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Journal of Time Series Analysis
2003 - 2012
Edited by M.B. Priestley
from Wiley Blackwell
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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 R. 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 K. 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 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 Volume 32, issue 11 , 2011
Autoregressive coefficient estimation in nonparametric analysis pp. 587-597 Q. Shao and L. J. Yang A simple test of changes in mean in the possible presence of long‐range dependence pp. 598-606 Xiaofeng Shao Dynamic spatial Bayesian models for radioactivity deposition pp. 607-617 Swarup De and Álvaro E. Faria Akaike’s information criterion correction for the least‐squares autoregressive spectral estimator pp. 618-630 Evangelos E. Ioannidis Testing unit roots and long range dependence of foreign exchange pp. 631-638 Zhiping Lu and Dominique Guegan On the autopersistence functions and the autopersistence graphs of binary autoregressive time series pp. 639-646 Chao Wang and Wai Keung Li Testing for co‐integration and nonlinear adjustment in a smooth transition error correction model pp. 647-660 Rehim Kılıç Temporal Aggregation of Lognormal AR processes pp. 661-671 Esther Salazar and Marco A. R. Ferreira Local power of likelihood‐based tests for cointegrating rank: Comparative analysis of full and partial systems pp. 672-679 Takamitsu Kurita Improved generalized method of moments estimators for weakly dependent observations pp. 680-698 Francesco Bravo Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models pp. 699-723 Christian Francq , Roch Roy and Abdessamad Saidi Volume 32, issue 09 , 2011
Testing non‐parametric hypotheses for stationary processes by estimating minimal distances pp. 447-461 Holger Dette , Tatjana Kinsvater and Mathias Vetter Forecasting linear dynamical systems using subspace methods pp. 462-468 Alfredo García‐Hiernaux Robust estimation for the covariance matrix of multi‐variate time series pp. 469-481 Byungsoo Kim and Sangyeol Lee Stability conditions for heteroscedastic factor models with conditionally autoregressive betas pp. 482-497 George A Christodoulakis and Stephen E Satchell Mean shift testing in correlated data pp. 498-511 Michael Robbins , Colin Gallagher , Robert Lund and Alexander Aue On the asymptotic properties of a feasible estimator of the continuous time long memory parameter pp. 512-517 Joanne S. Ercolani Analysis of accumulated rounding errors in autoregressive processes pp. 518-530 Weiming Li and Z. D. Bai Solutions of Yule‐Walker equations for singular AR processes pp. 531-538 Weitian Chen , Brian D.O. Anderson , Manfred Deistler and Alexander Filler On limiting spectral distribution of large sample covariance matrices by VARMA(p,q) pp. 539-546 Cheng Wang , Baisuo Jin and Baiqi Miao Testing for structural change of AR model to threshold AR model pp. 547-565 István Berkes , Lajos Horvath , Shiqing Ling and Johannes Schauer Multi‐variate time‐series simulation pp. 566-579 Yuzhi Cai On processes with hyperbolically decaying autocorrelations pp. 580-584 Łukasz Dębowski Modeling Ordered Choices, A Primer pp. 585-585 Konstantinos Fokianos Volume 32, issue 07 , 2011
Editorial: Special issue on time series in the environmental sciences pp. 337-338 Noel Cressie and Scott H. Holan Polynomial nonlinear spatio‐temporal integro‐difference equation models pp. 339-350 Christopher K. Wikle and Scott H. Holan A wavelet‐based spectral method for extracting self‐similarity measures in time‐varying two‐dimensional rainfall maps pp. 351-363 Pepa Ramírez‐Cobo , Kichun Sky Lee , Annalisa Molini , Amilcare Porporato , Gabriel Katul and Brani Vidakovic A class of stochastic volatility models for environmental applications pp. 364-377 Wenying Huang , Ke Wang , F. Jay Breidt and Richard A. Davis Space‐time modelling of trends in temperature series pp. 378-395 Peter F. Craigmile and Peter Guttorp A spatio‐temporal analysis of the spread of sugarcane yellow leaf virus pp. 396-406 Jean Vaillant , Gavino Puggioni , Lance A. Waller and Jean Daugrois A prediction‐residual approach for identifying rare events in periodic time series pp. 407-419 Zhiyun Gong , Peter Kiessler and Robert Lund The application of prototype point processes for the summary and description of California wildfires pp. 420-429 Kevin Nichols , Frederic Paik Schoenberg , Jon E. Keeley , Andrew Bray and David Diez Spatio‐temporal smoothing and EM estimation for massive remote‐sensing data sets pp. 430-446 Matthias Katzfuss and Noel Cressie Volume 32, issue 05 , 2011
Empirical likelihood inference for random coefficient INAR(p) process pp. 195-203 Haixiang Zhang , Dehui Wang and Fukang Zhu On detecting the optimal structure of a neural network under strong statistical features in errors pp. 204-222 Nikos S. Thomaidis and George D. Dounias A p‐Order signed integer‐valued autoregressive (SINAR(p)) model pp. 223-236 M. Kachour and L. Truquet Time‐varying multi‐regime models fitting by genetic algorithms pp. 237-252 Francesco Battaglia and Mattheos K. Protopapas Threshold quantile autoregressive models pp. 253-267 Antonio F. Galvao , Gabriel Montes‐Rojas and Jose Olmo Convolution‐closed models for count time series with applications pp. 268-280 Robert C. Jung and Andrew R. Tremayne Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity pp. 281-291 Helmut Herwartz and Helmut Lütkepohl Stationary bootstrapping for non‐parametric estimator of nonlinear autoregressive model pp. 292-303 Eunju Hwang and Dong Wan Shin Estimating a change point in the long memory parameter pp. 304-314 Keiko Yamaguchi Structural time series models and aggregation: some analytical results pp. 315-316 Giacomo Sbrana Local Whittle estimation of multi‐variate fractionally integrated processes pp. 317-335 Frank S. Nielsen Introduction to Time Series Modeling pp. 336-336 Maria Antonia Amaral Turkman Volume 32, issue 03 , 2011
Real‐time covariance estimation for the local level model pp. 93-107 Kostas Triantafyllopoulos On LM‐type tests for seasonal unit roots in the presence of a break in trend pp. 108-134 Luis C. Nunes and Paulo M. M. Rodrigues Robust estimation of the scale and of the autocovariance function of Gaussian short‐ and long‐range dependent processes pp. 135-156 Céline Lévy‐Leduc , Hélène Boistard , Eric Moulines , Murad S. Taqqu and Valderio A. Reisen Asymptotic results for Fourier‐PARMA time series pp. 157-174 Yonas Gebeyehu Tesfaye , Paul L. Anderson and Mark M. Meerschaert Broadband semi‐parametric estimation of long‐memory time series by fractional exponential models pp. 175-193 Masaki Narukawa and Yasumasa Matsuda Classification, parameter estimation and state estimation ‐ an engineering approach using MATLAB pp. 194-194 T. Subba Rao Volume 32, issue 01 , 2011
Detecting misspecifications in autoregressive conditional duration models and non‐negative time‐series processes pp. 1-32 Yongmiao Hong and Yoon-Jin Lee Locally stationary harmonizable complex improper stochastic processes pp. 33-46 Patrik Wahlberg and Peter J. Schreier Time series analysis based on running Mann‐Whitney Z Statistics pp. 47-53 Steve Mauget A negative binomial integer‐valued GARCH model pp. 54-67 Fukang Zhu A test for second‐order stationarity of a time series based on the discrete Fourier transform pp. 68-91 Yogesh Dwivedi and Suhasini Subba Rao Optimal statistical inference in financial engineering pp. 92-92 György Terdik
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