Papers in journals
L. Horvath, P. Kokoszka, and S.Lu,
Variable Selection Based Testing for Parameter
Changes in Regression with Autoregressive Dependence,
Journal of Business & Economic Statistics 00, 000-000, 2024
pdf file
C. Baek, P. Kokoszka, and X. Meng,
Test of change point versus long-range dependence in functional time series,
Journal of Time Series Analysis, 00, 000-000, 2023
pdf file, Supporting information,
Code
P. Kokoszka, T. Kutta, D. Singh and H. Wang,
Limit theorems for a higher order time dependent Markov chain model,
Probability and Mathematical Statistics, 43, 121-139, 2023
pdf file
M. Kim and P. Kokoszka,
Asymptotic and finite sample properties of Hill-type estimators in the presence of errors in observations,
Journal of Nonparametric Statistics, 5, 1-18, 2023
pdf file
M. Kim, P. Kokoszka and G.Rice,
White noise testing for functional time series,
Statistical Surveys, 17, 119-168, 2023
pdf file
Rimkus, M., Kokoszka, P, Prabakar, K. and Wang H.,
Toward statistical real-time power fault detection,
Communications in Statistics-Case Studies, Data Analysis and Applications
9, 1196--1217, 2023
P. Kokoszka, M. Rimkus, S. Hosur, D. Duan and H. Wang,
Detection and localization of faults in a regional power grid,
Austrian Journal of Statistics, 52, 143-162, 2023
pdf file
P. Kokoszka and R. Kulik,
Principal component analysis of infinite variance functional data
Journal of Multivariate Analysis, 193, 105123, 2023
pdf file
F. Sabzikar and P. Kokoszka,
Tempered functional time series,
Journal of Time Series Analysis, 44, 280-293, 2023
pdf file
M. Krzysko, L. Smaga and P. Kokoszka,
Marginal distance and Hilbert-Schmidt
covariances-based independence tests for multivariate functional data,
Journal of Artificial Intelligence Research, 73, 1355-1384, 2022
pdf file
P. Kokoszka, D. Singh and H. Wang,
Long term behavior of incomplete and time varying product ratings,
Statistics and Probability Letters, 184, 109387, 2022
pdf file
M. Kim and P. Kokoszka,
Extremal dependence measure for functional data,
Journal of Multivariate Analysis, 189, 104887, 2022
pdf file
L. Horváth, P. Kokoszka, J. Vanderdoes and S. Wang,
Inference in functional factor models with applications to yield curves,
Journal of Time Series Analysis, 43 , 872894, 2022
pdf file
T. Kuenzer, S. Hörmann and P. Kokoszka,
Testing normality of spatially indexed functional data,
Canadian Journal of Statistics, 50 , 304326, 2022,
pdf file .
A. Petersen, C. Zhang and P. Kokoszka,
Modeling probability density functions as data objects,
Econometrics and Statistics, 21 , 159178, 2022
pdf file
C. Zhang, P. Kokoszka and A. Petersen,
Wasserstein autoregressive models for density time series,
Journal of Time Series Analysis, 43 , 3052, 2022
pdf file , Supporting information
J. Nicholson, P. Kokoszka, R. Lund, P. Kiessler and J. Sharp,
Renewal model for anomalous traffic in Internet2 links,
Statistical Modelling, 22(5), 430-456, 2022
pdf file
L. Horváth, P. Kokoszka and S. Wang,
Monitoring for a change point in a sequence of distributions,
Annals of Statistics, 49, 2271-2291, 2021
pdf file , Supplementary Material
T. Kuenzer, S. Hörmann and P. Kokoszka,
Principal component analysis of spatially indexed functions,
Journal of American Statistical Association, 116 , 14441456, 2021,
pdf file .
S. Butler, P. Kokoszka, H. Miao and HL Shang,
Neural network prediction of crude oil futures using B-splines, Energy Economics,
94, 2021, pdf file
J. French and P. Kokoszka,
A sandwich smoother for spatio--temporal data,
Spatial Statistics, 42 , 00000000, 2021
pdf file ,
Archived data/code,
hero R package.
L. Horvath, P. Kokoszka, and S. Wang,
Testing normality of data on a multivariate grid,
Journal of Multivariate Analysis, 179, 00000000, 2020
pdf file , Supplement
P-S. Zhong, J. Li and P. Kokoszka,
Multivariate analysis of variance and change points estimation for high-dimensional
longitudinal data,
Scandinavian Journal of Statistics, 48 , 375405, 2021
T. Gorecki, L. Horvath and P. Kokoszka,
Tests of normality of functional data,
International Statistical Review, 88, 677-697, 2020
pdf file
P. Kokoszka, H. Nguyen, H. Wang and L. Yang,
Statistical and probabilistic analysis of interarrival and waiting times of Internet2 anomalies,
Statistical Methods & Applications, 29 , 727744, 2020
pdf file
P. Kokoszka and N. Mohammadi Jouzdani,
Frequency domain theory for functional time series: Variance decomposition and an invariance principle, Bernoulli, 26 , 2383-2399, 2020
pdf file
M. Kim and P. Kokoszka,
Consistency of the Hill estimator for time series observed with measurement errors,
Journal of Time Series Analysis, 41 , 421-453, 2020
pdf file
P. Kokoszka, S. Stoev and Q. Xiong,
Principal components analysis of regularly varying functions,
Bernoulli, 25,38643882 , 2019
pdf file
P. Kokoszka, H. Miao, A. Petersen, and HL. Shang,
Forecasting of density functions with an application to
cross--sectional and intraday returns,
International Journal of Forecasting, 25, 1304--1317, 2019
pdf file
M. Kim and P. Kokoszka,
Hill estimator of projections of functional data on principal components,
Statistics, 53 , 699-720, 2019
pdf file
J. French, P. Kokoszka S. Stoev and L. Hall,
Quantifying the risk of heat waves using extreme value
theory and spatio-temporal functional data,
Computational Statistics and Data Analysis, 131, 176-193, 2019
pdf file , Supporting Information
S. Hörmann, P. Kokoszka and G. Nisol,
Testing for periodicity of functional time series,
The Annals of Statistics, 46 , 2960-2984, 2018
pdf file
P. Kokoszka and M. Reimherr,
Some recent developments in inference for
geostatistical functional data, Revista Colombiana de Estadνstica, 42 , 101-122, 2019
pdf file
P. Constantinou, P. Kokoszka and M. Reimherr,
Testing Separability of Functional Time Series,
Journal of Time Series Analysis, 39, 731-747, 2018
pdf file , Supporting Information
L. Kidzinski, P. Kokoszka and N. Mohammadi,
Principal components analysis of periodically correlated functional time series,
Journal of Time Series Analysis, 39, 502-522, 2018
pdf file , Supporting Information
T. Gorecki, S. Hörmann, L. Horvath and P. Kokoszka,
Testing normality of functional time series,
Journal of Time Series Analysis, 39, 471-487, 2018
pdf file , Supporting Information
P. Kokoszka, H. Miao, M. Reimherr and B. Taoufik,
Dynamic functional regression with application
to the cross--section of returns,
Journal of Financial Econometrics 16, 461-485, 2018
pdf file
T. Gorecki, L. Horvath and P. Kokoszka,
Change point detection in heteroscedastic time series,
Econometrics and Statistics, 7, 63-88, 2018
pdf file
P. Kokoszka and Q. Xiong,
Extremes of projections of functional time series on data-driven basis systems,
Extremes, 21, 177-204, 2018
pdf file
P. Kokoszka, H. Miao, S. Stoev and B. Zheng
Risk Analysis of Cumulative Intraday Return Curves,
Journal of Time Series Econometrics, 11, 2018
pdf file
P. Kokoszka, G. Rice and H. L. Shang,
Inference for the autocovariance of a functional time series
under conditional heteroscedasticity
Journal of Multivariate Analysis, 162 , 32-50, 2017
pdf file
P. Constantinou, P. Kokoszka and M. Reimherr,
Testing separability of space-time functional processes,
Biometrika, 104, 425-437, 2017
pdf file , Supplemental Material
O. Gromenko. P. Kokoszka and J. Sojka,
Evaluation of the cooling trend in the ionosphere using
functional regression with incomplete curves,
Annals of Applied Statistics, 11, 898-918, 2017
pdf file
P. Kokoszka, H. Miao and B. Zheng,
Testing for asymmetry in betas of cumulative
returns: Impact of the financial crisis and crude oil price,
Statistics and Risk Modeling, 34, 33-54, 2017
pdf file
O. Gromenko, P. Kokoszka and M. Reimherr,
Detection of change in the spatiotemporal mean function,
Journal of the Royal Statistical Society (B), 79, 29-50, 2017
pdf file
A. Jach and P. Kokoszka,
Wavelet semi-parametric inference for long
memory in volatility in the presence of a trend,
Journal of Statistical Computation and Simulation, 87, 1498-1519, 2017
pdf file
P. Burdejova, W. Hardle, P. Kokoszka and Q. Xiong,
Change point and trend analyses of annual expectile
curves of tropical storms,
Econometrics and Statistics , 1 , 101-117, 2017
pdf file
P. Bardsley, L. Horvath, P. Kokoszka and G. Young,
Change point tests in functional factor models with application to yield curves,
The Econometrics Journal , 20, 86-117, 2017
pdf file
P. Kokoszka and G. Young,
Testing trend stationarity of functional time series
with application to yield and daily price curves,
Statistics and Its Interface, 10, 81-92, 2017
pdf file
P. Kokoszka and G. Young,
KPSS test for functional time series,
Statistics , 50, 957-973, 2016
pdf file
P. Kokoszka and M. Reimherr and N. Woelfing,
A randomness test for functional panels,
Journal of Multivariate Analysis , 151, 37-53, 2016
pdf file
S. Hörmann, L. Kidzinski and P. Kokoszka,
Estimation in functional lagged regression,
Journal of Time Series Analysis , 36, 541-561, 2015
pdf file
P. Kokoszka, H. Miao and X. Zhang,
Functional dynamic factor model for intraday price curves,
Journal of Financial Econometrics , 13, 456-477, 2015
pdf file
L. Horvath, P. Kokoszka and G. Rice,
Testing stationarity of functional time series,
Journal of Econometrics , 179, 66-82, 2014
pdf file
S. Fremdt, L. Horvath, P. Kokoszka and J. Steinebach,
Functional data analysis with increasing number of projections,
Journal of Multivariate Analysis , 124,
313-332, 2014
pdf file
P. Kokoszka and M. Reimherr,
Predictability of shapes of intraday price curves,
Econometrics Journal , 16,
285-308, 2013
pdf file
P. Kokoszka and M. Reimherr,
Asymptotic normality of the principal components
of functional time series,
Stochastic Processes and their Applications , 123,
1546-1562, 2013
pdf file
P. Kokoszka and M. Reimherr,
Determining the order of the functional autoregressive process,
Journal of Time Series Analysis , 34 , 116-129, 2013
pdf file
S. Fremdt, L. Horvath, P. Kokoszka, J. Steinebach,
Testing the equality of covariance operators in functional samples,
Scandinavian Journal of Statistics , 40,
138-152, 2013
pdf file
L. Horvath, P. Kokoszka and R. Reeder,
Estimation of the mean of functional time series and a two sample problem,
Journal of the Royal Statistical Society (B), 75 , 103-122, 2013
pdf file ,
code ,
data
S. Hörmann and P. Kokoszka,
Consistency of the mean and the principal components
of spatially distributed functional data,
Bernoulli , 19 , 1535-1558, 2013
pdf file
R. Gabrys, S. Hörmann and P. Kokoszka,
Monitoring the intraday volatility pattern,
Journal of Time Series Econometrics , 5 , 87-116, 2013
pdf file
O. Gromenko and P. Kokoszka,
Nonparametric inference in small data sets of spatially indexed curves
with application to ionospheric trend determination,
Computational Statistics and Data Analysis , 59 ,
82-94, 2013
pdf file
O. Gromenko, P. Kokoszka, L. Zhu, J. Sojka,
Estimation and testing for spatially distributed curves with application
to ionospheric and magnetic field trends,
The Annals of Applied Statistics, 6 , 669-696, 2012
pdf file
O. Gromenko and P. Kokoszka,
Testing the equality of mean functions of ionospheric critical frequency curves
Journal of the Royal Statistical Society (C), 61 , 715-731, 2012
pdf file
P. Kokoszka and X. Zhang,
Functional prediction of cumulative intraday returns,
Statistical Modelling , 12 , 377-398, 2012
pdf file
D. Didericksen, P. Kokoszka. and X. Zhang,
Empirical properties of forecasts with the functional autoregressive model,
Computational Statistics, 27 , 285-298, 2012
pdf file
P. Kokoszka, Dependent functional data (spotlight article),
ISRN Probability and Statistics , Article ID 958254, 30 pages, 2012
pdf file
R. R. Gilles, Q-Y. Chung, S-Y Wang, and P. Kokoszka,
Incorporation of Pacific SSTs in a time series model towards
a longer-term forecast for the Great Salt Lake elevation,
Journal of Hydrometeorology , 12 , 474-80, 2011
pdf file
P. Kokoszka and D. Politis,
Nonlinearity of ARCH and Stochastic Volatility models
and Bartlett's formula,
Probability and Mathematical Statistics,
31 , 47-59, 2011
pdf file
R. Gabrys, L. Horvath, P. Kokoszka,
Tests for error correlation in
the functional linear model,
Journal of the American Statistical Association,
105 , 1113-1125, 2010
pdf file ,
Extended Version
S. Hörmann and P. Kokoszka,
Weakly dependent functional data,
The Annals of Statistics, 38 , 1845-1884, 2010
pdf file
U. Hassler and P. Kokoszka,
Impulse response coefficients of fractionally integrated
processes with long memory,
Econometric Theory,
26 , 18551861, 2010
pdf file
I. Maslova, P. Kokoszka, J. Sojka, and L. Zhu,
Estimation of Sq variation by means of multiresolution and principal component analyses,
Journal of Atmospheric and Solar-Terrestrial Physics ,
72 , 625-632, 2010
pdf file
A. Jach and P. Kokoszka,
Empirical wavelet analysis of tail and
memory properties of LARCH and FIGARCH processes,
Computational Statistics, 25 , 163-182, 2010
pdf file
I. Maslova, P. Kokoszka, J. Sojka, and L. Zhu,
Statistical significance testing for the association
of magnetometer records at
high-, mid- and low latitudes during substorm days,
Planetary and Space Science ,
58 , 437445, 2010
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
70, 1579-1588 , 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
pdf file
(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
O. Gromenko and P. Kokoszka,
Estimation and testing for geostatistical functional data. In:
Recent Advances in Functional Data Analysis and Related Topics
F. Ferraty, ed., Physica-Verlag, 2011
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