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Dag Bjarne Tjøstheim's picture

Dag Bjarne Tjøstheim

Emeritus
  • E-maildag.tjostheim@uib.no
  • Visitor Address
    Allégaten 41
    Realfagbygget
    5007 Bergen
  • Postal Address
    Postboks 7803
    5020 Bergen
Academic article
  • Show author(s) (2022). Statistical dependence: Beyond Pearson’s ρ. Statistical Science. 90-109.
  • Show author(s) (2022). Local Lead–Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis. Entropy. 17 pages.
  • Show author(s) (2021). The locally Gaussian partial correlation. Journal of business & economic statistics. 924-936.
  • Show author(s) (2021). Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations. Finance Research Letters. 1-9.
  • Show author(s) (2020). Some notes on nonlinear cointegration: A partial review with some novel perspectives. Econometric Reviews. 655-673.
  • Show author(s) (2020). Robust nonlinear regression estimation in null recurrent time series. Journal of Econometrics.
  • Show author(s) (2020). Pairwise local Fisher and naive Bayes: Improving two standard discriminants. Journal of Econometrics. 284-304.
  • Show author(s) (2020). On bandwidth choice for spatial data density estimation. Journal of The Royal Statistical Society Series B-statistical Methodology. 817-840.
  • Show author(s) (2020). Nonlinear Spectral Analysis: A Local Gaussian Approach. Journal of the American Statistical Association.
  • Show author(s) (2020). Multivariate count autoregression. Bernoulli. 471-499.
  • Show author(s) (2019). Discussion of Models as Approximations I & II. Statistical Science. 575-579.
  • Show author(s) (2018). Estimating and Testing Nonlinear Local Dependence Between Two Time Series. Journal of business & economic statistics. 1-13.
  • Show author(s) (2018). Asymptotic normality and parameter change test for bivariate Poisson INGARCH models. Test (Madrid). 52-69.
  • Show author(s) (2017). Specification testing for nonlinear multivariate cointegrating regressions. Journal of Econometrics. 104-117.
  • Show author(s) (2017). Self-exciting jump processes with applications to energy markets. Annals of the Institute of Statistical Mathematics. 373-393.
  • Show author(s) (2017). Local Gaussian autocorrelation and tests for serial independence. Journal of Time Series Analysis. 51-71.
  • Show author(s) (2017). Conditional density estimation using the local Gaussian correlation. Statistics and computing. 303-321.
  • Show author(s) (2017). A new class of bivariate threshold cointegration models. Journal of business & economic statistics. 288-305.
  • Show author(s) (2016). The locally Gaussian density estimator for multivariate data. Statistics and computing. 1-22.
  • Show author(s) (2016). Some properties of local Gaussian correlation and other nonlinear dependence measures. Journal of Time Series Analysis. 352-380.
  • Show author(s) (2016). Estimation in nonlinear regression with harris recurrent markov chains. Annals of Statistics. 1957-1987.
  • Show author(s) (2016). Estimation for single-index and partially linear single-index integrated models. Annals of Statistics. 425-453.
  • Show author(s) (2016). Estimation and simulation of multi-beam sonar noise. Journal of the Acoustical Society of America. 851-862.
  • Show author(s) (2015). Nonparametric regression estimation for multivariate null recurrent processes. Econometrics. 265-288.
  • Show author(s) (2014). Using local Gaussian correlation in a nonlinear re-examination of financial contagion. Journal of Empirical Finance. 62-82.
  • Show author(s) (2014). Uniform consistency for nonparametric estimators in null recurrent time series. Econometric Theory.
  • Show author(s) (2014). Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation. Statistics and computing. 785-801.
  • Show author(s) (2014). Recognizing and visualizing copulas: An approach using local Gaussian approximation. Insurance, Mathematics & Economics. 90-103.
  • Show author(s) (2014). Nonparametric estimation of probability density functions for irregularly observed spatial data. Journal of the American Statistical Association. 1546-1564.
  • Show author(s) (2014). Modellering av avhengigheter i finansmarkeder : lokal gaussisk korrelasjon. Magma - Tidsskrift for økonomi og ledelse. 103-113.
  • Show author(s) (2014). Model selection of copulas: AIC versus a cross validation copula information criterion. Statistics and Probability Letters. 249-255.
  • Show author(s) (2014). Introducing localgauss, an R package for estimating and visualizing local Gaussian correlation. Journal of Statistical Software. 1-18.
  • Show author(s) (2013). Local Gaussian correlation: A new measure of dependence. Journal of Econometrics. 33-48.
  • Show author(s) (2013). Estimation in threshold autoregressive models with a stationary and a unit root regime. Journal of Econometrics. 1-13.
  • Show author(s) (2013). Bias and bandwidth for local likelihood density estimation. Statistics and Probability Letters. 1382-1387.
  • Show author(s) (2012). The dynamics of coordinated group hunting and collective information transfer among schooling prey. Current Biology. 1213-1217.
  • Show author(s) (2012). Some recent theory for autoregressive count time series. Test (Madrid). 413-438.
  • Show author(s) (2012). Simulations of multi-beam sonar echos from schooling individual fish in a quiet environment. Journal of the Acoustical Society of America. 3720-3734.
  • Show author(s) (2012). On weak dependence conditions for Poisson autoregressions. Statistics and Probability Letters. 942-948.
  • Show author(s) (2012). Null recurrent unit root processes. Econometric Theory. 1-41.
  • Show author(s) (2012). Nonlinear Poisson autoregression. Annals of the Institute of Statistical Mathematics. 1205-1225.
  • Show author(s) (2012). Estimation of trends in extreme melt-season duration at Svalbard. International Journal of Climatology. 2227-2239.
  • Show author(s) (2012). A convolution estimator for the density of nonlinear regression observations. Scandinavian Journal of Statistics. 282-304.
  • Show author(s) (2011). Log-linear Poisson autoregression. Journal of Multivariate Analysis. 563-578.
  • Show author(s) (2010). Nonparametric regression estimation in a null recurrent time series. Journal of Statistical Planning and Inference. 3619-3626.
  • Show author(s) (2009). Two heuristic approaches to describe periodicities in genomic microarrays. Norsk Epidemiologi. 79-98.
  • Show author(s) (2009). Two heuristic approaches to describe periodicities in genomic microarrays. Norsk Epidemiologi. 79-98.
  • Show author(s) (2009). The sampling volume of trawl and acoustics: estimating availability probabilities from observations of tracked individual fish. Canadian Journal of Fisheries and Aquatic Sciences. 425-438.
  • Show author(s) (2009). Specification testing in regression with nonstatisonarity. Econometric Theory. 1869-1892.
  • Show author(s) (2009). Specification testing in nonlinear and nonstationary time series regression. Annals of Statistics. 3893-3928.
  • Show author(s) (2009). Seasonal cycles and long-term trends of plankton in shelf and oceanic habitats of the Norwegian Sea in relation to environmental varaibales. Deep-Sea Research Part II: Topical Studies in Oceanography. 1895-1909.
  • Show author(s) (2009). Poisson autoregression. Journal of the American Statistical Association. 1430-1439.
  • Show author(s) (2009). Nonparametric additive models for panels of time series. Econometric Theory. 442-481.
  • Show author(s) (2009). Nonparametric Additive Models for Panels of Time Series. Econometric Theory. 442-481.
  • Show author(s) (2009). NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY. Econometric Theory. 1869-1892.
  • Show author(s) (2009). Adaptively varying-coefficient spatiotemporal models. Journal of The Royal Statistical Society Series B-statistical Methodology. 859-880.
  • Show author(s) (2008). Spatial smoothing, Nugget effect and infill asymptotics. Statistics and Probability Letters. 3145-3151.
  • Show author(s) (2008). Moment inequalities for spatial processes. Statistics and Probability Letters. 687-697.
  • Show author(s) (2008). Linear and nonlinear alignment of time series with applications to varve chronologies. Environmetrics. 409-427.
  • Show author(s) (2008). Linear and nonlinear alignment of time series with applications to varve chronologies. Environmetrics. 409-427.
  • Show author(s) (2007). Nonparametric estimation in a nonlinear cointegration type model. Annals of Statistics. 252-299.
  • Show author(s) (2007). Exploring spatial nonlinearity using additive approximation. Bernoulli. 447-472.
  • Show author(s) (2007). Can the precision of bottom trawl indices be increased by using simultaneously collected acoustic data? The Barents Sea experience. Canadian Journal of Fisheries and Aquatic Sciences. 1390-1402.
  • Show author(s) (2007). Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory. Statistica sinica. 177-197.
  • Show author(s) (2007). A Cautionary Note on the Use of the Kolmogorov–Smirnov Test for Normality. Monthly Weather Review. 1151-1157.
  • Show author(s) (2006). Nonlinear alignment of time series with applications to varv chronologies. Environmetrics.
  • Show author(s) (2006). Estimation in semiparametric spatial regression. Annals of Statistics. 1395-1435.
  • Show author(s) (2005). When fish meet a trawling vessel: examining the behaviour of gadoids using a free-floating buoy and acoustic split-beam tracking. Canadian Journal of Fisheries and Aquatic Sciences. 2409-2422.
  • Show author(s) (2004). Revealing some unexpected dependence properties of linear combinations of stable random variables using symmetric covariations. Communications in Statistics - Theory and Methods. 769-786.
  • Show author(s) (2004). Nonparametric estimation and testing in panels of intercorrelated time series. Journal of Time Series Analysis. 831-872.
  • Show author(s) (2004). Diurnal variation in acoustic densities: why do we see less in the dark? Canadian Journal of Fisheries and Aquatic Sciences. 2237-2254.
  • Show author(s) (2004). Decomposing and explaining the variability of bottom trawl survey data from the Barents Sea. Sarsia. 196-210.
  • Show author(s) (2003). Avoidance behaviour in cod (Gadus morhua) to a bottom-trawling vessel. Aquatic Living Resources. 265-270.
  • Show author(s) (2002). The measurement error of marine survey registrations: the bottom trawl case. Fishery Bulletin. 7 pages.
  • Show author(s) (2002). Nonparametric estimation and testing of additive time series models. Econometric Theory. 197-251.
  • Show author(s) (2002). Modelling diurnal variation in bottom trawl survey catches: does it pay to adjust? Canadian Journal of Fisheries and Aquatic Sciences. 33-48.
  • Show author(s) (2001). Nonparametric estimation in null recurrent time series. Annals of Statistics. 372-416.
  • Show author(s) (2001). Modelling diurnal variations in marine populations. Biometrics. 189-196.
  • Show author(s) (1999). Modeling panels of intercorrelated autoregressive time series. Biometrika. 572-590.
  • Show author(s) (1998). Local polynomial approximation and linearity testing. Journal of Statistical Planning and Inference. 295-321.
  • Show author(s) (1998). Local polynomial approximation and linearity testing. Journal of Statistical Planning and Inference. 295-321.
  • Show author(s) (1997). Additive nonlinear ARX time series and projection estimates. Econometric Theory. 214-252.
  • Show author(s) (1996). Testing for serial independence using measures of distance between densities. Springer Lectures Notes in Statistics, 115.
  • Show author(s) (1996). Nonparametric statistics for testing linearity and serial independence. Nonparametric Statistics. 223-251.
  • Show author(s) (1996). Measures of dependence and tests of independence independence. Statistics.
  • Show author(s) (1995). Nonparametric tests of linearity for time series. Biometrika. 351-368.
  • Show author(s) (1995). Nonparametric estimation and identification of nonlinear ARCH time series. Econometric Theory. 258-289.
  • Show author(s) (1994). Nonparametric identification of nonlinear time series: Selecting significant lags. Journal of the American Statistical Association.
  • Show author(s) (1994). Nonparametric identification of nonlinear time series: Projections. Journal of the American Statistical Association.
  • Show author(s) (1994). Nonlinear time series. A selective review. Scandinavian Journal of Statistics. 97-130.
  • Show author(s) (1994). Non-parametric identification of nonlinear time series : Selecting significant lags. Journal of the American Statistical Association. 1410-1419.
  • Show author(s) (1994). Non-parametric identification of nonlinear time series : Projections. Journal of the American Statistical Association. 1398-1409.
  • Show author(s) (1993). A nonparametric test of serial independence based on the empirical distribution function. Biometrika. 591-602.
  • Show author(s) (1991). Functional identification in nonlinear time series. ?.
  • Show author(s) (1990). Identification of nonlinear time series: First order characterization and order determination. ?.
Report
  • Show author(s) (2016). Non-parametric estimation of conditional densities: A new method. 22. 22. .
  • Show author(s) (2011). Using Local Gaussian Correlation in a Nonlinear Re-examination of Financial Contagion. 14. 14. .
  • Show author(s) (2010). Measuring Financial Contagion by Local Gaussian Correlation. 12. 12. .
  • Show author(s) (2007). A Convolution Estimator for the Density of Nonlinear Regression Observations. 25. 25. .
  • Show author(s) (2000). Nonparametric estimation in a nonlinear cointegration type model. 33. 33. .
  • Show author(s) (1998). Nonparametric estimation for null recurrent time series. .
  • Show author(s) (1998). Modelling panels of intercorrelated autoregressive time series. .
  • Show author(s) (1997). Nonparametric estimation of interaction in additive models. .
  • Show author(s) (1990). Functional identification in nonlinear timeseries. Report No.21 July 1990. .
  • Show author(s) (1989). Identification of nonlinear timeseries. First order characterization and order determination. Report No.20 Nov.1989. .
  • Show author(s) (1988). Segmentation of data traces with applications to dipmeter oilwell measurements. 18. 18. .
  • Show author(s) (1988). Estimation of AR parameters in time series with suddenley changing structure. 19. 19. .
  • Show author(s) (1987). Consistent estimates of the NEAR(2) and NLAR(2) time series models. 17. 17. .
  • Show author(s) (1986). Loss of spectral peaks in autoregressive spectral estimation. 12. 12. .
  • Show author(s) (1986). Fitting nonstationary autoregressive models to dipmeter data. 13. 13. .
  • Show author(s) (1985). Multiple bilinear time series models. 11. 11. .
  • Show author(s) (1983). Theory and practice of multivariate arma forecasting. 7. 7. .
  • Show author(s) (1983). On the estimation of residual variances and order in autoregressive time series. 6. 6. .
  • Show author(s) (1983). Autoregressive processes with a time dependent variance II: Some further properties of least sequances estimates. 8. 8. .
  • Show author(s) (1981). Bias and some commonly used time series estimates. 2. 2. .
  • Show author(s) (1981). Autoregressive processes with a time dependent variance. 1. 1. .
Lecture
  • Show author(s) (2022). Statistical embedding: Beyond principal components.
  • Show author(s) (2019). Measuring conditional dependence using the local Gaussian partial correlation.
Popular scientific lecture
  • Show author(s) (1998). Specification procedures for linear and nonlinear time series.
  • Show author(s) (1998). Panels of intercorrelated time series: Linear and nonlinear models.
  • Show author(s) (1998). Panels of intercorrelated time series in linear and nonlinear models.
  • Show author(s) (1998). Panels of intercorrelated time series.
  • Show author(s) (1998). Nonparametric estimation for null recurrent time series.
  • Show author(s) (1997). Panels of intercorrelated time series: Linear and nonlinear models.
  • Show author(s) (1997). Panels of intercorrelated time series: Linear and nonlinear models.
  • Show author(s) (1997). Panels of intercorrelated time series.
  • Show author(s) (1997). Exploring time series using nonparametric methods.
  • Show author(s) (1994). Tests of Independence.
Academic lecture
  • Show author(s) (2018). Characterizing Conditional Dependence and Testing for Conditional Independence using the Local Gaussian Partial Correlation.
  • Show author(s) (2017). Estimating multivariate and conditional density functions using local Gaussian approximations.
  • Show author(s) (2013). Recognizing and visualizing copulas: an approach using local Gaussian approximation.
  • Show author(s) (2013). Improved morphological fish school characterization using simulations of multibeam sonar data.
  • Show author(s) (2011). Multivariate Poisson Autoregression.
  • Show author(s) (2010). Measuring Financial Contagion by Local Gaussian Correlation.
  • Show author(s) (2010). Measuring Financial Contagion by Local Gaussian Correlation.
  • Show author(s) (2010). Asymmetries in Financial Returns: A Local Gaussian Correlation Approach.
  • Show author(s) (2010). Asymmetries in Financial Returns: A Local Gaussian Correlation Approach.
  • Show author(s) (2009). Measuring financial contagion by local Gaussian correlation.
  • Show author(s) (2009). Asymmetries in financial returns: A local Gaussian correlation approach.
  • Show author(s) (2009). Asymmetries in Financial Returns: A Local Gaussian Correlation Approach.
  • Show author(s) (2003). Nonparametric estimation in additive models.
  • Show author(s) (2003). Nonparametric estimation in a nonstationary context with applications to nonlinear cointegration.
  • Show author(s) (2003). Avoidance behaviour in cod (Gadus morhua) to a bottom-trawling vessel.
  • Show author(s) (2002). Survey of nonlinear time series modesl.
  • Show author(s) (2002). Survey of nonlinear time series models.
  • Show author(s) (2002). Nonparametric estimation in a nonstationary context.
  • Show author(s) (2002). Nonparametric estimation in a nonstationary context.
  • Show author(s) (2002). Introduction to nonparametric methods.
  • Show author(s) (2001). Two recent developments in nonstationary and nonlinear time series modeling.
  • Show author(s) (2000). Om additive modeller.
  • Show author(s) (2000). Nonparametric estimation for nonstationary processes.
  • Show author(s) (2000). Nonlinear models for a panel of intercorrelated time series.
  • Show author(s) (2000). Nonlinear cointegration.
  • Show author(s) (2000). Nonlinear cointegration.
  • Show author(s) (2000). Linearity tests for time series.
  • Show author(s) (2000). Intercorrelated panels. Linear and nonlinera models.
  • Show author(s) (2000). Exploring models for panels of time series.
  • Show author(s) (2000). Exploratory data analysis and linearity tests for time series.
  • Show author(s) (2000). Analysing panels of intercorrelated time series.
  • Show author(s) (2000). Alignment of time series.
  • Show author(s) (2000). Additive models: an alternative to linear models in econometrics.
  • Show author(s) (1998). Exploring time series using semi- and nonparametric methods.
  • Show author(s) (1997). Panels of intercorrelated time series.
  • Show author(s) (1997). Nonparametric methods of time series.
  • Show author(s) (1997). Nonparametric analysis for null recurrent processes.
  • Show author(s) (1997). Linear and nonlinear models for panels of time series.
Editorial
  • Show author(s) (2012). Rejoinder on: Some recent theory for autoregressive count time series. Test (Madrid). 469-476.
Academic anthology/Conference proceedings
  • Show author(s) (2000). Nonlinear econometric modeling in time series analysis. Cambridge University Press.
Academic monograph
  • Show author(s) (2021). Statistical Modeling Using Local Gaussian Approximation.
  • Show author(s) (2010). Modelling nonlinear economic time series.
Non-fiction book
  • Show author(s) (1998). Nonparametric specification procedures for time series, in Asymptotic, Nonparametrics and Time Series. Elsevier.
Doctoral dissertation
  • Show author(s) (2017). Nonlinear Spectrum Analysis based on the Local Gaussian Correlation and Model Selection for Copulas.
  • Show author(s) (2016). Multivariate and conditional density estimation using local Gaussian approximations.
  • Show author(s) (2016). Local Gaussian Correlation for Time Series and Regular Vine Estimation for Bayesian Networks.
Academic chapter/article/Conference paper
  • Show author(s) (2015). Count time series models with latent autoregressive dynamics. 24 pages.
  • Show author(s) (2012). Modelling nonlinear and nonstationary time series. 31 pages.
  • Show author(s) (2007). A new convolution estimator for nonparametric regression. 22 pages.
  • Show author(s) (2007). A new convolution estimator for nonparametric regression. 22 pages.
  • Show author(s) (2002). Nonlinear unit root processes and the problem of nonlinear cointegration. 30 pages.
  • Show author(s) (2002). Nonlinear Unit Root Processes and the Problem of Nonlinear Cointegration. 29 pages.
  • Show author(s) (2002). Nonlinear Unit Root Processes and the Problem of Nonlinear Cointegration. 29 pages.
  • Show author(s) (1999). Residual variance estimates and order determination in panels of intercorrelated time series. 25 pages.
  • Show author(s) (1999). Nonparametric specification tests for time series. 52 pages.
  • Show author(s) (1998). Nonparametric specification procedures for time series.
  • Show author(s) (1998). Exploring time series using semi- and nonparametric methods. 12 pages.
  • Show author(s) (1994). Aspects of modelling nonlinear time series. 39 pages.
Encyclopedia article
  • Show author(s) (2012). Nonparametric methods in random fields. 2109-2115. In:
    • Show author(s) (2012). Encyclopedia of Environmetrics.
Poster
  • Show author(s) (2008). A convolution density estimator for nonlinear time series: Simulations and some preliminary analysis.
Article in business/trade/industry journal
  • Show author(s) (2019). Discussion of Models as Approximations I & II. Statistical Science. 575-579.

More information in national current research information system (CRIStin)