Daniel Peña
(Daniel Pena)
Personal Details
First Name: | Daniel |
Middle Name: | |
Last Name: | Pena |
Suffix: | |
RePEc Short-ID: | ppe884 |
[This author has chosen not to make the email address public] | |
http://halweb.uc3m.es/esp/Personal/personas/dpena/dpenaweb.html | |
Affiliation
(50%) Instituto Flores de Lemus
Universidad Carlos III de Madrid
Madrid, Spainhttp://www.uc3m.es/ss/Satellite/UC3MInstitucional/es/Detalle/Organismo_C/1381766808429/1371206581851/Instituto__Flores_de_Lemus
RePEc:edi:ifuc3es (more details at EDIRC)
(50%) Departamento de Estadistica
Universidad Carlos III de Madrid
Madrid, Spainhttp://halweb.uc3m.es/
RePEc:edi:dxuc3es (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Camacho, Maximo, 2020. "What do international energy prices have in common after taking into account the key drivers?," DES - Working Papers. Statistics and Econometrics. WS 31647, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.
- Rendon Aguirre, Janeth Carolina, 2017. "Clustering Big Data by Extreme Kurtosis Projections," DES - Working Papers. Statistics and Econometrics. WS 24522, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Prieto, Francisco J. & Rendón, Carolina, 2014. "Independent components techniques based on kurtosis for functional data analysis," DES - Working Papers. Statistics and Econometrics. WS ws141006, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Álvarez, Adolfo, 2014. "Recombining partitions from multivariate data: a clustering method on Bayes factors," DES - Working Papers. Statistics and Econometrics. WS ws140804, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Álvarez, Adolfo, 2013. "Recombining partitions via unimodality tests," DES - Working Papers. Statistics and Econometrics. WS ws130706, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- García-Ferrer, Antonio & González-Prieto, Ester, 2011. "Exploring ICA for time series decomposition," DES - Working Papers. Statistics and Econometrics. WS ws111611, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Giuliodori, Andrea, 2011. "Handwritten digit classification," DES - Working Papers. Statistics and Econometrics. WS ws111712, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Sánchez, Ismael, 2011. "Densidad de predicción basada en momentos condicionados y máxima entropía : aplicación a la predicción de potencia eólica," DES - Working Papers. Statistics and Econometrics. WS ws111813, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pérez, Betsabé & Molina, Isabel, 2011. "Robust Henderson III estimators of variance components in the nested error model," DES - Working Papers. Statistics and Econometrics. WS ws114332, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Sánchez, Ismael, 2009. "Graphical identification of TAR models," DES - Working Papers. Statistics and Econometrics. WS ws097723, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Giuliodori, Andrea, 2009. "Clustering and classifying images with local and global variability," DES - Working Papers. Statistics and Econometrics. WS ws090101, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Álvarez, Adolfo, 2009. "Recombining dependent data: an Order Statistics," DES - Working Papers. Statistics and Econometrics. WS ws098526, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2009. "Comparison of time series with unequal length in the frequency domain," MPRA Paper 15310, University Library of Munich, Germany.
- Molina, Isabel & Pérez, Betsabé, 2009. "Robust estimation in linear regression models with fixed effects," DES - Working Papers. Statistics and Econometrics. WS ws098827, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- García-Ferrer, Antonio & González-Prieto, Ester, 2008. "A multivariate generalized independent factor GARCH model with an application to financial stock returns," DES - Working Papers. Statistics and Econometrics. WS ws087528, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2008. "Estimating and Forecasting GARCH Volatility in the Presence of Outiers," Working Papers. Serie AD 2008-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Rodríguez, Julio, 2008. "A methodology for population projections: an application to Spain," DES - Working Papers. Statistics and Econometrics. WS ws084512, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Comparison of time series with unequal length," MPRA Paper 6605, University Library of Munich, Germany.
- Alonso Fernández Andrés M. & Peña Sánchez de Rivera Daniel & Rodríguez Puerta Julio, 2007. "Proyecciones de demanda de educación en España," Working Papers 201081, Fundacion BBVA / BBVA Foundation.
- Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Is there an identity within international stock market volatilities?," MPRA Paper 2069, University Library of Munich, Germany.
- González, Javier & Romera, Rosario, 2007. "A robust partial least squares method with applications," DES - Working Papers. Statistics and Econometrics. WS ws071304, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2006. "An interpolated periodogram-based metric for comparison of time series with unequal lengths," MPRA Paper 2075, University Library of Munich, Germany.
- Carnero, María Ángeles, 2004.
"Spurious and hidden volatility,"
DES - Working Papers. Statistics and Econometrics. WS
ws042007, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Galeano, Pedro & Tsay, Ruey S., 2004. "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS ws044211, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Galeano, Pedro, 2004. "Model selection criteria and quadratic discrimination in ARMA and SETAR time series models," DES - Working Papers. Statistics and Econometrics. WS ws041406, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Galeano, Pedro, 2004. "Variance changes detection in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS ws041305, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Galeano, Pedro, 2004.
"A note on prediction and interpolation errors in time series,"
DES - Working Papers. Statistics and Econometrics. WS
ws042710, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Galeano, Pedro & Peña, Daniel, 2005. "A note on prediction and interpolation errors in time series," Statistics & Probability Letters, Elsevier, vol. 73(1), pages 71-78, June.
- Guttman, Irwin & Redondas, María Dolores, 2003. "A bayesian approach for predicting with polynomial regresión of unknown degree," DES - Working Papers. Statistics and Econometrics. WS ws032104, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Redondas, María Dolores, 2003.
"Bayesian curve estimation by model averaging,"
DES - Working Papers. Statistics and Econometrics. WS
ws034410, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pena, Daniel & Redondas, Dolores, 2006. "Bayesian curve estimation by model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 688-709, February.
- Carnero, María Ángeles, 2003.
"Detecting level shifts in the presence of conditional heteroscedasticity,"
DES - Working Papers. Statistics and Econometrics. WS
ws036313, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity," Working Papers. Serie AD 2004-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero, María Ángeles, 2001. "Is stochastic volatility more flexible than garch?," DES - Working Papers. Statistics and Econometrics. WS ws010805, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Galeano, Pedro, 2001. "Multivariate analysis in vector time series," DES - Working Papers. Statistics and Econometrics. WS ws012415, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Sánchez, Ismael, 2001. "New in-sample prediction errors in time series with applications," DES - Working Papers. Statistics and Econometrics. WS ws011107, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Rodríguez, Julio, 2000.
"Descriptive measures of multivariate scatter and linear dependence,"
DES - Working Papers. Statistics and Econometrics. WS
9960, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Peña, Daniel & Rodríguez, Julio, 2003. "Descriptive measures of multivariate scatter and linear dependence," Journal of Multivariate Analysis, Elsevier, vol. 85(2), pages 361-374, May.
- Poncela, Pilar, 2000.
"Forecasting with nostationary dynamic factor models,"
DES - Working Papers. Statistics and Econometrics. WS
9959, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pena, Daniel & Poncela, Pilar, 2004. "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 291-321, April.
- Rodríguez, Julio, 2000.
"A powerful portmanteau test of lack of fit for time series,"
DES - Working Papers. Statistics and Econometrics. WS
10133, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pena D. & Rodriguez J., 2002. "A Powerful Portmanteau Test of Lack of Fit for Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 601-610, June.
- Montes, María J., 2000. "La investigación internacional en TQM : análisis de tendencias (1994-1999)," DEE - Documentos de Trabajo. EconomÃa de la Empresa. DB 6312, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Prieto, Francisco J., 1999.
"The kurtosis coeficient and the linear discriminant function,"
DES - Working Papers. Statistics and Econometrics. WS
6358, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Peña, Daniel & Prieto, Francisco J., 2000. "The kurtosis coefficient and the linear discriminant function," Statistics & Probability Letters, Elsevier, vol. 49(3), pages 257-261, September.
- Gil, J. A. & Rodriguez, J., 1999.
"Statiscal research in Europe:1985-1997,"
DES - Working Papers. Statistics and Econometrics. WS
6356, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Juan Gil & Daniel Peña & Julio Rodríguez, 2000. "Statistical research in Europe: 1985–1997," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 9(1), pages 255-281, June.
- Gil, J. A. & Rodriguez, J., 1999. "Trend in statistical research productivity by journal publications over the period 1985-1997," DES - Working Papers. Statistics and Econometrics. WS 6355, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Victor Gómez & Agustin Maravall & Daniel Peña, 1999. "Missing observations in ARIMA models: Skipping strategy versus outlier approach," Working Papers 9701, Banco de España.
- Justel, A. & Tsay, Ruey S., 1998. "Detection of outlier patches in autoregressive time series," DES - Working Papers. Statistics and Econometrics. WS 9821, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Tsay, Ruey S. & Pankratz, Alan E., 1998. "Outliers in multivariate time series," DES - Working Papers. Statistics and Econometrics. WS 6285, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Justel, A., 1998. "Heterogeneity and model uncertainty in bayesian regression models," DES - Working Papers. Statistics and Econometrics. WS 6260, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Guerrero, Victor M. & Poncela, Pilar, 1997.
"Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example,"
DES - Working Papers. Statistics and Econometrics. WS
6212, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Guerrero, Victor M & Pena, Daniel & Poncela, Pilar, 1998. "Measuring Intervention Effects on Multiple Time Series Subjected to Linear Restrictions: A Banking Example," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 489-497, October.
- Sánchez, María Jesús, 1997. "The identification of multiple outliers in arima models," DES - Working Papers. Statistics and Econometrics. WS 6220, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Poncela, Pilar, 1997. "Eigenstructure of nonstationary factor models," DES - Working Papers. Statistics and Econometrics. WS 6224, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Prieto, Francisco J., 1997. "Robust covariance matrix estimation and multivariate outlier detection," DES - Working Papers. Statistics and Econometrics. WS 10497, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gómez, Víctor & Maravall, Agustín, 1997. "Missing observations in ARIMA models: skipping strategy versus additive outlier approach," DES - Working Papers. Statistics and Econometrics. WS 10576, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Poncela, Pilar, 1996. "Pooling information and forecasting with dynamic factor analysis," DES - Working Papers. Statistics and Econometrics. WS 10709, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Zamar, Rubén, 1996.
"A simple diagnostic tool for local prior sensitivity,"
DES - Working Papers. Statistics and Econometrics. WS
10486, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Peña, Daniel & Zamar, Ruben, 1997. "A simple diagnostic tool for local prior sensitivity," Statistics & Probability Letters, Elsevier, vol. 36(2), pages 205-212, December.
- JUSTEL, Ana & PEÑA , Daniel, 1996.
"Bayesian Unmasking in Linear Models,"
LIDAM Discussion Papers CORE
1996019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Justel, Ana & Pena, Daniel, 2001. "Bayesian unmasking in linear models," Computational Statistics & Data Analysis, Elsevier, vol. 36(1), pages 69-84, March.
- Justel, Ana, 1996. "Bayesian unmasking in linear models," DES - Working Papers. Statistics and Econometrics. WS 10458, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Agustín Maravall & Daniel Peña, 1996.
"Missing Observations and Additive Outliers in Time Series Models,"
Working Papers
9612, Banco de España.
- Maravall, Agustín, 1992. "Missing observations and additive outliers in time series models," UC3M Working papers. Economics 2888, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Yohai, Víctor J., 1996. "A procedure for robust estimation and diagnostics in regression," DES - Working Papers. Statistics and Econometrics. WS 10710, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Sánchez, Ismael, 1995.
"Properties of predictors in overdifferenced nearly nonstationary autoregression,"
DES - Working Papers. Statistics and Econometrics. WS
10347, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ismael Sanchez & Daniel Pena, 2001. "Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(1), pages 45-66, January.
- Daniel Peña & Ismael Sánchez, 1999. "Properties Of Predictors In Overdifferenced Nearly Nonstationary Autoregression," Working Papers. Serie AD 1999-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Victor M. Guerrero & Daniel Peña, 1995.
"Linear Combination of Information in Time Series Analysis,"
Working Papers
9507, Centro de Investigacion Economica, ITAM.
- Guerrero, Víctor M., 1995. "Linear combination of information in time series analysis," DES - Working Papers. Statistics and Econometrics. WS 10340, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Justel, Ana, 1995. "Gibbs sampling will fail in outlier problems with strong masking," DES - Working Papers. Statistics and Econometrics. WS 4203, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Justel, Ana & Sánchez, María Jesús, 1994. "Grupos atípicos en modelos econométricos," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS 10755, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Justel, Ana & Zamar, Rubén, 1994.
"A multivariate Kolmogorov-Smornov test of goodnes of fit,"
DES - Working Papers. Statistics and Econometrics. WS
3955, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Justel, Ana & Peña, Daniel & Zamar, Rubén, 1997. "A multivariate Kolmogorov-Smirnov test of goodness of fit," Statistics & Probability Letters, Elsevier, vol. 35(3), pages 251-259, October.
- Zamar, Rubén, 1993. "On bayesian robustness: an asymptotic approach," DES - Working Papers. Statistics and Econometrics. WS 3736, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gómez, Víctor & Maravall, Agustín, 1993. "Computing missing values in time series," DES - Working Papers. Statistics and Econometrics. WS 3737, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Guttman, Irwin, 1992. "A Bayesian look at diagnostics in the univariate linear model," UC3M Working papers. Economics 2831, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Juan, Jesús, 1992. "A simple method to identify significant effects in unreplicated two-level factorial designs," UC3M Working papers. Economics 2818, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Guttman, Irwin, 1992. "Comparing probabilistic methods for outlier detection," UC3M Working papers. Economics 2841, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Tiao, George C., 1991. "Bayesian outliers functions for linear models," UC3M Working papers. Economics 5816, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Yohai, Víctor J., 1991. "The detection of influential subsets in linear regression using an influence matrix," UC3M Working papers. Economics 2798, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Peña, Daniel & Espasa, Antoni, 1991. "ARIMA models, the steady state of economic variables and their estimation," UC3M Working papers. Economics 2760, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Tiao, George C., 1991. "A Note on likelihood estimation of missing values in time series," UC3M Working papers. Economics 2748, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Maravall, Agustín, 1990. "Interpolation, outliers and inverse autocorrelations," UC3M Working papers. Economics 2770, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Peña, Daniel, 1990.
"Measuring influence in dynamic regression models,"
UC3M Working papers. Economics
2768, Universidad Carlos III de Madrid. Departamento de EconomÃa.
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Articles
- Pedro Delicado & Daniel Peña, 2023. "Understanding complex predictive models with ghost variables," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 107-145, March.
- Camacho, Maximo & Caro, Angela & Peña, Daniel, 2023. "What drives industrial energy prices?," Economic Modelling, Elsevier, vol. 120(C).
- Daniel Peña & Ruey S. Tsay, 2023. "A testing approach to clustering scalar time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 667-685, September.
- Daniel Peña, 2022. "Comment on “Factor Models for High-Dimensional Tensor Time Series”," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(537), pages 118-123, January.
- Peña, Daniel & Smucler, Ezequiel & Yohai, Victor J., 2021. "Sparse estimation of dynamic principal components for forecasting high-dimensional time series," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1498-1508.
- Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
- Peña, Daniel, 2020. "Agustín Maravall: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1241-1251.
- Alonso, Andrés M. & Galeano, Pedro & Peña, Daniel, 2020. "A robust procedure to build dynamic factor models with cluster structure," Journal of Econometrics, Elsevier, vol. 216(1), pages 35-52.
- Daniel Peña & Ezequiel Smucler & Victor J. Yohai, 2019. "Forecasting Multiple Time Series With One-Sided Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(528), pages 1683-1694, October.
- Pedro Galeano & Daniel Peña, 2019. "Data science, big data and statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 289-329, June.
- Pedro Galeano & Daniel Peña, 2019. "Rejoinder on: Data science, big data and statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 363-368, June.
- Daniel Peña & Victor J. Yohai, 2016. "Generalized Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1121-1131, July.
- García-Ferrer, Antonio & González-Prieto, Ester & Peña, Daniel, 2012. "A conditionally heteroskedastic independent factor model with an application to financial stock returns," International Journal of Forecasting, Elsevier, vol. 28(1), pages 70-93.
- Carnero, M. Angeles & Peña, Daniel & Ruiz, Esther, 2012. "Estimating GARCH volatility in the presence of outliers," Economics Letters, Elsevier, vol. 114(1), pages 86-90.
- Miguel Ángel Bermejo & Daniel Peña & Ismael Sánchez, 2011. "Identification of TAR models using recursive estimation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(1), pages 31-50, January.
- E. Silva & V. M. Guerrero & D. Peña, 2011. "Temporal disaggregation and restricted forecasting of multiple population time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(4), pages 799-815, January.
- Peña, Daniel & Prieto, Francisco J. & Viladomat, Júlia, 2010. "Eigenvectors of a kurtosis matrix as interesting directions to reveal cluster structure," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 1995-2007, October.
- Daniel Peña, 2009. "Dimension reduction in time series and the dynamic factor model," Biometrika, Biometrika Trust, vol. 96(2), pages 494-496.
- Galeano, Pedro & Peña, Daniel, 2007. "On the connection between model selection criteria and quadratic discrimination in ARMA time series models," Statistics & Probability Letters, Elsevier, vol. 77(9), pages 896-900, May.
- Benito, Monica & Pena, Daniel, 2007. "Detecting defects with image data," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6395-6403, August.
- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2007. "Effects of outliers on the identification and estimation of GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 471-497, July.
- Daniel Peña & Ismael Sánchez, 2007. "Measuring the Advantages of Multivariate vs. Univariate Forecasts," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(6), pages 886-909, November.
- Andrés Alonso & Daniel Peña & Juan Romo, 2006. "Introducing model uncertainty by moving blocks bootstrap," Statistical Papers, Springer, vol. 47(2), pages 167-179, March.
- Galeano, Pedro & Pena, Daniel & Tsay, Ruey S., 2006. "Outlier Detection in Multivariate Time Series by Projection Pursuit," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 654-669, June.
- Pena, Daniel & Redondas, Dolores, 2006.
"Bayesian curve estimation by model averaging,"
Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 688-709, February.
- Redondas, María Dolores, 2003. "Bayesian curve estimation by model averaging," DES - Working Papers. Statistics and Econometrics. WS ws034410, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Caiado, Jorge & Crato, Nuno & Pena, Daniel, 2006. "A periodogram-based metric for time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2668-2684, June.
- Pena, Daniel & Rodriguez, Julio, 2005. "Detecting nonlinearity in time series by model selection criteria," International Journal of Forecasting, Elsevier, vol. 21(4), pages 731-748.
- Daniel Pena & Ismael Sanchez, 2005. "Multifold Predictive Validation in ARMAX Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 135-146, March.
- Galeano, Pedro & Peña, Daniel, 2005.
"A note on prediction and interpolation errors in time series,"
Statistics & Probability Letters, Elsevier, vol. 73(1), pages 71-78, June.
- Galeano, Pedro, 2004. "A note on prediction and interpolation errors in time series," DES - Working Papers. Statistics and Econometrics. WS ws042710, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pena, Daniel & Poncela, Pilar, 2004.
"Forecasting with nonstationary dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 291-321, April.
- Poncela, Pilar, 2000. "Forecasting with nostationary dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 9959, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Alonso, Andrés M. & Peña, Daniel & Romo, Juan, 2003. "On sieve bootstrap prediction intervals," Statistics & Probability Letters, Elsevier, vol. 65(1), pages 13-20, October.
- Andrés Alonso & Daniel Peña & Juan Romo, 2003. "Resampling time series using missing values techniques," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(4), pages 765-796, December.
- Peña, Daniel & Rodríguez, Julio, 2003.
"Descriptive measures of multivariate scatter and linear dependence,"
Journal of Multivariate Analysis, Elsevier, vol. 85(2), pages 361-374, May.
- Rodríguez, Julio, 2000. "Descriptive measures of multivariate scatter and linear dependence," DES - Working Papers. Statistics and Econometrics. WS 9960, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pena D. & Rodriguez J., 2002.
"A Powerful Portmanteau Test of Lack of Fit for Time Series,"
Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 601-610, June.
- Rodríguez, Julio, 2000. "A powerful portmanteau test of lack of fit for time series," DES - Working Papers. Statistics and Econometrics. WS 10133, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Justel, Ana & Pena, Daniel, 2001.
"Bayesian unmasking in linear models,"
Computational Statistics & Data Analysis, Elsevier, vol. 36(1), pages 69-84, March.
- Justel, Ana, 1996. "Bayesian unmasking in linear models," DES - Working Papers. Statistics and Econometrics. WS 10458, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- JUSTEL, Ana & PEÑA , Daniel, 1996. "Bayesian Unmasking in Linear Models," LIDAM Discussion Papers CORE 1996019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pena, Daniel, 2001. "George Box: An interview with the International Journal of Forecasting," International Journal of Forecasting, Elsevier, vol. 17(1), pages 1-9.
- Pena D. & Prieto F.J., 2001. "Cluster Identification Using Projections," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1433-1445, December.
- Ismael Sanchez & Daniel Pena, 2001.
"Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 22(1), pages 45-66, January.
- Sánchez, Ismael, 1995. "Properties of predictors in overdifferenced nearly nonstationary autoregression," DES - Working Papers. Statistics and Econometrics. WS 10347, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Daniel Peña & Ismael Sánchez, 1999. "Properties Of Predictors In Overdifferenced Nearly Nonstationary Autoregression," Working Papers. Serie AD 1999-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Peña, Daniel & Prieto, Francisco J., 2000.
"The kurtosis coefficient and the linear discriminant function,"
Statistics & Probability Letters, Elsevier, vol. 49(3), pages 257-261, September.
- Prieto, Francisco J., 1999. "The kurtosis coeficient and the linear discriminant function," DES - Working Papers. Statistics and Econometrics. WS 6358, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Juan Gil & Daniel Peña & Julio Rodríguez, 2000.
"Statistical research in Europe: 1985–1997,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 9(1), pages 255-281, June.
- Gil, J. A. & Rodriguez, J., 1999. "Statiscal research in Europe:1985-1997," DES - Working Papers. Statistics and Econometrics. WS 6356, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Peña, Daniel, 2000. "Sebastián Coll y Marta Guijarro: Estadística aplicada a las ciencias sociales, Madrid, Pirámide, 1998," Revista de Historia Económica / Journal of Iberian and Latin American Economic History, Cambridge University Press, vol. 18(3), pages 687-690, December.
- N. Locantore & J. Marron & D. Simpson & N. Tripoli & J. Zhang & K. Cohen & Graciela Boente & Ricardo Fraiman & Babette Brumback & Christophe Croux & Jianqing Fan & Alois Kneip & John Marden & Daniel P, 1999. "Robust principal component analysis for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(1), pages 1-73, June.
- Gomez, Victor & Maravall, Agustin & Pena, Daniel, 1998. "Missing observations in ARIMA models: Skipping approach versus additive outlier approach," Journal of Econometrics, Elsevier, vol. 88(2), pages 341-363, November.
- Nozer Singpurwalla & G. Box & D. Cox & D. Dey & A. Fries & J. Ghosh & M. Gómez-Villegas & T. Irony & W. Kliemann & S. Kotz & D. Lindley & M. McGrath & D. Peña & N. Singpurwalla, 1998. "The stochastic control of process capability indices," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 7(1), pages 1-74, June.
- Guerrero, Victor M & Pena, Daniel & Poncela, Pilar, 1998.
"Measuring Intervention Effects on Multiple Time Series Subjected to Linear Restrictions: A Banking Example,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 489-497, October.
- Guerrero, Victor M. & Poncela, Pilar, 1997. "Measuring intervention effects on multiplie time series subjected to linear restrictions: A Banking Example," DES - Working Papers. Statistics and Econometrics. WS 6212, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pena, Daniel & Ruiz-Castillo, Javier, 1998. "The Estimation of Food Expenditures from Household Budget Data in the Presence of Bulk Purchases," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 292-303, July.
- Justel, Ana & Peña, Daniel & Zamar, Rubén, 1997.
"A multivariate Kolmogorov-Smirnov test of goodness of fit,"
Statistics & Probability Letters, Elsevier, vol. 35(3), pages 251-259, October.
- Justel, Ana & Zamar, Rubén, 1994. "A multivariate Kolmogorov-Smornov test of goodnes of fit," DES - Working Papers. Statistics and Econometrics. WS 3955, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Peña, Daniel & Zamar, Ruben, 1997.
"A simple diagnostic tool for local prior sensitivity,"
Statistics & Probability Letters, Elsevier, vol. 36(2), pages 205-212, December.
- Zamar, Rubén, 1996. "A simple diagnostic tool for local prior sensitivity," DES - Working Papers. Statistics and Econometrics. WS 10486, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- George Casella & Juan Ferrándiz & Daniel Peña & David Insua & José Bernardo & P. García-López & A. González & J. Berger & A. Dawid & Thomas Diciccio & Martin Wells & Paul Gustafson & Larry Wasserman &, 1996. "Statistical inference and Monte Carlo algorithms," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 5(2), pages 249-344, December.
- Alvaro Escribano & Daniel Peña, 1994. "Cointegration And Common Factors," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(6), pages 577-586, November.
- Joseph Kadane & Javier Girón & Daniel Peña & Peter Fishburn & Simon French & D. Lindley & Giovanni Parmigiani & Robert Winkler, 1993. "Several Bayesians: A review," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 2(1), pages 1-32, December.
- Antoni Espasa & Daniel Peña, 1990. "Los modelos Arima, el estado de equilibrio en variables económicas y su estimación," Investigaciones Economicas, Fundación SEPI, vol. 14(2), pages 191-211, May.
- Pena, Daniel, 1990. "Influential Observations in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 235-241, April.
- Daniel Peña, 1987. "Observaciones influyentes en modelos econométricos," Investigaciones Economicas, Fundación SEPI, vol. 11(1), pages 3-24, January.
- Pena, Daniel & Ruiz-Castillo, Javier, 1984. "Robust Methods of Building Regression Models-An Application to the Housing Sector," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(1), pages 10-20, January.
- Pena, Daniel & Ruiz-Castillo, Javier, 1984. "Distributional aspects of public rental housing and rent control policies in Spain," Journal of Urban Economics, Elsevier, vol. 15(3), pages 350-370, May.
- Daniel Peña, 1984. "The Autocorrelation Function Of Seasonal Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(4), pages 269-272, July.
- DANIEL PEÑA & Professor JOSÉ SUMPSI, 1980. "The relationship between farm and retail prices in the Spanish broiler chicken industry: An application of the Box-Jenkins approach," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 7(3), pages 267-288.
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This author is among the top 5% authors according to these criteria:- Number of Works
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 29 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (23) 2003-04-13 2003-10-05 2003-11-16 2004-03-07 2004-03-07 2004-08-16 2004-09-12 2004-09-12 2007-03-17 2007-03-31 2008-01-12 2008-11-04 2009-01-10 2009-05-30 2010-01-10 2010-01-16 2011-06-04 2012-01-10 2013-06-16 2014-05-24 2017-05-07 2018-07-09 2019-12-16. Author is listed
- NEP-ETS: Econometric Time Series (17) 2004-03-07 2004-03-07 2004-08-16 2004-09-12 2004-09-12 2006-02-19 2007-03-17 2008-01-12 2008-11-04 2009-01-10 2009-05-30 2010-01-10 2010-01-16 2011-06-04 2013-06-16 2018-07-09 2019-12-16. Author is listed
- NEP-FOR: Forecasting (4) 2008-11-04 2009-01-10 2009-05-30 2011-06-04
- NEP-RMG: Risk Management (4) 2003-11-16 2004-03-07 2007-03-17 2009-01-10
- NEP-ORE: Operations Research (3) 2008-01-12 2012-01-10 2019-12-16
- NEP-CMP: Computational Economics (2) 2003-11-06 2003-11-06
- NEP-EEC: European Economics (2) 2007-03-17 2018-07-09
- NEP-FIN: Finance (2) 2004-08-16 2004-09-12
- NEP-IFN: International Finance (2) 2003-11-16 2007-03-17
- NEP-ENE: Energy Economics (1) 2021-01-04
- NEP-FMK: Financial Markets (1) 2006-02-19
- NEP-KNM: Knowledge Management and Knowledge Economy (1) 2018-07-09
- NEP-PAY: Payment Systems and Financial Technology (1) 2017-05-07
- NEP-SEA: South East Asia (1) 2013-06-16
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