boshweb.bib

@article{boshnakov2014sourav,
  author = {Subba Rao, Tata and Sourav Das and Georgi N. Boshnakov},
  title = {A Frequency domain approach for the estimation of parameters of spatio-temporal
                  stationary random processes},
  journal = {J. Time Series Anal.},
  volume = {35},
  number = {4},
  year = {2014},
  pages = {357--377},
  doi = {10.1111/jtsa.12069}
}
@article{Nikolaev20132233,
  title = {Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation},
  journal = {Expert Systems with Applications},
  volume = {40},
  number = {6},
  pages = {2233 - 2243},
  year = {2013},
  note = {},
  issn = {0957-4174},
  doi = {10.1016/j.eswa.2012.10.038},
  url = {http://www.sciencedirect.com/science/article/pii/S0957417412011621},
  author = {Nikolay Y. Nikolaev and Georgi N. Boshnakov and Robert Zimmer},
  keywords = {GARCH models},
  keywords = {Mixture models},
  keywords = {Student-t distribution},
  keywords = {VaR estimation}
}
@techreport{rr:RDBfreq2012,
  author = {Tata Subba Rao and Sourav Das and Georgi N. Boshnakov},
  title = {A Frequency domain approach for the estimation of parameters of spatio-temporal
                  stationary random processes},
  institution = {Probability and Statistics Group, School of Mathematics, University of
                  Manchester},
  address = {Oxford Road, Manchester M13 9PL, UK},
  type = {Research Report},
  number = {7},
  year = {2012},
  note = {(available also as MIMS EPrint No. 2012.90 at
         \url{http://eprints.ma.man.ac.uk/1879/})},
  url = {http://www.mims.manchester.ac.uk/research/probability-statistics/research-reports/psrr07-2012.pdf}
}
@techreport{b:rrSourav,
  author = {Das, Sourav and  Subba Rao, Tata and Boshnakov, Georgi N.},
  title = {On the Estimation of Parameters of Variograms of Spatial Stationary Isotropic Random
                  Processes},
  institution = {Probability and Statistics Group, School of Mathematics, University of
                  Manchester},
  address = {Oxford Road, Manchester M13 9PL, UK},
  type = {Research Report},
  number = {2},
  year = {2012},
  url = {http://www.mims.manchester.ac.uk/research/probability-statistics/research-reports/psrr02-2012.pdf}
}
@article{Boshnakov2012pld,
  title = {A periodic {Levinson-Durbin} algorithm for entropy maximization},
  journal = {Computational Statistics \& Data Analysis},
  volume = {56},
  number = {},
  pages = {15--24},
  year = {2012},
  note = {},
  issn = {0167-9473},
  doi = {10.1016/j.csda.2011.07.001},
  url = {http://www.sciencedirect.com/science/article/pii/S0167947311002556},
  author = {Georgi N. Boshnakov and Sophie Lambert-Lacroix},
  keywords = {Maximum entropy method},
  keywords = {Partial autocorrelation},
  keywords = {Periodically correlated processes},
  keywords = {Periodic Levinson-Durbin algorithm}
}
@article{Boshnakov2012mep,
  author = {Boshnakov, Georgi N. and Iqelan, Bisher M.},
  title = {Maximum entropy models for general lag patterns},
  journal = {Journal of Time Series Analysis},
  volume = {33},
  number = {1},
  year = {2012},
  pages = {112--120},
  note = {},
  issn = {1467-9892},
  doi = {10.1111/j.1467-9892.2011.00744.x}
}
@techreport{rrBoshnakov2010entropy,
  author = {Boshnakov, Georgi N. and Iqelan, Bisher M.},
  title = {Maximum entropy models for general lag patterns},
  institution = {Probability and Statistics Group, School of Mathematics, University of
                  Manchester},
  address = {Oxford Road, Manchester M13 9PL, UK},
  type = {Research Report},
  number = {4},
  year = {2010},
  url = {http://www.mims.manchester.ac.uk/research/probability-statistics/research-reports/psrr04-2010.pdf},
  note = {(this is a revision of \cite{rrBoshnakov2007entropy}, superseded by \cite{Boshnakov2012mep})}
}
@article{Boshnakov2011on1st2nd,
  author = {Boshnakov, Georgi N.},
  title = {On First and Second Order Stationarity of Random Coefficient Models},
  journal = {Linear Algebra Appl.},
  fjournal = {Linear Algebra and its Applications},
  volume = {434},
  year = {2011},
  number = {2},
  pages = {415--423},
  doi = {10.1016/j.laa.2010.09.023}
}
@inproceedings{Boshnakov2009jeni,
  author = {Stoimenova, Eugenia and Boshnakov, Georgi N.},
  title = {Power of Rank Tests Against Location Shift Alternative},
  editor = {Cole, Frank  and Mallor, Fermin  and Omey, Edward  and Van Gulck, Stefan},
  booktitle = {Proceedings of the seventh International Conference on Simulation in Industry
             and Services},
  venue = {Hogeschool Universiteit Brussel, December 4, 2009},
  isbn = {978-84-9769-249-6},
  publisher = {Universidad P{\`u}blica de Navarra, 31006 Pamplona, Spain},
  year = {2009},
  pages = {117-135},
  url = {http://www.maths.manchester.ac.uk/~gb/Publications/Boshnakov2009jeni.pdf}
}
@techreport{rrBoshnakov2009jeni,
  author = {Stoimenova, Eugenia and Boshnakov, Georgi N.},
  title = {Power of Rank Tests Against Location Shift Alternative},
  institution = {Probability and Statistics Group, School of Mathematics, University of
                  Manchester},
  address = {Oxford Road, Manchester M13 9PL, UK},
  type = {Research Report},
  number = {15},
  year = {2009},
  note = {(see also \cite{Boshnakov2009jeni})},
  url = {http://www.mims.manchester.ac.uk/research/probability-statistics/research-reports/psrr15-2009.pdf}
}
@article{Boshnakov2009pcme,
  title = {{Maximum entropy for periodically correlated processes from nonconsecutive
                  autocovariance coefficients}},
  author = {Boshnakov, Georgi N. and Lambert-Lacroix, Sophie},
  journal = {J.~Time Series Anal.},
  fjournal = {Journal of Time Series Analysis},
  volume = {30},
  number = {5},
  pages = {467--486},
  year = {2009},
  publisher = {Blackwell Publishing},
  doi = {10.1111/j.1467-9892.2009.00619.x}
}
@article{Boshnakov2009mar,
  author = {Boshnakov, Georgi N.},
  title = {{Analytic expressions for predictive distributions in mixture
    autoregressive models.}},
  journal = {Stat. Probab. Lett. },
  volume = {79},
  number = {15},
  pages = {1704-1709},
  year = {2009},
  doi = {10.1016/j.spl.2009.04.009}
}
@article{Boshnakov2009gen,
  author = {Boshnakov, Georgi N. and Iqelan, Bisher M.},
  title = {Generation of time series models with given spectral
              properties},
  journal = {J.~Time Series Anal.},
  fjournal = {Journal of Time Series Analysis},
  volume = {30},
  year = {2009},
  number = {3},
  pages = {349--368},
  issn = {0143-9782},
  mrclass = {62M10 (62M15)},
  mrnumber = {MR2512237},
  doi = {10.1111/j.1467-9892.2009.00617.x}
}
@techreport{rrBoshnakov2009pld,
  author = {Boshnakov, Georgi N. and Lambert-Lacroix, Sophie},
  title = {Periodic {Levinson-Durbin} Algorithm for Entropy Maximisation},
  institution = {Probability and Statistics Group, School of Mathematics, University of
                  Manchester},
  address = {Oxford Road, Manchester M13 9PL, UK},
  type = {Research Report},
  number = {4},
  year = {2009},
  url = {http://www.mims.manchester.ac.uk/research/probability-statistics/research-reports/psrr04-2009.pdf},
  note = {(this has been superseded by \cite{Boshnakov2012pld})}
}
@techreport{rrBoshnakov2009on1st2nd,
  author = {Boshnakov, Georgi N.},
  title = {On First and Second Order Stationarity of Random Coefficient Models},
  institution = {Probability and Statistics Group, School of Mathematics, University of
                  Manchester},
  address = {Oxford Road, Manchester M13 9PL, UK},
  type = {Research Report},
  number = {3},
  year = {2009},
  note = {(this has been superseded by \cite{Boshnakov2011on1st2nd})},
  url = {http://www.mims.manchester.ac.uk/research/probability-statistics/research-reports/psrr03-2009.pdf}
}
@article{Boshnakov2007asym,
  author = {Boshnakov, Georgi N.},
  title = {Some measures for asymmetry of distributions},
  journal = {Statist. Probab. Lett.},
  fjournal = {Statistics \& Probability Letters},
  volume = {77},
  year = {2007},
  number = {11},
  pages = {1111--1116},
  issn = {0167-7152},
  coden = {SPLTDC},
  mrclass = {62E10 (60E05 62B10)},
  mrnumber = {MR2395068},
  doi = {10.1016/j.spl.2007.02.002}
}
@article{Boshnakov2007svd,
  author = {Boshnakov, Georgi N.},
  title = {Singular value decomposition of multi-companion matrices},
  journal = {Linear Algebra Appl.},
  fjournal = {Linear Algebra and its Applications},
  volume = {424},
  year = {2007},
  number = {2-3},
  pages = {393--404},
  issn = {0024-3795},
  coden = {LAAPAW},
  mrclass = {15A18},
  mrnumber = {MR2329483 (2009b:15018)},
  mrreviewer = {Dao Sheng Zheng},
  doi = {10.1016/j.laa.2007.02.010}
}
@techreport{rrBoshnakov2007entropy,
  author = {Boshnakov, Georgi N. and Iqelan, Bisher M.},
  title = {{Non-Gaussian} Maximum Entropy Processes},
  institution = {Probability and Statistics Group, School of Mathematics, University of
                  Manchester},
  address = {Oxford Road, Manchester M13 9PL, UK},
  type = {Research Report},
  number = {3},
  year = {2007},
  note = {(please see the revised version \cite{rrBoshnakov2010entropy})},
  url = {http://www.mims.manchester.ac.uk/research/probability-statistics/research-reports/psrr03-2007.pdf}
}
@article{Boshnakov2005sacvf,
  author = {Boshnakov, Georgi N.},
  title = {On the asymptotic properties of multivariate sample
              autocovariances},
  journal = {J. Multivariate Anal.},
  fjournal = {Journal of Multivariate Analysis},
  volume = {92},
  year = {2005},
  number = {1},
  pages = {42--52},
  issn = {0047-259X},
  mrclass = {62M10 (60F05 62E20)},
  mrnumber = {MR2102243 (2005h:62234)},
  mrreviewer = {P. A. Morettin},
  doi = {10.1016/j.jmva.2003.10.005}
}
@article{Boshnakov2004pliska,
  author = {Boshnakov, Georgi N.},
  title = {On some concepts of residuals},
  journal = {Pliska Stud. Math. Bulgar.},
  fjournal = {Pliska Studia Mathematica Bulgarica},
  volume = {16},
  year = {2004},
  pages = {23--33},
  issn = {0204-9805},
  mrclass = {62G15 (60E10 62M20)},
  mrnumber = {MR2070302},
  note = {(references and the crossreferences in this paper have been messed up during
                  the publishing process, please see the original preprint: On some concepts
                  of residuals, Department of Mathematics, UMIST, Preprint, 2003,
     \url{http://www.maths.manchester.ac.uk/~gb/Publications/Onsomeconceptsofresiduals.pdf})}
}
@article{Boshnakov2003cch,
  author = {Boshnakov, Georgi N.},
  title = {Confidence characteristics of distributions},
  journal = {Statist. Probab. Lett.},
  fjournal = {Statistics \& Probability Letters},
  volume = {63},
  year = {2003},
  number = {4},
  pages = {353--360},
  issn = {0167-7152},
  coden = {SPLTDC},
  mrclass = {60E05 (62E10)},
  mrnumber = {MR1996183 (2004d:60025)},
  mrreviewer = {Roger B. Nelsen},
  doi = {10.1016/S0167-7152(03)00100-7}
}
@article{Boshnakov2002mc,
  author = {Boshnakov, Georgi N.},
  title = {Multi-companion matrices},
  journal = {Linear Algebra Appl.},
  fjournal = {Linear Algebra and its Applications},
  volume = {354},
  year = {2002},
  pages = {53--83},
  issn = {0024-3795},
  coden = {LAAPAW},
  mrclass = {15A18 (62M10)},
  mrnumber = {MR1927648 (2003f:15014)},
  mrreviewer = {M. L. Mehta},
  doi = {10.1016/S0024-3795(01)00475-X}
}
@article{Boshnakov1998,
  author = {Esa, Sahib and Boshnakov, Georgi},
  title = {Sufficient statistics for {ARMA} models with some fixed
              parameters},
  journal = {Comm. Statist. Theory Methods},
  fjournal = {Communications in Statistics. Theory and Methods},
  volume = {27},
  year = {1998},
  number = {5},
  pages = {1083--1099},
  issn = {0361-0926},
  coden = {CSTMDC},
  mrclass = {62M10},
  mrnumber = {MR1626297 (99a:62129)},
  doi = {10.1080/03610929808832147}
}
@incollection{Boshnakov1996gyor,
  author = {Boshnakov, Georgi N.},
  title = {Periodically correlated solutions to a class of stochastic
              difference equations},
  booktitle = {Stochastic differential and difference equations ({G}y{\H o}r,
              1996)},
  series = {Progr. Systems Control Theory},
  volume = {23},
  pages = {1--9},
  publisher = {Birkh\"auser Boston},
  address = {Boston, MA},
  year = {1997},
  mrclass = {60G99 (62M10)},
  mrnumber = {MR1636822},
  editor = {Csisz\'ar, I. and Michaletzky, Gy.},
  url = {http://www.maths.manchester.ac.uk/~gb/Publications/Boshnakov1997gyor.pdf}
}
@article{Boshnakov1996spa,
  author = {Boshnakov, Georgi N.},
  title = {The asymptotic covariance matrix of the multivariate serial
              correlations},
  journal = {Stochastic Process. Appl.},
  fjournal = {Stochastic Processes and their Applications},
  volume = {65},
  year = {1996},
  number = {2},
  pages = {251--258},
  issn = {0304-4149},
  coden = {STOPB7},
  mrclass = {62M10},
  mrnumber = {MR1425359 (98f:62246)},
  mrreviewer = {Francesco Battaglia},
  doi = {10.1016/S0304-4149(96)00104-4}
}
@article{Boshnakov1996jtsa,
  author = {Boshnakov, Georgi N.},
  title = {Recursive computation of the parameters of periodic
              autoregressive moving-average processes},
  journal = {J.~Time Ser. Anal.},
  fjournal = {Journal of Time Series Analysis},
  volume = {17},
  year = {1996},
  number = {4},
  pages = {333--349},
  issn = {0143-9782},
  mrclass = {62M10},
  mrnumber = {MR1410414 (97j:62124)},
  mrreviewer = {A. N. Startsev},
  doi = {10.1111/j.1467-9892.1996.tb00281.x}
}
@article{Boshnakov1996aism,
  author = {Boshnakov, Georgi N.},
  title = {Bartlett's formulae---closed forms and recurrent equations},
  journal = {Ann. Inst. Statist. Math.},
  fjournal = {Annals of the Institute of Statistical Mathematics},
  volume = {48},
  year = {1996},
  number = {1},
  pages = {49--59},
  issn = {0020-3157},
  coden = {AISXAD},
  mrclass = {60G10 (62M10)},
  mrnumber = {MR1392515 (97f:60078)},
  mrreviewer = {Juan Carlos Abril},
  doi = {10.1007/BF00049288}
}
@incollection{Boshnakov1994scalings,
  author = {Boshnakov, Georgi},
  title = {Complex scalings for categorical time series},
  pages = {91--96},
  editor = {Partchev, I.},
  booktitle = {Multivariate Analysis in the Behavioral Sciences. Philosophic to technical.},
  publisher = {``Prof. Marin Drinov'' Academic Publishing House, Sofia},
  isbn = {954-430-406-1},
  year = {1995},
  url = {http://www.maths.manchester.ac.uk/~gb/Publications/Boshnakov1995scalings.pdf}
}
@techreport{Boshnakov1995burg,
  author = {Boshnakov, Georgi  N.},
  title = {A generalization of the {Burg's} algorithm to periodically correlated
            time series},
  institution = {Institute of Mathematics, Bulgarian Academy of
                  Sciences},
  type = {Preprint},
  year = {1995},
  pages = {1-15},
  url = {http://www.maths.manchester.ac.uk/~gb/Publications/Boshnakov1995burg.pdf}
}
@inproceedings{Boshnakov1995mathematica,
  author = {Boshnakov, Georgi  N.},
  title = {Using {``Mathematica''} to find the densities of multivariate
                  linear combinations of exponential random variables
                  (paper presented at {SDA'95}, {Varna}, 1995.)},
  booktitle = {Statistical Data Analysis. Proceedings of SDA'95 and
                  SDA'96, Bulgarian Statistical Society},
  publisher = {Bulgarian Statistical Society and Bulgarian Academy of
                  Sciences},
  address = {Acad.\ G.\ Bonchev str., bl. 8, 1113 Sofia (Bulgaria)},
  year = {1997},
  pages = {1-9}
}
@inproceedings{Boshnakov1992peracf,
  author = {Boteva, A.  and Boshnakov, G. N.},
  title = {An Algorithm for the Computation of the Theoretical Autocovariances
            of a Periodic Autoregression Process},
  booktitle = {Proceedings of the 8-th Seminar on Statistical Data Analysis,
              Varna},
  publisher = {Computer Stochastics Laboratory, Institute of
                  Mathematics, Bulgarian Academy of Sciences},
  address = {Acad.\ G.\ Bonchev str., bl. 8, 1113 Sofia (Bulgaria)},
  year = {1992},
  pages = {9-15},
  url = {http://www.maths.manchester.ac.uk/~gb/Publications/Boshnakov1992perar.pdf}
}
@inproceedings{Boshnakov1992inverse,
  author = {Boshnakov, Georgi  N.},
  title = {A note on the computation of the variances of the estimated
            parameters in multivariate autoregression},
  booktitle = {Proceedings of the 8-th Seminar on Statistical Data Analysis,
            Varna},
  publisher = {Computer Stochastics Laboratory, Institute of
                  Mathematics, Bulgarian Academy of Sciences},
  address = {Acad.\ G.\ Bonchev str., bl. 8, 1113 Sofia (Bulgaria)},
  year = {1992},
  pages = {5-8},
  url = {http://www.maths.manchester.ac.uk/~gb/Publications/Boshnakov1992inverse.pdf}
}
@preamble{{\def\cdprime{$''$} }}
@article{Boshnakov1992,
  author = {Boshnakov, Georgi N.},
  title = {Innovations, sufficient statistics and maximum likelihood in
              {ARMA} models},
  journal = {Math. Balkanica (N.S.)},
  fjournal = {Mathematica Balkanica. New Series},
  volume = {6},
  year = {1992},
  number = {2},
  pages = {119--123},
  issn = {0205-3217},
  mrclass = {62M10},
  mrnumber = {MR1182940 (93e:62229)},
  url = {http://www.maths.manchester.ac.uk/~gb/Publications/Boshnakov1992balcan.pdf}
}
@article{Boshnakov1989bartlett,
  author = {Boshnakov, Georgi  N.},
  title = {On the asymptotic distribution of the sample autocovariance
              and autocorrelation functions},
  journal = {C. R. Acad. Bulgare Sci.},
  fjournal = {Doklady Bolgarsko\u\i\ Akademii Nauk. Comptes Rendus de
              l'Acad\'emie Bulgare des Sciences},
  volume = {42},
  year = {1989},
  number = {5},
  pages = {21--23},
  issn = {0366-8681},
  coden = {CRABAA},
  mrclass = {62M10 (62E20)},
  mrnumber = {MR1020856}
}
@manual{Boshnakov1989tstat16,
  author = {Boshnakov, G. and Damjanov, G. and Vandev, D. and Dimitrov,
                  D. and Dimitrov, E. and Mateev, P.},
  title = {A program package for multivariate time series analysis, {TSTAT-16},
            {User's} manual},
  organization = {Institute of Mathematics, Bulgarian Academy of Sciences and SPS},
  address = {Acad.\ G.\ Bonchev str., bl. 8, 1113 Sofia (Bulgaria)},
  year = {1989},
  keywords = {software}
}
@incollection{Boshnakov1988,
  author = {Boshnakov, Georgi N.},
  title = {On One Property of the Nonstationary Time Series Models},
  booktitle = {Mathematics and mathematical education
              ({S}unny {B}each/Bulgaria, 1988)},
  pages = {213-218},
  publisher = {Publ. House Bulgar. Acad. Sci., Sofia},
  year = 1988
}
@incollection{Boshnakov1987,
  author = {Boshnakov, Georgi N.},
  title = {A method for structural identification of time series models},
  booktitle = {Mathematics and mathematical education
              ({S}unny {B}each/Bulgaria, 1987)},
  pages = {325--330},
  publisher = {Publ. House Bulgar. Acad. Sci., Sofia},
  year = {1987},
  mrclass = {62M10},
  mrnumber = {MR949958}
}
@inproceedings{b:87a,
  author = {Boshnakov, Georgi  N.},
  title = {{STATLAB.TS} --- A Computer Package for Interactive Time Series
             Analysis},
  booktitle = {Proceedings of the Seminar on Statistical Data Analysis, Golden
              Sands---Varna},
  year = {1987},
  pages = {215-220},
  keywords = {software}
}

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