LAJOS HORVATH portrait
  • Professor, Mathematics
801-581-8159

Publications

  • Horváth, Lajos, F. Pellatt, Daniel & Aue, Alexander (2016). Functional Generalized Autoregressive Conditional Heteroskedasticity: FUNCTIONAL GARCH. Wiley-Blackwell. n/a-n/a. Published, 2016.
  • Trapani, Lorenzo & Horváth, Lajos (2016). Statistical inference in a random coefficient panel model. Elsevier BV. Vol. 193(1), 54-75. Published, 2016.
  • Horváth, Lajos, Rice, Gregory & Berkes, István (2016). On the asymptotic normality of kernel estimators of the long run covariance of functional time series. Elsevier BV. Vol. 144, 150-175. Published, 2016.
  • Hušková, Marie, Rice, Gregory, Wang, Jia & Horváth, Lajos (2016). ASYMPTOTIC PROPERTIES OF THE CUSUM ESTIMATOR FOR THE TIME OF CHANGE IN LINEAR PANEL DATA MODELS. Cambridge University Press (CUP). 1-47. Published, 2016.
  • Rice, Gregory & Horváth, Lajos (2015). An introduction to functional data analysis and a principal component approach for testing the equality of mean curves. Springer Science + Business Media. Vol. 28(3), 505-548. Published, 2015.
  • Horváth, Lajos & Rice, Gregory (2015). Testing for independence between functional time series. Elsevier BV. Published, 2015.
  • Horváth, Lajos & Rice, Gregory (2015). TESTING EQUALITY OF MEANS WHEN THE OBSERVATIONS ARE FROM FUNCTIONAL TIME SERIES: TESTING EQUALITY OF MEANS. Wiley-Blackwell. Vol. 36(1), 84-108. Published, 2015.
  • Horváth, Lajos & Rice, Gregory (2014). Extensions of some classical methods in change point analysis. Springer Science + Business Media. Vol. 23(2), 219-255. Published, 2014.
  • Fremdt, Stefan, Horváth, Lajos, Kokoszka, Piotr & Steinebach, Josef G. (2014). Functional data analysis with increasing number of projections. Elsevier BV. Vol. 124, 313-332. Published, 2014.
  • Aue, Alexander, Horváth, Lajos, Hurvich, Clifford & Soulier, Philippe (2014). LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS. Cambridge University Press (CUP). 1-44. Published, 2014.
  • Aue, Alexander, Hormann, Siegfried, Horvath, Lajos & Huskova, Marie (2014). Dependent functional linear models with applications to monitoring structural change. Institute of Statistical Science. Published, 2014.
  • Horváth, Lajos & Rice, Gregory (2014). Rejoinder on: Extensions of some classical methods in change point analysis. Springer Science + Business Media. Vol. 23(2), 287-290. Published, 2014.
  • Bazarova, Alina, Berkes, István & Horváth, Lajos (2014). On the central limit theorem for modulus trimmed sums. Elsevier BV. Vol. 86, 61-67. Published, 2014.
  • Horváth, Lajos, Kokoszka, Piotr & Rice, Gregory (2014). Testing stationarity of functional time series. Elsevier BV. Vol. 179(1), 66-82. Published, 2014.
  • Francq, C., Horvath, L. & Zakoian, J.-M. (2014). Variance Targeting Estimation of Multivariate GARCH Models. Oxford University Press (OUP). Published, 2014.
  • Bazarova, Alina, Berkes, István & Horváth, Lajos (2014). Trimmed stable AR(1) processes. Elsevier BV. Vol. 124(10), 3441-3462. Published, 2014.
  • Horváth, Lajos, Rice, Gregory & Whipple, Stephen (2014). Adaptive bandwidth selection in the long run covariance estimator of functional time series. Elsevier BV. Published, 2014.
  • Horvßth, Lajos (2014). Inference for Functional Data With Applications. Springer Verlag. Published, 06/11/2014.
  • Kokoszka, Piotr, Reeder, Ron & Horváth, Lajos (2013). Estimation of the mean of functional time series and a two-sample problem: Estimation of the Mean of Functional Time Series. Wiley-Blackwell. Vol. 75(1), 103-122. Published, 2013.
  • Reeder, Ron & Horváth, Lajos (2013). A test of significance in functional quadratic regression. Bernoulli Society for Mathematical Statistics and Probability. Vol. 19(5A), 2120-2151. Published, 2013.
  • Hušková, Marie, Chan, Julian & Horváth, Lajos (2013). Darling–Erdős limit results for change-point detection in panel data. Elsevier BV. Vol. 143(5), 955-970. Published, 2013.
  • Aue, Alexander & Horváth, Lajos (2013). Structural breaks in time series. Wiley-Blackwell. Vol. 34(1), 1-16. Published, 2013.
  • Horváth, Lajos, Hušková, Marie & Rice, Gregory (2013). Test of independence for functional data. Elsevier BV. Vol. 117, 100-119. Published, 2013.
  • Reeder, Ron, Horváth, Lajos & Hörmann, Siegfried (2013). A FUNCTIONAL VERSION OF THE ARCH MODEL. Cambridge University Press (CUP). Vol. 29(02), 267-288. Published, 2013.
  • HORVÁTH, LAJOS, KOKOSZKA, PIOTR, STEINEBACH, JOSEF G. & FREMDT, STEFAN (2013). Testing the Equality of Covariance Operators in Functional Samples: Equality of covariance operators. Wiley-Blackwell. Vol. 40(1), 138-152. Published, 2013.
  • Horváth, Lajos, Rice, Gregory & Berkes, István (2013). Weak invariance principles for sums of dependent random functions. Elsevier BV. Vol. 123(2), 385-403. Published, 2013.
  • SCHAUER, JOHANNES, BERKES, ISTVÁN & HORVÁTH, LAJOS (2012). ASYMPTOTIC BEHAVIOR OF TRIMMED SUMS. World Scientific Pub Co Pte Lt. Vol. 12(01), 1150002. Published, 2012.
  • Reeder, Ron & Horváth, Lajos (2012). Detecting changes in functional linear models. Elsevier BV. Vol. 111, 310-334. Published, 2012.
  • Horváth, Lajos & Hušková, Marie (2012). Change-point detection in panel data. Wiley-Blackwell. Vol. 33(4), 631-648. Published, 2012.
  • Aue, Alexander, Horváth, Lajos & Hušková, Marie (2012). Segmenting mean-nonstationary time series via trending regressions. Elsevier BV. Vol. 168(2), 367-381. Published, 2012.
  • Steinebach, Josef G., Hušková, Marie, Aue, Alexander, Hörmann, Siegfried & Horváth, Lajos (2012). SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS. Cambridge University Press (CUP). Vol. 28(04), 804-837. Published, 2012.
  • Steinebach, Josef, Horváth, Lajos, Kühn, Mario & Aue, Alexander (2012). On the reaction time of moving sum detectors. Elsevier BV. Vol. 142(8), 2271-2288. Published, 2012.
  • Horváth, Lajos & Berkes, István (2012). The central limit theorem for sums of trimmed variables with heavy tails. Elsevier BV. Vol. 122(2), 449-465. Published, 2012.
  • Horvath, Lajos (2012). Inference for Functional Data With Applications. Springer Verlag. Published, 05/31/2012.
  • Sequential testing for the stability of portfolio betas Econometric Theory. Published, 01/2012.
  • Horvath, L., Zakoian, J.-M. & Francq, C. (2011). Merits and Drawbacks of Variance Targeting in GARCH Models. Oxford University Press (OUP). Vol. 9(4), 619-656. Published, 2011.
  • Berkes, István, Horváth, Lajos & Schauer, Johannes (2011). Asymptotics of trimmed CUSUM statistics. Bernoulli Society for Mathematical Statistics and Probability. Vol. 17(4), 1344-1367. Published, 2011.
  • Berkes, István, Schauer, Johannes, Ling, Shiqing & Horváth, Lajos (2011). Testing for structural change of AR model to threshold AR model: TESTING FOR STRUCTURAL CHANGE IN AR MODEL. Wiley-Blackwell. Vol. 32(5), 547-565. Published, 2011.
  • Testing for structural change of AR model to threshold AR model J. Time Series Analysis. Published, 06/2011.
  • Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients Statistica Sinica. Published, 05/2011.
  • Merits and drawbacks of variance targeting in GARCH models J. Financial Econometrics. Published, 02/2011.
  • Berkes, István, Hörmann, Siegfried & Horváth, Lajos (2010). On Functional Versions of the Arc-Sine Law. Springer Science + Business Media. Vol. 23(1), 109-126. Published, 2010.
  • Berkes, István, Horváth, Lajos & Schauer, Johannes (2010). Non-central limit theorems for random selections. Springer Science + Business Media. Vol. 147(3-4), 449-479. Published, 2010.
  • Horvath, Lajos, Zakoïan, Jean-Michel & Francq, Christian (2010). SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL. Cambridge University Press (CUP). Vol. 26(04), 965-993. Published, 2010.
  • Hušková, Marie, Horváth, Lajos & Kokoszka, Piotr (2010). Testing the stability of the functional autoregressive process. Elsevier BV. Vol. 101(2), 352-367. Published, 2010.
  • Tests for serial correlation in functional linear model Journal of the American Statistical Society. Published, 05/2010.
  • Horváth, Lajos, Kokoszka, Piotr, Aue, Alexander & Gabrys, Robertas (2009). Estimation of a change-point in the mean function of functional data. Elsevier BV. Vol. 100(10), 2254-2269. Published, 2009.
  • Hušková, Marie, Aue, Alexander & Horváth, Lajos (2009). Extreme value theory for stochastic integrals of Legendre polynomials. Elsevier BV. Vol. 100(5), 1029-1043. Published, 2009.
  • Gabrys, Robertas, Berkes, István, Horváth, Lajos & Kokoszka, Piotr (2009). Detecting changes in the mean of functional observations. Wiley-Blackwell. Vol. 71(5), 927-946. Published, 2009.
  • Horváth, Lajos & Leipus, Remigijus (2009). Effect of aggregation on estimators in AR(1) sequence. Springer Science + Business Media. Vol. 18(3), 546-567. Published, 2009.
  • Berkes, István, Horváth, Lajos & Ling, Shiqing (2009). Estimation in nonstationary random coefficient autoregressive models. Wiley-Blackwell. Vol. 30(4), 395-416. Published, 2009.
  • Aue, Alexander, Horváth, Lajos, Reimherr, Matthew & Hörmann, Siegfried (2009). Break detection in the covariance structure of multivariate time series models. Institute of Mathematical Statistics. Vol. 37(6B), 4046-4087. Published, 2009.
  • Aue, Alexander, Reimherr, Matthew L. & Horváth, Lajos (2009). Delay times of sequential procedures for multiple time series regression models. Elsevier BV. Vol. 149(2), 174-190. Published, 2009.
  • Gombay, Edit & Horváth, Lajos (2009). Sequential Tests and Change Detection in the Covariance Structure of Weakly Stationary Time Series. Informa UK Limited. Vol. 38(16-17), 2872-2883. Published, 2009.
  • Gombay, Edit, Horváth, Lajos & Berkes, István (2009). Testing for changes in the covariance structure of linear processes. Elsevier BV. Vol. 139(6), 2044-2063. Published, 2009.
  • Ling, Shiqing, Horváth, Lajos, Hušková, Marie & Aue, Alexander (2009). ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES. Cambridge University Press (CUP). Vol. 25(02), 411. Published, 2009.
  • Zitikis, Ricardas, Horváth, Lajos & Kokoszka, Piotr (2008). Distributional analysis of empirical volatility in GARCH processes. Elsevier BV. Vol. 138(11), 3578-3589. Published, 2008.
  • Horváth, Lajos, Horváth, Zsuzsanna & Zhou, Wang (2008). Confidence bands for ROC curves. Elsevier BV. Vol. 138(6), 1894-1904. Published, 2008.
  • Aue, Alexander, Berkes, István & Horváth, Lajos (2008). Selection from a stable box. Bernoulli Society for Mathematical Statistics and Probability. Vol. 14(1), 125-139. Published, 2008.
  • Kokoszka, Piotr & Horváth, Lajos (2008). Sample autocovariances of long-memory time series. Bernoulli Society for Mathematical Statistics and Probability. Vol. 14(2), 405-418. Published, 2008.
  • Horváth, Lajos, Kokoszka, Piotr, Aue, Alexander & Hušková, Marie (2008). Testing for changes in polynomial regression. Bernoulli Society for Mathematical Statistics and Probability. Vol. 14(3), 637-660. Published, 2008.
  • Horváth, Lajos, Kühn, Mario & Steinebach, Josef (2008). On the Performance of the Fluctuation Test for Structural Change. Informa UK Limited. Vol. 27(2), 126-140. Published, 2008.
  • Aue, Alexander, Horváth, Lajos, Kokoszka, Piotr & Steinebach, Josef (2008). Monitoring shifts in mean: Asymptotic normality of stopping times. Springer Science + Business Media. Vol. 17(3), 515-530. Published, 2008.
  • Berkes, István, Hörmann, Siegfried & Horváth, Lajos (2008). The functional central limit theorem for a family of GARCH observations with applications. Elsevier BV. Vol. 78(16), 2725-2730. Published, 2008.
  • Horváth, Zsuzsanna, Zhou, Wang & Horváth, Lajos (2008). ASYMPTOTIC PROPERTIES OF NONPARAMETRIC FRONTIER ESTIMATORS. Cambridge University Press (CUP). Vol. 24(06), 1607. Published, 2008.
  • Horváth, Lajos & Shao, Qi-Man (2007). Limit theorems for permutations of empirical processes with applications to change point analysis. Elsevier BV. Vol. 117(12), 1870-1888. Published, 2007.
  • Kokoszka, Piotr, Steinebach, Josef & Horváth, Lajos (2007). On sequential detection of parameter changes in linear regression. Elsevier BV. Vol. 77(9), 885-895. Published, 2007.
  • Steinebach, Josef, Aue, Alexander & Horváth, Lajos (2007). Rescaled range analysis in the presence of stochastic trend. Elsevier BV. Vol. 77(12), 1165-1175. Published, 2007.
  • Horváth, Lajos & Aue, Alexander (2007). A LIMIT THEOREM FOR MILDLY EXPLOSIVE AUTOREGRESSION WITH STABLE ERRORS. Cambridge University Press (CUP). Vol. 23(02). Published, 2007.
  • Kokoszka, Piotr, Zhang, Aonan & Horváth, Lajos (2006). MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES. Cambridge University Press (CUP). Vol. 22(03). Published, 2006.
  • Horváth, Lajos & Berkes, István (2006). CONVERGENCE OF INTEGRAL FUNCTIONALS OF STOCHASTIC PROCESSES. Cambridge University Press (CUP). Vol. 22(02). Published, 2006.
  • Kokoszka, Piotr, Aue, Alexander, Horváth, Lajos & Hušková, Marie (2006). Change-point monitoring in linear models. Wiley-Blackwell. Vol. 9(3), 373-403. Published, 2006.
  • Berkes, István, Horváth, Lajos & Aue, Alexander (2006). Strong approximation for the sums of squares of augmented GARCH sequences. Bernoulli Society for Mathematical Statistics and Probability. Vol. 12(4), 583-608. Published, 2006.
  • Kokoszka, P., Zitikis, R. & Horvath, L. (2006). Sample and Implied Volatility in GARCH Models. Oxford University Press (OUP). Vol. 4(4), 617-635. Published, 2006.
  • Zitikis, Ricardas & Horváth, Lajos (2006). TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS. Cambridge University Press (CUP). Vol. 22(03). Published, 2006.
  • Berkes, István, Kokoszka, Piotr, Horváth, Lajos & Shao, Qi-Man (2006). On discriminating between long-range dependence and changes in mean. Institute of Mathematical Statistics. Vol. 34(3), 1140-1165. Published, 2006.
  • Zitikis, Ricardas, Horváth, Lajos & Kokoszka, Piotr (2006). Testing for stochastic dominance using the weighted McFadden-type statistic. Elsevier BV. Vol. 133(1), 191-205. Published, 2006.
  • Berkes, István, Horváth, Lajos, Kokoszka, Piotr & Shao, Qi-man (2005). Almost sure convergence of the Bartlett estimator. Springer Science + Business Media. Vol. 51(1), 11-25. Published, 2005.
  • Hušková, Marie & Horváth, Lajos (2005). Testing for changes using permutations of U-statistics. Elsevier BV. Vol. 128(2), 351-371. Published, 2005.
  • Kokoszka, Piotr, Horv?th, Lajos & Berkes, Istv?n (2005). Near-integrated GARCH sequences. Institute of Mathematical Statistics. Vol. 15(1B), 890-913. Published, 2005.
  • Berkes, I., Horváth, L. & Kokoszka, P. (2004). A Weighted Goodness-of-Fit Test for GARCH(1,1) Specification. Springer Science + Business Media. Vol. 44(1), 1-17. Published, 2004.
  • Liese, Friedrich & Horváth, Lajos (2004). Lp-estimators in ARCH models. Elsevier BV. Vol. 119(2), 277-309. Published, 2004.
  • Steinebach, Josef, Kokoszka, Piotr, Hušková, Marie & Horváth, Lajos (2004). Monitoring changes in linear models. Elsevier BV. Vol. 126(1), 225-251. Published, 2004.
  • Kokoszka, Piotr, Horváth, Lajos & Teyssière, Gilles (2004). Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals. Informa UK Limited. Vol. 74(7), 469-485. Published, 2004.
  • Horváth, Lajos & Zitikis, Ricardas (2004). Asymptotics of the Lp-norms of density estimators in the first-order autoregressive models. Elsevier BV. Vol. 66(2), 91-103. Published, 2004.
  • Berkes, István, Steinebach, Josef, Hu[sbreve]kova, Marie & Horváth, Lajos (2004). Applications of permutations to the simulations of critical values. Informa UK Limited. Vol. 16(1-2), 197-216. Published, 2004.
  • Aue, Alexander & Horváth, Lajos (2004). Delay time in sequential detection of change. Elsevier BV. Vol. 67(3), 221-231. Published, 2004.
  • Kokoszka, Piotr, Horváth, Lajos & Berkes, Istvan (2004). Testing for parameter constancy in GARCH() models. Elsevier BV. Vol. 70(4), 263-273. Published, 2004.
  • Berkes, István, Horváth, Lajos, Gombay, Edit & Kokoszka, Piotr (2004). SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS. Cambridge University Press (CUP). Vol. 20(06). Published, 2004.
  • Horv?th, Lajos & Berkes, Istv?n (2004). The efficiency of the estimators of the parameters in GARCH processes. Institute of Mathematical Statistics. Vol. 32(2), 633-655. Published, 2004.
  • Horvath, Lajos (2004). Asymptotic Methods In Stochastics. Amer Mathematical Society. Published, 09/01/2004.

Research Keywords

  • mathematical statistics, time series, econometrics

Grants, Contracts & Research Gifts

  • Statistical Inference for Functional and High-Dimensional Time Series (1305858). PI: Lajos Horvath. National Science Foundation, 2013 - 07/31/2016. Total project budget to date: $199,999.00
  • Topics in Nonlinear and Functional Time Series (0905400). PI: Horvath, Lajos. National Science Foundation, 2009 - 08/31/2013. Total project budget to date: $250,000.00
  • Monitoring Structural Changes in Dynamic Time Series Models (0604670). PI: Horvath, Lajos. National Science Foundation, 2006 - 06/30/2009. Total project budget to date: $180,960.00
  • U.S.-Hungary Statistics Research: Topics in Change Point and Unit Root Analysis; Rates of Convergence, Permutations and Bootstrap (0223262). PI: Horvath, Lajos. National Science Foundation, 2002 - 08/31/2006. Total project budget to date: $32,450.00

Languages

  • Hungarian, fluent.