Bonnie K. Ray

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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 the(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, μ. 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.(More)
Presented are investigations into the spatial structure of teleconnections between both the winter El Niño– 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 first(More)
Various authors claim to have found evidence of stochastic long-memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ 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 longmemory(More)
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 middleware(More)