and nonlinear models for panels of time series. Workshop on semiparametric methods; Leiden, Nederland, .
. Nonparametric methods of time series. 2nd Scandinavian-Ukrainian Meeting on Statistics; Umeå, Sverige, .
Lecture
2019
. Measuring conditional dependence using the local Gaussian partial correlation. 13th International Conference on Computational and Financial Econometrics, 12/14/2019 - 12/16/2019.
Poster
2008
. A convolution density estimator for nonlinear time series: Simulations and some preliminary analysis. International Workshop in Recent Advances in Time Series Analysis; University of Cyprus, 6/8/2008 - 6/11/2008.
Doctoral dissertation
2017
. Nonlinear Spectrum Analysis based on the Local Gaussian Correlation and Model Selection for Copulas. University of Bergen. 2017. Fulltekst Omtale
2016
. Multivariate and conditional density estimation using local Gaussian approximations. University of Bergen. 2016. Fulltekst Omtale
. Local Gaussian Correlation for Time Series and Regular Vine Estimation for Bayesian Networks. University of Bergen. 2016. Omtale
Report
2016
. Non-parametric estimation of conditional densities: A new method. Norges Handelshøyskole. Institutt for foretaksøkonomi. Norges Handelshoeyskole. Institutt for Foretaksoekonomi. Discussion Paper 22. pp 25. 2016. Fulltekst
2011
. Using Local Gaussian Correlation in a Nonlinear Re-examination of Financial Contagion. Samfunns- og næringslivsforskning AS. Arbeidsnotat 14. pp 34. 2011. Fulltekst
2010
. Measuring Financial Contagion by Local Gaussian Correlation. Norges Handelshøyskole. Institutt for foretaksøkonomi. 12. pp 31. 2010. Omtale
2007
. A Convolution Estimator for the Density of Nonlinear Regression Observations. Norges Handelshøyskole. Institutt for foretaksøkonomi. 25. pp 33. 2007. Omtale
2000
. Nonparametric estimation in a nonlinear cointegration type model. Sonderforschungsbereich 373. Quantification and Simulation of Economic Processes 33. pp 46. 2000.
1998
. Nonparametric estimation for null recurrent time series. Humboldt Universität zu Berlin, Sonderforschungsbereich 373. Discussion paper 1998.
. Modelling panels of intercorrelated autoregressive time series. Humboldt Universität zu Berlin, Sonderforschungsbereich 373. Discussion paper 1998.
1997
. Nonparametric estimation of interaction in additive models. Humboldt Universit@æt zu Berlin. Discussion Paper 1997.
1990
. Functional identification in nonlinear timeseries. Report No.21 July 1990. Universitetet i Bergen, matematisk institutt. Reports publ.by the Inst.of Mathematics, Dept.of Statistics 1990.
1989
. Identification of nonlinear timeseries. First order characterization and order determination. Report No.20 Nov.1989. Universitetet i Bergen, matematisk institutt. Reports publ.by the Inst.of Mathematics, Dept.of Statistics 1989.
1988
. Segmentation of data traces with applications to dipmeter oilwell measurements. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 18. 1988.
. Estimation of AR parameters in time series with suddenley changing structure. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 19. 1988.
1987
. Consistent estimates of the NEAR(2) and NLAR(2) time series models. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 17. 1987.
1986
. Loss of spectral peaks in autoregressive spectral estimation. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 12. 1986.
. Fitting nonstationary autoregressive models to dipmeter data. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 13. 1986.
1985
. Multiple bilinear time series models. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 11. 1985.
1983
. Theory and practice of multivariate arma forecasting. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 7. 1983.
. On the estimation of residual variances and order in autoregressive time series. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 6. 1983.
. Autoregressive processes with a time dependent variance II: Some further properties of least sequances estimates. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 8. 1983.
1981
. Bias and some commonly used time series estimates. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 2. 1981.
. Autoregressive processes with a time dependent variance. UiB-MatNat: Matematisk institutt. Reports Published by the Department of Statistics 1. 1981.
Popular scientific lecture
1998
. Panels of intercorrelated time series. International sympopsium; [Mangler data], Taipei, Taiwan, .
. Specification procedures for linear and nonlinear time series. EMFI; [Mangler data], Madrid, Spania, .
. Panels of intercorrelated time series in linear and nonlinear models. EMFI; [Mangler data], Madrid, Spania, .
. Nonparametric estimation for null recurrent time series. Workshop on time series analysis; [Mangler data], Montreal, Canada, .
. Panels of intercorrelated time series: Linear and nonlinear models. Workshop; [Mangler data], Norges Bank, .
1997
. Panels of intercorrelated time series. Weierstrass Institute; [Mangler data], Berlin, .
. Panels of intercorrelated time series: Linear and nonlinear models. Technical University of Vienna; [Mangler data], [Mangler data], .
. Exploring time series using nonparametric methods. University of Vienna; [Mangler data], [Mangler data], .
. Panels of intercorrelated time series: Linear and nonlinear models. Universit#/e Libre; [Mangler data], Brussel, .
1994
. Tests of Independence. Nonlinear economics; [Mangler data], [Mangler data], .
Article in business/trade/industry journal
2019
. Discussion of Models as Approximations I & II. Statistical Science (ISSN 0883-4237). 34(4) pp 575-579. doi: 10.1214/19-STS725. 2019.
Editorial
2012
. Rejoinder on: Some recent theory for autoregressive count time series. Test (Madrid) (ISSN 1133-0686). 21(3) pp 469-476. doi: 10.1007/s11749-012-0305-3. 2012.
Academic monograph
2021
2010
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