Alexander Aue

University of California, Davis

One Shields Avenue

Davis, CA 95616

United States

SCHOLARLY PAPERS

5

DOWNLOADS

68

CITATIONS
Rank 32,054

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Top 32,054

in Total Papers Citations

17

Scholarly Papers (5)

1.

Limit Laws in Transaction-Level Asset Price Models

NYU Working Paper No. CEDER-09-02
Number of pages: 22 Posted: 08 Jun 2009
Alexander Aue, Lajos Horváth and Clifford M. Hurvich
University of California, Davis, University of Utah - Department of Mathematics and Stern School of Business, New York University
Downloads 37 (434,209)

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2.
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Citation 1

Limit Laws in Trasnaction-Level Asset Price Models

NYU Working Paper No. 2451/31584
Number of pages: 49 Posted: 10 Sep 2013
University of California, Davis, University of Utah - Department of Mathematics, Stern School of Business, New York University and Université d'Évry
Downloads 17 (556,314)

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Limit Laws in Transaction-Level Asset Price Models

NYU Working Paper No. SOR-2012-02
Number of pages: 49 Posted: 21 Jul 2012
University of California, Davis, University of Utah - Department of Mathematics, Stern School of Business, New York University and Université d'Évry
Downloads 12 (589,542)

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3.

Structural Breaks in Time Series

Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 1-16, 2013
Number of pages: 16 Posted: 23 Dec 2012
Alexander Aue and Lajos Horváth
University of California, Davis and University of Utah
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Change‐points, CUSUM, long memory, mean change, unit‐root, variance change

4.

Mean Shift Testing in Correlated Data

Journal of Time Series Analysis, Vol. 32, Issue 5, pp. 498-511, 2011
Number of pages: 14 Posted: 09 Aug 2011
National Institute of Statistical Sciences, affiliation not provided to SSRN, University of California, Davis and University of California, Davis
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ARMA series, Brownian bridge, changepoints, CUSUM, likelihood ratio, C22

5.

On‐Line Monitoring of Pollution Concentrations with Autoregressive Moving Average Time Series

Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 239-261, 2014
Number of pages: 23 Posted: 16 Apr 2014
Christopher Dienes and Alexander Aue
University of California, Davis and University of California, Davis
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CUSUM statistic, environmental data, one‐step ahead predictors, on‐line monitoring, particulate matter, structural break detection