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Journal of Time Series Analysis
2003 - 2013
Edited by M.B. Priestley
from Wiley Blackwell
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Volume 34, issue 05 , 2013
Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends pp. 285-301 Adam McCloskey Robust estimation for copula Parameter in SCOMDY models pp. 302-314 Byungsoo Kim and Sangyeol Lee Score statistics for testing serial dependence in count data pp. 315-329 Jiajing Sun and Brendan P. McCabe A class of optimal tests for contemporaneous non-causality in VAR models pp. 330-344 Maria Caterina Bramati Nonparametric regression with rescaled time series errors pp. 345-361 José E. Figueroa-López and Michael Levine A note on non-parametric testing for Gaussian innovations in AR–ARCH models pp. 362-367 Natalie Neumeyer and Leonie Selk Unit root testing with stationary covariates and a structural break in the trend function pp. 368-384 Sebastian Fossati High-frequency sampling and kernel estimation for continuous-time moving average processes pp. 385-404 Peter J. Brockwell , Vincenzo Ferrazzano and Claudia Klüppelberg Modelling long-run trends and cycles in financial time series data pp. 405-421 Guglielmo Maria Caporale , Juncal Cuñado and Luis A. Gil-Alana STATISTICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS . Edited by, Mathieu Kessler , Alexander Lindner and Michael Sørensen . Publishers CRC Press, Taylor & Francis Group . London , ISBN 978-1-4398-4940-8 . 483 pagesTusheng Zhang Volume 34, issue 03 , 2013
Editorial pp. 139-140 Robert Taylor Moment tests for window length selection in singular spectrum analysis of short– and long–memory processes pp. 141-155 Md Atikur Rahman Khan and D. S. Poskitt Integration of CARMA processes and spot volatility modelling pp. 156-167 Peter Brockwell and Alexander Lindner Least tail-trimmed squares for infinite variance autoregressions pp. 168-186 Jonathan B. Hill Forecasting with prediction intervals for periodic autoregressive moving average models pp. 187-193 Paul L. Anderson , Mark M. Meerschaert and Kai Zhang Estimation of vector error correction models with mixed-frequency data pp. 194-205 Byeongchan Seong , Sung K. Ahn and Peter A. Zadrozny On composite likelihood estimation of a multivariate INAR(1) model pp. 206-220 Xanthi Pedeli and Dimitris Karlis CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns pp. 221-229 Dominik Wied A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach pp. 230-237 Ke. Zhu Weak identification in the ESTAR model and a new model pp. 238-261 Florian Heinen , Stefanie Michael and Philipp Sibbertsen Empirical determination of the frequencies of an almost periodic time series pp. 262-279 D. Dehay and H. L. Hurd Spatial statistics and spatio-temporal data pp. 280-280 T Subba Rao Climate Time Series Analysis: Classical Statistical and Bootstrap Methods pp. 281-281 Andrew C. Parnell Economic Time Series: Modeling and Seasonality pp. 282-283 Alastair R. Hall Volume 34, issue 01 , 2013
Structural breaks in time series pp. 1-16 Alexander Aue and Lajos Horváth Testing for parameter constancy in non-Gaussian time series pp. 17-29 Lu Han and Brendan McCabe Optimal convergence rates in non-parametric regression with fractional time series errors pp. 30-39 Yuanhua Feng and Jan Beran The power of unit root tests against nonlinear local alternatives pp. 40-61 Matei Demetrescu and Robinson Kruse Recursive adjustment, unit root tests and structural breaks pp. 62-82 Paulo M. M. Rodrigues Combining non-cointegration tests pp. 83-95 Christian Bayer and Christoph Hanck Estimation for non-negative time series with heavy-tail innovations pp. 96-115 A. Bartlett and W. P. McCormick Determining the order of the functional autoregressive model pp. 116-129 Piotr Kokoszka and Matthew Reimherr Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model pp. 130-137 Sugata Sen Roy and Sankha Bhattacharya Book Review pp. 138-138 Plotr S. Kokoszka Volume 33, issue 11 , 2012
Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors pp. 863-872 Naoya Katayama A note on moving-average models with feedback pp. 873-879 Dong Li Least squares estimation of ARCH models with missing observations pp. 880-891 Pascal Bondon and Natalia Bahamonde A Family of Markov-Switching Garch Processes pp. 892-902 Ji-Chun Liu A mixed INAR(p) model pp. 903-915 Miroslav M. Ristić and Aleksandar S. Nastić Non-stationary autoregressive processes with infinite variance pp. 916-934 Ngai Hang Chan and Rongmao Zhang Subsampling inference for the autocovariances and autocorrelations of long-memory heavy- tailed linear time series pp. 935-953 Tucker Sprague McElroy and Agnieszka Jach First-order integer valued AR processes with zero inflated poisson innovations pp. 954-963 Mansour Aghababaei Jazi , Geoff Jones and Chin-Diew Lai Book Review pp. 964-964 K. F. Turkman Volume 33, issue 09 , 2012
Editorial: Special issue on time series analysis in the biological sciences pp. 701-703 David S. Stoffer and Hernando Ombao Autocovariance structures for radial averages in small-angle X-ray scattering experiments pp. 704-717 F. Jay Breidt , Andreea Erciulescu and Mark van der Woerd The Nicholson blowfly experiments: some history and EDA pp. 718-723 David R. Brillinger Statistical challenges in microrheology pp. 724-743 Gustavo Didier , Scott A. McKinley , David B. Hill and John Fricks Biological applications of time series frequency domain clustering pp. 744-756 Konstantinos Fokianos and Vasilis J. Promponas Changepoints in times series of counts pp. 757-770 Jürgen Franke , Claudia Kirch and Joseph Tadjuidje Kamgaing Exploring dependence between brain signals in a monkey during learning pp. 771-778 Cristina Gorrostieta , Hernando Ombao , Raquel Prado , Shaun Patel and Emad Eskandar Modelling the nonlinear time dynamics of multidimensional hormonal systems pp. 779-796 Daniel M. Keenan , Xin Wang , Steven M. Pincus and Johannes D. Veldhuis Enveloping spectral surfaces: covariate dependent spectral analysis of categorical time series pp. 797-806 Robert T. Krafty , Shuangyan Xiong , David S. Stoffer , Daniel J. Buysse and Martica Hall Quantifying the uncertainty in change points pp. 807-823 Christopher F. H. Nam , John A. D. Aston and Adam Michael Johansen A test for independence between a point process and an analogue signal pp. 824-840 Victor Solo and Ahmed Pasha A state space model approach for HIV infection dynamics pp. 841-849 Jiabin Wang , Hua Liang and Rong Chen Spectral-based non-central F mixed effect models, with application to otoacoustic emissions pp. 850-862 Lai Wei , Peter F. Craigmile and Wayne M. King Volume 33, issue 07 , 2012
Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1) pp. 533-541 Ryota Yabe Maximum likelihood estimation for nearly non-stationary stable autoregressive processes pp. 542-553 Rong-Mao Zhang and Ngai Hang Chan Change point detection in copula ARMA–GARCH Models pp. 554-569 Okyoung Na , Jiyeon Lee and Sangyeol Lee Strictly stationary solutions of ARMA equations with fractional noise pp. 570-582 Bernd Vollenbröker Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes pp. 583-607 Rodney A. Martin Time-series clustering via quasi U-statistics pp. 608-619 Marcio Valk and Aluísio Pinheiro Non-parametric smoothing and prediction for nonlinear circular time series pp. 620-630 Macro Di Marzio , Agnese Panzera and Charles C. Taylor Change-point detection in panel data pp. 631-648 Lajos Horvath and Marie Hušková Likelihood inference for discriminating between long-memory and change-point models pp. 649-664 Chun Yip Yau and Richard A. Davis Inference about long run canonical correlations pp. 665-683 Prosper Dovonon , Alastair Hall and Kalidas Jana A new Bayesian approach to quantile autoregressive time series model estimation and forecasting pp. 684-698 Yuzhi Cai , Julian Stander and Neville Davies Statistics for Spatio-Temporal Data pp. 699-700 T. Subba Rao Volume 33, issue 05 , 2012
Testing for parameter stability in nonlinear autoregressive models pp. 365-385 Claudia Kirch and Joseph Tadjuidje Kamgaing Nonlinear spectral density estimation: thresholding the correlogram pp. 386-397 Efstathios Paparoditis and Dimitris N. Politis Periodic autoregressive model identification using genetic algorithms pp. 398-405 Eugen Ursu and Kamil Feridun Turkman On robust tail index estimation for linear long‐memory processes pp. 406-423 Jan Beran , Bikramjit Das and Dieter Schell Non‐parametric testing for seasonally and periodically integrated processes pp. 424-437 Tomás del Barrio Castro and Denise Osborn Measuring nonlinear dependence in time‐series, a distance correlation approach pp. 438-457 Zhou Zhou Estimation of regression and dynamic dependence paremeters for non‐stationary multinomial time series pp. 458-467 J. C. Loredo‐Osti and Brajendra C. Sutradhar Conditional variance estimation in regression models with long memory pp. 468-483 Rafal Kulik and Cornelia Wichelhaus A similarity‐based approach to time‐varying coefficient non‐stationary autoregression pp. 484-502 Offer Lieberman Testing for parameter constancy in general causal time‐series models pp. 503-518 William Charky Kengne Weak convergence to a modified fractional Brownian motion pp. 519-529 Javier Hualde The Oxford Handbook of Economic Forecasts pp. 530-531 Alastair Hall Volume 33, issue 03 , 2012
A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes pp. 177-192 Carsten Jentsch Fast continuous‐discrete DAF‐filters pp. 193-210 Thomas Mazzoni Improved multivariate portmanteau test pp. 211-222 Esam Mahdi and A. Ian McLeod Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model pp. 223-232 Ke Zhu and Shiqing Ling The autodependogram: a graphical device to investigate serial dependences pp. 233-254 Luca Bagnato , Antonio Punzo and Orietta Nicolis Overlapped grouping periodogram test for detecting multiple hidden periodicities in mixed spectra pp. 255-268 Qiuzi H. Wen , Augustine Wong and Xiaolan L. Wang Empirical likelihood in long‐memory time series models pp. 269-275 Chun Yip Yau A note on mean squared prediction error under the unit root model with deterministic trend pp. 276-286 Shu‐Hui Yu , Chien‐Chih Lin and Hung‐Wen Cheng Generalized information criterion pp. 287-297 Masanobu Taniguchi and Junichi Hirukawa On robust spectral analysis by least absolute deviations pp. 298-303 Ta‐Hsin Li A single series representation of multiple independent ARMA processes pp. 304-311 Ross S. Bowden and Brenton R. Clarke A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors pp. 312-324 Jaechoul Lee and Robert Lund The restricted likelihood ratio test for autoregressive processes pp. 325-339 Willa W. Chen and Rohit S. Deo The averaged periodogram estimator for a power law in coherency pp. 340-363 Rebecca J. Sela and Clifford M. Hurvich Volume 33, issue 01 , 2012
Limit theorems for the discount sums of moving averages pp. 1-12 Ba Chu Frequency and phase estimation in time series with quasi periodic components pp. 13-31 Konstantinos Paraschakis and Rainer Dahlhaus Unit root bootstrap tests under infinite variance pp. 32-47 Marta Moreno and Juan Romo Multi‐variate stochastic volatility modelling using Wishart autoregressive processes pp. 48-60 Kostas Triantafyllopoulos Efficient estimation and particle filter for max‐stable processes pp. 61-80 Tsuyoshi Kunihama , Yasuhiro Omori and Zhengjun Zhang Weighted scatter estimation method of the GO‐GARCH models pp. 81-95 Lingyu Zheng and William W. S. Wei Subsampling inference for the mean of heavy‐tailed long‐memory time series pp. 96-111 Agnieszka Jach , Tucker Sprague McElroy and Dimitris N. Politis Maximum entropy models for general lag patterns pp. 112-120 Georgi N. Boshnakov and Bisher M. Iqelan Selection of weak VARMA models by modified Akaike's information criteria pp. 121-130 Y. Boubacar Maïnassara Statistical tests for a single change in mean against long‐range dependence pp. 131-151 Changryong Baek and Vladas Pipiras High‐frequency sampling of a continuous‐time ARMA process pp. 152-160 Peter J. Brockwell , Vincenzo Ferrazzano and Claudia Klüppelberg Limit theory for a general class of GARCH models with just barely infinite variance pp. 161-174 Rong‐Mao Zhang and Zheng‐Yan Lin Non–Parametric Econometrics pp. 175-175 Piotr S. Kokoszka Statistical Methods for Trend Detection and Analysis in the Environmental Sciences pp. 176-176 Tata Subba Rao
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