Brendan McCabe

University of Liverpool - Management School (ULMS)

Chatham Street

Liverpool, L69 7ZH

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

147

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Model Averaging of Integer-Valued Autoregressive Model With Covariates

Number of pages: 33 Posted: 18 May 2021 Last Revised: 05 Jan 2022
Jiajing Sun, Yuying Sun, Xinyu Zhang and Brendan McCabe
Chinese Academy of Sciences (CAS) - School of Economics and Management, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and University of Liverpool - Management School (ULMS)
Downloads 77 (434,788)

Abstract:

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Asymptotic optimality; K-fold cross-validation; Integer-valued autoregressive models; Maximum likelihood; Model averaging.

2.

Kolmogorov-Smirnov type statistics for structural breaks - a new adjusted-range based self-normalization approach

Number of pages: 44 Posted: 27 May 2021 Last Revised: 27 Dec 2021
Yongmiao Hong, Brendan McCabe, Jiajing Sun and Shouyang Wang
Cornell University - Department of Economics, University of Liverpool - Management School (ULMS), Chinese Academy of Sciences (CAS) - School of Economics and Management and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 67 (464,983)

Abstract:

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Change-point testing; CUSUM process; Portmanteau test; Studentization.

3.

Bayesian Outlier Detection in Nonā€Gaussian Autoregressive Time Series

Journal of Time Series Analysis, Vol. 40, Issue 5, pp. 631-648, 2019
Number of pages: 18 Posted: 29 May 2020
Maria Eduarda Silva, Isabel Pereira and Brendan McCabe
Universidade do Porto - Departamento de Matematica Aplicada, affiliation not provided to SSRN and University of Liverpool - Management School (ULMS)
Downloads 3 (885,490)

Abstract:

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Convolution closed infinitely divisible models, additive outliers, Bayesian framework, MCMC, time series of counts, state space models

4.

Structural Change and the Problem of Phantom Break Locations

The Manchester School, Vol. 88, Issue 1, pp. 211-228, 2020
Number of pages: 18 Posted: 29 May 2020
Yao Rao and Brendan McCabe
The University of Liverpool and University of Liverpool - Management School (ULMS)
Downloads 0 (929,346)

Abstract:

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