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- Ram Chillarege, Inderpal S. Bhandari, +4 authors Man-Yuen Wong
- IEEE Trans. Software Eng.
- 1992

- Jane L. Harvill, Bonnie K. Ray
- Computational Statistics & Data Analysis
- 2006

We extend the functional coefficient autoregressive (FCAR) model to the multivariate nonlinear time series framework. We show how to estimate parameters of the model using kernel regression techniques, discuss properties of the estimators, and provide a bootstrap test for determining the presence of nonlinearity in a vector time series. The power of theâ€¦ (More)

- Bonnie K. Ray
- Technometrics
- 2003

We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses the periodogram of the log squared returns in a local Whittle criterion which explicitly accounts for the noise term in the LMSV model. Finite-sample and asymptotic standard errors for the estimator areâ€¦ (More)

We describe a Bayesian method for detecting structural changes in a long-range dependent process. In particular, we focus on changes in the long-range dependence parameter, d, and changes in the process level, Î¼. Markov chain Monte Carlo methods are used to estimate the posterior probability and size of a change at time t, along with other model parameters.â€¦ (More)

Recent empirical studies show that the squares of high-frequency stock returns are long-range dependent and can be modeled as fractionally integrated processes, using, for example, long-memory stochastic volatility models. Are such long-range dependencies common among stocks? Are they caused by the same sources of variation? In this paper, we classify dailyâ€¦ (More)

Presented are investigations into the spatial structure of teleconnections between both the winter El NiÃ±oâ€“ Southern Oscillation (ENSO) and global sea surface temperatures (SSTs), and a measure of continental U.S. summer drought during the twentieth century. Potential nonlinearities and nonstationarities in the relationships are noted. During the firstâ€¦ (More)

Various authors claim to have found evidence of stochastic long-memory behavior in futuresâ€™ contract returns using the Hurst statistic. This paper reexamines futuresâ€™ returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic, a nonparametric spectral test, and a spectral-regression estimate of the longmemoryâ€¦ (More)

Exploratory methods for determining appropriate lagged variables in a vector nonlinear time series model are investigated. The rst is a multivariate extension of the R statistic considered by Granger and Lin (1994), which is based on an estimate of the mutual information criterion. The second method uses Kendall's and partial statistics for lagâ€¦ (More)

- Paul Luo Li, Mary Shaw, James D. Herbsleb, Bonnie K. Ray, Peter Santhanam
- SIGSOFT FSE
- 2004

Defect-occurrence projection is necessary for the development of methods to mitigate the risks of software defect occurrences. In this paper, we examine user-reported software defect-occurrence patterns across twenty-two releases of four widely-deployed, business-critical, production, software systems: a commercial operating system, a commercial middlewareâ€¦ (More)