Publications

Selected Recent Publications and Technical Reports

1. Harvill, J. and Ray, B. (2005). Functional coefficient autoregressive models for vector time series, Computational Statistics and Data Analysis,(in press).
2. Mojislovic, A., Ray, B., Takriti, S., and Lawrence, R. (2005). A logistic regression framework for outsourcing lifecycle management,Computers and Operations Research (in press).
3. Liu, Z., Ravishanker, N., and Ray, B. (2005). NHPP models for categorized software defects, Applied Stochastic Models in Business and Industry, (in press).
4. Ray, B., Liu, Z., and Ravishanker, N., (2005). Dynamic reliability models for software using time-dependent covariates, Technometrics, (in press)
5. Harvill, J. and Ray, B. (2005). A note on multi-step forecasting with functional coefficient autoregressive models. International Journal of Forecasting, Special Issue on Forecasting Nonlinearities in the Business Cycle, 21 (4), pp. 717-727.
6. Hurvich, C., and Ray, B. (2003) The local Whittle estimator of long memory stochastic volatility, Journal of Financial Econometrics, 445-470.
7. De Gooijer, J. and Ray, B.(2003). Modeling vector nonlinear time series using POLYMARS, Computational Statistics and Data Analysis, 42,73-90.
8. Ray, B. and Tsay, R. (2001). Bayesian change-point estimation for long-range dependent processes, Journal of Time Series Analysis.
9. Ray, B. and Tsay, R. (2001) "Identifying Common Long-Range Dependence in a Vector Time Series", International Economic Review.
10. Lewis, P.A.W. and Ray, B. (2001) "Modeling Periodic Threshold Autoregressions using TSMARS”, Journal of Time Series Analysis.
11. Ramjee, R., Crato, N., and Ray, B. (2001) A note on moving average forecasts of long memory processes with application to quality control, International Journal of Forecasting, Special Issue on Long Memory Forecasting.
12. Ravishanker, N. and Ray, B. (2001) Bayesian forecasting of Vector ARFIMA models, International Journal of Forecasting, Special Issue on Long Memory Forecasting.
13. Crato, N. and Ray, B. (2001). Semiparametric smoothing estimators for long-memory processes with added noise, Journal of Statistical Planning and Inference.
14. Hsu, N.-J., Ray, B. and Breidt, J. (2001) ) Long-range dependent common factor models: A Bayesian approach, Communications in Statistic, Theory and Methods, 30, (6).
15. Harvill, J. and Ray, B. (2000) Lag identification for vector nonlinear time series, Communications in Statistic, Theory and Methods, 29, (8), 1677-1702.
16. Rajagopolan, B., Cook, E., Lall, U., and Ray, B. (2000) Spatio-temporal variability of ENSO and SST teleconnections to summer drought over the US during the 20th century, Journal of Climate, 13 (24), 4244-4255.
17. Crato, N. and Ray, B. Memory in returns and volatilities of commodity futures contracts, Journal of Futures Markets, 20 (6) 525-543.
18. Hsu, N.-J., Ray, B. and Breidt, J. (1998) "Bayesian estimation of common long-range dependent models", in Probability Theory and Mathematical Statistics, B. Grigelionis et al. (Eds.), VSP/TEV.
19. Ray, B. and Tsay, R. (2000) "Long-range Dependence in Daily Stock Volatilities", Journal of Business and Economic Statistics, 18(2), 254-262.
20. Harvill, J. and Ray, B. (1999) "Testing for Nonlinearity in a Vector Time Series," Biometrika, 86, 728-734.
21. DeGooijer, J., Ray, B. and Krager, H. (1998) "Forecasting Exchange Rates using TSMARS", International Journal of Money and Finance, 17, 513-534.
22. Ray, B., Chen, S., and Jarrett, J. (1997) "Identifying permanent and temporary components in daily and monthly Japanese stock prices,'' Financial Engineering and the Japanese Markets, 4, 233--256.
23. Ray, B. and Tsay, R. (1997). "Optimal bandwidth selection for kernel regression with long-range dependent errors", Biometrika, 84, 791--802.
24. Ravishanker, N. and Ray, B. (1997) "Bayesian Analysis of Vector ARFIMA Processes", Australian J. Statistics, 39, 295--311.
25. Lewis, P.A.W. and Ray, B. (1997) "Modeling Nonlinearity, Long-range Dependence, and Periodic Phenomena in Sea Surface Temperatures using TSMARS", JASA, 92, 881-893.
26. Ravishanker, N. and Ray, B. (1997) "Modeling Multivariate ARMA Processes using Gibbs Sampling", Journal of Forecasting, 16, 177-194.
27. Ray, B. and Crato, N. (1996) "Model Selection and Forecasting of Long-range Dependent Processes", Journal of Forecasting, 15, 107--125.
28. Ray, B. and Hurvich, C. (1995). "Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes", Journal of Time Series Analysis, 16, pp. 17--42.