Papers in journals
S. Hörmann and P. Kokoszka,
Weakly dependent functional data,
The Annals of Statistics,
Forthcoming
pdf file
A. Jach and P. Kokoszka,
Empirical wavelet analysis of tail and
memory properties of LARCH and FIGARCH processes,
Computational Statistics, Forthcoming
pdf file
L. Horvath, M. Huskova, P. Kokoszka,
Testing the stability of the functional autoregressive process,
Journal of Multivariate Analysis , 101, 352-367, 2010
pdf file
Z. Xu, L. Zhu, J. Sojka and P. Kokoszka,
Wavelet cross--spectrum analysis of the ring current using
magnetic records from multiple low--latitude stations
Journal of Geophysical Research},
114, A05309, 2009 pdf file
L. Horvath, P. Kokoszka and M. Reimherr,
Two sample inference in the functional linear model
Canadian Journal of Statistics} , 37 , 571-591, 2009
pdf file
A. Aue, R. Gabrys, L. Horvath, P. Kokoszka,
Estimation of a change--point in the mean function of functional data,
Journal of Multivariate Analysis,
100 , 2254-2269, 2009
pdf file
I. Berkes, R. Gabrys, L. Horvath, P. Kokoszka,
Detecting changes in the mean of functional observations,
Journal of the Royal Statistical Society ,
71, 927-946, 2009
pdf file
I. Maslova, P. Kokoszka, J. Sojka, and L. Zhu,
Removal of nonconstant daily variation by means of wavelet
and functional data analysis,
Journal of Geophysical Research ,
114, A03202, doi:10.1029/2008JA013685, 2009
pdf file
A. Jach and P. Kokoszka, Robust wavelet domain
estimation of the fractional difference parameter in heavy--tailed
time series: an empirical study,
Methodology and Computing in Applied Probability
DOI: 10.1007/s11009-008-9105-3, 2008
pdf file
A.Jach and P. Kokoszka, Wavelet based
confidence intervals for the self-similarity parameter, Journal
of Statistical Computation and Simulation,
78, 1179-1198, 2008 pdf file
Z. Xu, L. Zhu, J. Sojka, P. Kokoszka, A. Jach,
An Assessment Study of the Wavelet-Based Index of Magnetic Storm Activity
(WISA) and Its Comparison to the Dst Index,
Journal of Atmospheric and Solar-Terrestrial Physics
DOI: 10.1016/j.jastp.2008.05.007, 2008
pdf file
P. Kokoszka, I. Maslova, J. Sojka, L. Zhu,
Testing for lack of dependence in the functional linear model,
Canadian Journal of Statistics, Vol. 36, No. 2, 207-222, 2008
pdf file
A. Aue, L. Horvath, M. Huskova and P. Kokoszka,
Testing for changes in polynomial regression
Bernoulli, 14 , 637-660, 2008
pdf file
L. Horvath and P. Kokoszka,
Sample autocovariances of long memory time series
Bernoulli, 14 , 405-418 , 2008
pdf file
A. Jach and P. Kokoszka, Wavelet
domain test for long-range dependence in the presence of a trend
Statistics, 42 ,
101-113, 2008 pdf file
L. Horvath, P. Kokoszka and R. Zitikis,
Distributional analysis of empirical volatility in GARCH processes
Journal of Statistical Inference and Planning, 138 ,
3578-3589, 2008
pdf file
A. Aue, L. Horvath, P.
Kokoszka, J. Steinebach, Monitoring shifts in mean: asymptotic
normality of stopping times Test, 17 , 515-530, 2008
pdf file
P. Kokoszka, J. Krolczyk, and M. Tukiendorf,
Adaptacja funkcji geostatystycznej do
analizy przestrzennego rozkladu dwuskladnikowej mieszaniny ziarnistej
(Adaptation of a geostatistical function to the analysis of the spatial
distribution of a two component granular blend),
Inzyniernia Rolnicza ,
90, 101-107, 2007
pdf file
A. Zhang, R. Gabrys and P. Kokoszka,
Discriminating between long memory and volatility shifts
Austrian Journal of Statistics, 36 , 253-275, 2007
pdf file
R. Gabrys and P. Kokoszka,
Portmanteau test of independence for functional observations
Journal of the American Statistical Association,
102 , 1338-1348, 2007
pdf file
R. Bhansali, L.
Giraitis and P. Kokoszka, Convergence of quadratic forms with
nonvanishing diagonal Statistics and Probability Letters,
77 ,
726-734, 2007 pdf file
L. Horvath, P. Kokoszka and J.
Steinebach, On sequential detection of parameter changes in linear
regression, Statistics and Probability Letters,
77 ,
885-895, 2007 pdf file
R. Bhansali, L. Giraitis and P. Kokoszka,
Approximations and limit theory for quadratic forms of linear
variables Stochastic Processes and their Applications,
117 ,
71-95, 2007 pdf file
L. Horvath, P. Kokoszka and R. Zitikis, Sample
and implied volatility in GARCH models Journal of Financial
Econometrics, doi: 10.1093/jjfinec/nbl002, 2006 pdf file
A. Aue, L. Horvath,
M. Huskova and P. Kokoszka, Change--point monitoring in linear
models with conditionally heteroskedastic errors Econometrics
Journal, Vol. 9, 373-403, 2006
pdf file
A. Jach, P. Kokoszka, J. Sojka, L. Zhu,
Wavelet--based index of magnetic storm activity. Journal of
Geophysical Research, 111 , A09215, 2006
pdf file
P. Kokoszka,
I. Maslova, J. Sojka, L. Zhu, Probability tails of wavelet
coefficients of magnetometer records. Journal of Geophysical
Research, Vol. 111, No. A6, A06202, 10.1029/2005JA011486, 2006
pdf file
R. Bhansali, L. Giraitis and P. Kokoszka, Estimation of the memory parameter by fitting
fractionally differenced autoregressive models
Journal of Multivaiate Analysis, 97 Issue 10,
2101-2130, 2006 pdf file
I. Berkes, L. Horvath, P. Kokoszka, Q. Shao, On discriminating between long-range dependence and
changes in mean The Annals of Statistics, 34,
1140-1165, 2006
L. Horvath, P. Kokoszka and A. Zhang,
Monitoring constancy of variance in
conditionally heteroskedastic time series
Econometric Theory, 22 , 373-402, 2006
L. Horvath, P. Kokoszka and R. Zitikis,
Testing for Stochastic dominance using the weighted McFaden
statistic Journal of Econometrics, 133 ,
191-205, 2006
I. Berkes, L. Horvath and P.
Kokoszka,
Near integrated GARCH sequences,
Annals of Applied Probability, 15 , 890-913, 2005
I. Berkes, L. Horvath, P. Kokoszka, Q. Shao,
Almost sure convergence of the Bartlett estimator
Periodica Mathematica Hungarica, 51 , 11-25, 2005
pdf file
I. Berkes, L. Horvath and P. Kokoszka,
Testing for parameter constancy in GARCH(p,q) models
Statistics and Probability Letters, 70 , 263-273, 2004
I. Berkes, E. Gombay, L. Horvath and P. Kokoszka,
Sequential change-point detection in GARCH(p,q) models,
Econometric Theory, 20 , 1140-1167, 2004
A. Jach and P. Kokoszka,
Subsampling unit root tests for heavy-tailed observations
Methodology and Computing in Applied Probability,
6 , 73--97, 2004
L. Horvath, M. Huskova, P. Kokoszka and J. Steinebach,
Monitoring changes in linear models
Journal of Statistical Planning and Inference,
126 , 225-251, 2004
L.Horvath, P. Kokoszka and G. Teyssiere,
Bootstrap misspecification tests for ARCH based
on the empirical process of squared residuals
Journal of Statistical Computation and Simulation,
74 , 469-485, 2004
P. Kokoszka and M. Wolf,
Subsampling the mean of heavy-tailed dependent observations,
Journal of Time Series Analysis 25 , 217-234, 2004
I. Berkes, L. Horvath and P. Kokoszka,
A Weighted Goodness-of-Fit Test for GARCH(1,1) Specification,
Lithuanian Mathematical Journal , 44, 1-17, 2004
pdf file
L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssiere,
On the power of the R/S-type tests against contiguous and semi
long memory alternatives
Actae Applicandae Mathematicae 78 , 285--299, 2003
L. Horvath and P. Kokoszka
A bootstrap approximation to a unit root test statistic
for heavy-tailed observations
Statistics and Probability Letters, 62 , 163-173, 2003
I. Berkes, L. Horvath and P. Kokoszka,
Asymptotics for GARCH squared residual correlations,
Econometric Theory , 19 , 515-540, 2003
I. Berkes, L. Horvath and P. Kokoszka,
GARCH processes: structure and estimation,
Bernoulli 9 , 201-207, 2003
I. Berkes, L. Horvath and P. Kokoszka,
Estimation of the maximal moment exponent of
a GARCH(1,1) sequence, Econometric Theory 19 ,
565-586, 2003
(with L.Giraitis, R.Leipus and G.Teyssiere )
Rescaled variance and related tests for
long memory in volatility and levels,
Journal of Econometrics , 112 , 265-294, 2003
(with R. Bhansali) Computation of the forecast coefficients
for multistep prediction of long-range dependent time series,
International Journal of Forecasting , 18 , 181-206, 2002
(with L.Horvath) Change-point detection with non-parametric
regression, Statistics , 36 , 9-31, 2002
(with L.Giraitis and R.Leipus)
Testing for long memory in
the presence of a general trend, Journal of Applied Probability,
38 , 1033--1054, 2001
(with R. Bhansali)
Prediction of long memory time series: an overview
, Estadistica , 53 , 41-96, 2001
(with L.Horvath)
Large sample distribution of ARCH(p) squared residual correlations,
Econometric Theory , 17 , 283-295, 2001
(with L.Horvath and G.Teyssiere)
Empirical process of squared residuals
of an ARCH sequence,
The Annals of Statistics , 29 , 445-469, 2001
(with L.Giraitis, R.Leipus and G.Teyssiere) Semiparametric
estimation of the intensity of long memory in conditional
heteroskedasticity, Statistical
Inference for Stochastic Processes , 3 ,
113-128, 2000
(with M.Taqqu) Can one use the Durbin-Levinson algorithm to
generate infinite variance fractional ARIMA time series?,
Journal of Time Series Analysis , 22 ,
pp. 317-337, 2001
(with M.Csorgo and L.Horvath)
Approximations for bootsrapped empirical processes,
Proceedings of the American Mathematical Society,
128 , 2457-2464, 2000
(with L.Horvath and J.Steinebach) Approximations for
weighted bootstrap processes with an application,
Statistics and Probability Letters, 48, 59-70, 2000
(with T. Mikosch) The periodogram at the Fourier frequencies,
Stochastic Processes and their Applications,
86, 49-80, 2000
(with L.Giraitis and R.Leipus) Stationary ARCH
models: dependence structure and Central Limit Theorem ,
Econometric Theory, 16, 3-22, 2000
(with R.Leipus) Change-point estimation in
ARCH models , Bernoulli, 6(3), 513-539, 2000
(with M.Taqqu) Discrete time parametric models with long memory
and infinite variance, Mathematical
and Computer Modelling, 29 , 203--215, 1999
(with R.Leipus) Testing for parameter changes in ARCH models
Lithuanian Mathematical Journal, 39, , 231-247, 1999
(with L.Horvath and J.Steinebach) Testing for changes in
multivariate dependent observations with an application
to temperature changes,
Journal of Multivariate Analysis, 68 , 96-119, 1999
pdf file
(with R.Leipus) Change--point in the mean of dependent observations,
Statistics and Probability Letters, 40,
385--393, 1998
(with T.Mikosch) The integrated periodogram for long memory
processes with finite or infinite variance,
Stochastic Processes and their Applications,
66, 55-78, 1997
(with M.Taqqu) The asymptotic behavior of quadratic forms in strongly
dependent heavy-tailed random variables, Stochastic
Processes and their Applications, 66 ,
21-40, 1997
(with L.Horvath) The effect of long-range dependence on
change point estimators, Journal of Statistical
Planning and Inference, 64 , 57-81, 1997
(with M.Taqqu) Parameter estimation for fractional ARIMA with
infinite variance innovations, The Annals of
Statistics, 24 , No. 5, 1880-1913, 1996
Estimation of the mean of an infinite variance AR(1) sequence,
Bulletin of the Polish Academy of Sciences, Vol. 44, No. 2, 1996
Prediction of infinite variance fractional ARIMA, Probability
and Mathematical Statistics, 16.1 , 65-83, 1996
(with M.Taqqu) A characterization of mixing processes of type G,
Journal of Theoretical Probability,
Vol. 9, No. 1, 3-17, 1996
(with M.Taqqu) Infinite variance stable moving averages with long
memory, Journal of Econometrics,
73, 79-99, 1996
(with M.Taqqu) Fractional ARIMA with stable innovations,
Stochastic Processes and their Applications, 60, 19-47, 1995
Papers in collections and proceedings
R. Bhansali, M. Holland and P. Kokoszka,
Intermittency, long memory and financial returns
In:
Long Memory in Economics
A. Kirman and G. Teyssiere, eds., Springer, 2005
I. Berkes, L. Horvath and P. Kokoszka,
Probabilistic and statistical properties of GARCH processes
In: Asymptotic Methods in Stochastics: Festschrift for
Miklós Csörgö
(eds. L. Horvath and B. Szyszkowicz), 409-429,
Fields Institute Communications,
Volume: 44, American Mathematical Society, 2004
R. Bhansali, M. Holland and P. Kokoszka,
Chaotic maps with slowly decaying correlations and intermittency
In: Asymptotic Methods in Stochastics: Festschrift for
Miklós Csörgö
(eds. L. Horvath and B. Szyszkowicz), 99-126,
Fields Institute Communications,
Volume: 44, American Mathematical Society, 2004
R. Bhansali and P. Kokoszka,
Prediction of long memory time series: a tutorial review
In "Processes with Long-Range
Correlations" (eds. G. Rangarajan and M. Ding), 3-21,
Springer Verlag, 2004
P. Kokoszka, G. Teyssiere and A. Zhang,
Confidence intervals for the autocorrelations of the squares
of GARCH sequences,
In "Computational Science - ICCS 2004."
Lecture Notes in Computer Science, vol 3039, 837-844, Springer
Verlag, 2004
P. Kokoszka and A. Parfionovas,
Bootstrap unit root tests for heavy-tailed time series
In:
Handbook of Computational and Numerical Methods in Finance ,
175-197, S. Rachev, Ed. Birkhauser, 2004
L. Horvath, A. Jach and P. Kokoszka,
Change point detection based on empirical quantiles
Proceedings of the 4th International Conference on
Statistical Data Analysis based on the L_1-norm and Related Methods
Y. Dodge, Ed. 229-240, 2002
R. Bhansali and P. Kokoszka,
Prediction of long memory time series,
In: Long-range Dependence: Theory and Applications
P. Doukhan, G. Oppenheim and M. S. Taqqu, eds.
pp. 355-367, Birkhauser, Boston, 2002
P. Kokoszka and R. Leipus,
Detection and estimation of changes in regime,
In: Long-range Dependence:
Theory and Applications
P. Doukhan, G. Oppenheim and M. S. Taqqu, eds.
pp. 325-337, Birkhauser, Boston, 2002
R. Bhansali and P. Kokoszka,
Estimation of the long-memory parameter: a review of recent
developments and an extension,
Proceedings of the Symposium on Inference
for Stochastic Processes, I.V. Basawa, C.C.Heyde and R.L. Taylor, eds.
IMS Lecture Notes, 125-150, 2001
Dr Piotr S. Kokoszka , Mathematics and Statistics,
Utah State University, 3900 Old Main Hill, Logan, Utah 84322-3900, USA
Tel : (435) 797 0746
Piotr.Kokoszka@usu.edu