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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 Downloads
Adam McCloskey
Robust estimation for copula Parameter in SCOMDY models pp. 302-314 Downloads
Byungsoo Kim and Sangyeol Lee
Score statistics for testing serial dependence in count data pp. 315-329 Downloads
Jiajing Sun and Brendan P. McCabe
A class of optimal tests for contemporaneous non-causality in VAR models pp. 330-344 Downloads
Maria Caterina Bramati
Nonparametric regression with rescaled time series errors pp. 345-361 Downloads
José E. Figueroa-López and Michael Levine
A note on non-parametric testing for Gaussian innovations in AR–ARCH models pp. 362-367 Downloads
Natalie Neumeyer and Leonie Selk
Unit root testing with stationary covariates and a structural break in the trend function pp. 368-384 Downloads
Sebastian Fossati
High-frequency sampling and kernel estimation for continuous-time moving average processes pp. 385-404 Downloads
Peter J. Brockwell, Vincenzo Ferrazzano and Claudia Klüppelberg
Modelling long-run trends and cycles in financial time series data pp. 405-421 Downloads
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 pages pp. 422-422 Downloads
Tusheng Zhang

Volume 34, issue 03, 2013

Editorial pp. 139-140 Downloads
Robert Taylor
Moment tests for window length selection in singular spectrum analysis of short– and long–memory processes pp. 141-155 Downloads
Md Atikur Rahman Khan and D. S. Poskitt
Integration of CARMA processes and spot volatility modelling pp. 156-167 Downloads
Peter Brockwell and Alexander Lindner
Least tail-trimmed squares for infinite variance autoregressions pp. 168-186 Downloads
Jonathan B. Hill
Forecasting with prediction intervals for periodic autoregressive moving average models pp. 187-193 Downloads
Paul L. Anderson, Mark M. Meerschaert and Kai Zhang
Estimation of vector error correction models with mixed-frequency data pp. 194-205 Downloads
Byeongchan Seong, Sung K. Ahn and Peter A. Zadrozny
On composite likelihood estimation of a multivariate INAR(1) model pp. 206-220 Downloads
Xanthi Pedeli and Dimitris Karlis
CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns pp. 221-229 Downloads
Dominik Wied
A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach pp. 230-237 Downloads
Ke. Zhu
Weak identification in the ESTAR model and a new model pp. 238-261 Downloads
Florian Heinen, Stefanie Michael and Philipp Sibbertsen
Empirical determination of the frequencies of an almost periodic time series pp. 262-279 Downloads
D. Dehay and H. L. Hurd
Spatial statistics and spatio-temporal data pp. 280-280 Downloads
T Subba Rao
Climate Time Series Analysis: Classical Statistical and Bootstrap Methods pp. 281-281 Downloads
Andrew C. Parnell
Economic Time Series: Modeling and Seasonality pp. 282-283 Downloads
Alastair R. Hall

Volume 34, issue 01, 2013

Structural breaks in time series pp. 1-16 Downloads
Alexander Aue and Lajos Horváth
Testing for parameter constancy in non-Gaussian time series pp. 17-29 Downloads
Lu Han and Brendan McCabe
Optimal convergence rates in non-parametric regression with fractional time series errors pp. 30-39 Downloads
Yuanhua Feng and Jan Beran
The power of unit root tests against nonlinear local alternatives pp. 40-61 Downloads
Matei Demetrescu and Robinson Kruse
Recursive adjustment, unit root tests and structural breaks pp. 62-82 Downloads
Paulo M. M. Rodrigues
Combining non-cointegration tests pp. 83-95 Downloads
Christian Bayer and Christoph Hanck
Estimation for non-negative time series with heavy-tail innovations pp. 96-115 Downloads
A. Bartlett and W. P. McCormick
Determining the order of the functional autoregressive model pp. 116-129 Downloads
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 Downloads
Sugata Sen Roy and Sankha Bhattacharya
Book Review pp. 138-138 Downloads
Plotr S. Kokoszka

Volume 33, issue 11, 2012

Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors pp. 863-872 Downloads
Naoya Katayama
A note on moving-average models with feedback pp. 873-879 Downloads
Dong Li
Least squares estimation of ARCH models with missing observations pp. 880-891 Downloads
Pascal Bondon and Natalia Bahamonde
A Family of Markov-Switching Garch Processes pp. 892-902 Downloads
Ji-Chun Liu
A mixed INAR(p) model pp. 903-915 Downloads
Miroslav M. Ristić and Aleksandar S. Nastić
Non-stationary autoregressive processes with infinite variance pp. 916-934 Downloads
Ngai Hang Chan and Rongmao Zhang
Subsampling inference for the autocovariances and autocorrelations of long-memory heavy- tailed linear time series pp. 935-953 Downloads
Tucker Sprague McElroy and Agnieszka Jach
First-order integer valued AR processes with zero inflated poisson innovations pp. 954-963 Downloads
Mansour Aghababaei Jazi, Geoff Jones and Chin-Diew Lai
Book Review pp. 964-964 Downloads
K. F. Turkman

Volume 33, issue 09, 2012

Editorial: Special issue on time series analysis in the biological sciences pp. 701-703 Downloads
David S. Stoffer and Hernando Ombao
Autocovariance structures for radial averages in small-angle X-ray scattering experiments pp. 704-717 Downloads
F. Jay Breidt, Andreea Erciulescu and Mark van der Woerd
The Nicholson blowfly experiments: some history and EDA pp. 718-723 Downloads
David R. Brillinger
Statistical challenges in microrheology pp. 724-743 Downloads
Gustavo Didier, Scott A. McKinley, David B. Hill and John Fricks
Biological applications of time series frequency domain clustering pp. 744-756 Downloads
Konstantinos Fokianos and Vasilis J. Promponas
Changepoints in times series of counts pp. 757-770 Downloads
Jürgen Franke, Claudia Kirch and Joseph Tadjuidje Kamgaing
Exploring dependence between brain signals in a monkey during learning pp. 771-778 Downloads
Cristina Gorrostieta, Hernando Ombao, Raquel Prado, Shaun Patel and Emad Eskandar
Modelling the nonlinear time dynamics of multidimensional hormonal systems pp. 779-796 Downloads
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 Downloads
Robert T. Krafty, Shuangyan Xiong, David S. Stoffer, Daniel J. Buysse and Martica Hall
Quantifying the uncertainty in change points pp. 807-823 Downloads
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 Downloads
Victor Solo and Ahmed Pasha
A state space model approach for HIV infection dynamics pp. 841-849 Downloads
Jiabin Wang, Hua Liang and Rong Chen
Spectral-based non-central F mixed effect models, with application to otoacoustic emissions pp. 850-862 Downloads
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 Downloads
Ryota Yabe
Maximum likelihood estimation for nearly non-stationary stable autoregressive processes pp. 542-553 Downloads
Rong-Mao Zhang and Ngai Hang Chan
Change point detection in copula ARMA–GARCH Models pp. 554-569 Downloads
Okyoung Na, Jiyeon Lee and Sangyeol Lee
Strictly stationary solutions of ARMA equations with fractional noise pp. 570-582 Downloads
Bernd Vollenbröker
Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes pp. 583-607 Downloads
Rodney A. Martin
Time-series clustering via quasi U-statistics pp. 608-619 Downloads
Marcio Valk and Aluísio Pinheiro
Non-parametric smoothing and prediction for nonlinear circular time series pp. 620-630 Downloads
Macro Di Marzio, Agnese Panzera and Charles C. Taylor
Change-point detection in panel data pp. 631-648 Downloads
Lajos Horvath and Marie Hušková
Likelihood inference for discriminating between long-memory and change-point models pp. 649-664 Downloads
Chun Yip Yau and Richard A. Davis
Inference about long run canonical correlations pp. 665-683 Downloads
Prosper Dovonon, Alastair Hall and Kalidas Jana
A new Bayesian approach to quantile autoregressive time series model estimation and forecasting pp. 684-698 Downloads
Yuzhi Cai, Julian Stander and Neville Davies
Statistics for Spatio-Temporal Data pp. 699-700 Downloads
T. Subba Rao

Volume 33, issue 05, 2012

Testing for parameter stability in nonlinear autoregressive models pp. 365-385 Downloads
Claudia Kirch and Joseph Tadjuidje Kamgaing
Nonlinear spectral density estimation: thresholding the correlogram pp. 386-397 Downloads
Efstathios Paparoditis and Dimitris N. Politis
Periodic autoregressive model identification using genetic algorithms pp. 398-405 Downloads
Eugen Ursu and Kamil Feridun Turkman
On robust tail index estimation for linear long‐memory processes pp. 406-423 Downloads
Jan Beran, Bikramjit Das and Dieter Schell
Non‐parametric testing for seasonally and periodically integrated processes pp. 424-437 Downloads
Tomás del Barrio Castro and Denise Osborn
Measuring nonlinear dependence in time‐series, a distance correlation approach pp. 438-457 Downloads
Zhou Zhou
Estimation of regression and dynamic dependence paremeters for non‐stationary multinomial time series pp. 458-467 Downloads
J. C. Loredo‐Osti and Brajendra C. Sutradhar
Conditional variance estimation in regression models with long memory pp. 468-483 Downloads
Rafal Kulik and Cornelia Wichelhaus
A similarity‐based approach to time‐varying coefficient non‐stationary autoregression pp. 484-502 Downloads
Offer Lieberman
Testing for parameter constancy in general causal time‐series models pp. 503-518 Downloads
William Charky Kengne
Weak convergence to a modified fractional Brownian motion pp. 519-529 Downloads
Javier Hualde
The Oxford Handbook of Economic Forecasts pp. 530-531 Downloads
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 Downloads
Carsten Jentsch
Fast continuous‐discrete DAF‐filters pp. 193-210 Downloads
Thomas Mazzoni
Improved multivariate portmanteau test pp. 211-222 Downloads
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 Downloads
Ke Zhu and Shiqing Ling
The autodependogram: a graphical device to investigate serial dependences pp. 233-254 Downloads
Luca Bagnato, Antonio Punzo and Orietta Nicolis
Overlapped grouping periodogram test for detecting multiple hidden periodicities in mixed spectra pp. 255-268 Downloads
Qiuzi H. Wen, Augustine Wong and Xiaolan L. Wang
Empirical likelihood in long‐memory time series models pp. 269-275 Downloads
Chun Yip Yau
A note on mean squared prediction error under the unit root model with deterministic trend pp. 276-286 Downloads
Shu‐Hui Yu, Chien‐Chih Lin and Hung‐Wen Cheng
Generalized information criterion pp. 287-297 Downloads
Masanobu Taniguchi and Junichi Hirukawa
On robust spectral analysis by least absolute deviations pp. 298-303 Downloads
Ta‐Hsin Li
A single series representation of multiple independent ARMA processes pp. 304-311 Downloads
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 Downloads
Jaechoul Lee and Robert Lund
The restricted likelihood ratio test for autoregressive processes pp. 325-339 Downloads
Willa W. Chen and Rohit S. Deo
The averaged periodogram estimator for a power law in coherency pp. 340-363 Downloads
Rebecca J. Sela and Clifford M. Hurvich

Volume 33, issue 01, 2012

Limit theorems for the discount sums of moving averages pp. 1-12 Downloads
Ba Chu
Frequency and phase estimation in time series with quasi periodic components pp. 13-31 Downloads
Konstantinos Paraschakis and Rainer Dahlhaus
Unit root bootstrap tests under infinite variance pp. 32-47 Downloads
Marta Moreno and Juan Romo
Multi‐variate stochastic volatility modelling using Wishart autoregressive processes pp. 48-60 Downloads
Kostas Triantafyllopoulos
Efficient estimation and particle filter for max‐stable processes pp. 61-80 Downloads
Tsuyoshi Kunihama, Yasuhiro Omori and Zhengjun Zhang
Weighted scatter estimation method of the GO‐GARCH models pp. 81-95 Downloads
Lingyu Zheng and William W. S. Wei
Subsampling inference for the mean of heavy‐tailed long‐memory time series pp. 96-111 Downloads
Agnieszka Jach, Tucker Sprague McElroy and Dimitris N. Politis
Maximum entropy models for general lag patterns pp. 112-120 Downloads
Georgi N. Boshnakov and Bisher M. Iqelan
Selection of weak VARMA models by modified Akaike's information criteria pp. 121-130 Downloads
Y. Boubacar Maïnassara
Statistical tests for a single change in mean against long‐range dependence pp. 131-151 Downloads
Changryong Baek and Vladas Pipiras
High‐frequency sampling of a continuous‐time ARMA process pp. 152-160 Downloads
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 Downloads
Rong‐Mao Zhang and Zheng‐Yan Lin
Non–Parametric Econometrics pp. 175-175 Downloads
Piotr S. Kokoszka
Statistical Methods for Trend Detection and Analysis in the Environmental Sciences pp. 176-176 Downloads
Tata Subba Rao
Page updated 2013-05-21