Journal of Time Series Analysis

1980 - 2026

Current editor(s): M.B. Priestley

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Volume 47, issue 4, 2026

Self‐Normalized KPSS Tests With Power Enhancement pp. 751-773

JunYi Peng‐Zhou and Xiaojun Song

Local GMM Estimation for Nonparametric Time‐Varying Coefficient Moment Condition Models pp. 774-783

Yu Bai

Markov Determinantal Point Process for Dynamic Random Sets pp. 784-802

Christian Gouriéroux and Yang Lu

Valid Post‐Averaging Inference in AR‐G/GARCH Models pp. 803-821

Hsin‐Chieh Wong

Time Series Models on Compact Spaces, With an Application to Dynamic Modeling of Relative Abundance Data in Ecology pp. 822-838

Guillaume Franchi and Lionel Truquet

Time‐Varying Dispersion Integer‐Valued GARCH Models pp. 839-853

Wagner Barreto‐Souza, Luiza S. C. Piancastelli, Konstantinos Fokianos and Hernando Ombao

Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients pp. 854-875

Charisios Grivas and Zacharias Psaradakis

Extremely Fast Maximum Likelihood Estimation of High‐Order Autoregressive Models pp. 876-884

Daniel F. Schmidt and Enes Makalic

Oracally Efficient Estimation and Consistent Model Selection for Spatial ARMA Process With Bivariate Trend pp. 885-903

Tong Zhang, Yuanyuan Zhang and Chen Zhong

Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties pp. 904-911

Matei Demetrescu and Mehdi Hosseinkouchack

On Exponential‐Family INGARCH Models pp. 912-918

Alan Huang, Thomas Fung, Kyle Macaskill and Rowan Aukes

Volume 47, issue 3, 2026

Editorial: Data Segmentation in Time Series: Structural Breaks and Real‐Time Monitoring pp. 447-449

Alexander Aue and Claudia Kirch

Moving Sum Procedure for Multiple Change Point Detection in Large Factor Models pp. 450-464

Matteo Barigozzi, Haeran Cho and Lorenzo Trapani

Multiple Changepoint Detection for Non‐Gaussian Time Series pp. 465-484

Robert Lund, Thomas J. Fisher, Norou Diawara and Michael Wehner

Simultaneous Detection of Structural Breaks and Outliers in Time Series pp. 485-505

Richard A. Davis, Thomas C. M. Lee and Gabriel A. Rodriguez‐Yam

Continuous Record Asymptotics for Change‐Point Models pp. 506-525

Alessandro Casini and Pierre Perron

Tests for Changes in Count Time Series Models With Exogenous Covariates pp. 526-538

Šárka Hudecová and Marie Hušková

Estimation of Change Points for Non‐Linear (Auto‐)Regressive Processes Using Neural Network Functions pp. 539-556

Claudia Kirch and Stefanie Schwaar

Tensor Changepoint Detection and Eigenbootstrap pp. 557-578

Michal Pešta, Barbora Peštová and Martin Romaňák

A Robust Topological Framework for Detecting Regime Changes in Multi‐Trial Experiments With Application to Predictive Maintenance pp. 579-596

Anass El‐Yaagoubi, Jean‐Marc Freyermuth and Hernando Ombao

Nonparametric Detection of a Time‐Varying Mean pp. 597-611

Fabrizio Iacone and Robert Taylor

Change Point Analysis for Functional Data Using Empirical Characteristic Functionals pp. 612-631

Lajos Horváth, Gregory Rice and Jeremy VanderDoes

Gradual Changes in Functional Time Series pp. 632-650

Patrick Bastian and Holger Dette

Functional Sieve Bootstrap for the Partial Sum Process With an Application to Change‐Point Detection pp. 651-659

Efstathios Paparoditis, Lea Wegner and Martin Wendler

Monitoring panels of sparse functional data pp. 660-674

Tim Kutta, Agnieszka Jach and Piotr Kokoszka

A New Approach to Statistical Inference for Functional Time Series pp. 675-686

Hanjia Gao, Yi Zhang and Xiaofeng Shao

Online Network Change Point Detection With Missing Values and Temporal Dependence pp. 687-700

Haotian Xu, Paromita Dubey and Yi Yu

mixFOCuS: A Communication‐Efficient Online Changepoint Detection Method in Distributed System for Mixed‐Type Data pp. 701-714

Ziyang Yang, Idris A. Eckley and Paul Fearnhead

Online Detection of Forecast Model Inadequacies Using Forecast Errors pp. 715-726

Thomas Grundy, Rebecca Killick and Ivan Svetunkov

Online Jump and Kink Detection in Segmented Linear Regression: Statistical Optimality Meets Computational Efficiency pp. 727-748

Annika Hüselitz, Housen Li and Axel Munk

Volume 47, issue 2, 2026

Editorial Announcement pp. 255-255

Robert Taylor

Inference on nonstationary heavy‐tailed AR processes via model selection pp. 256-278

Feifei Guo, Rui She and Yaxing Yang

Poisson count time series pp. 279-303

Jiajie Kong and Robert Lund

A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes pp. 304-320

Hiroaki Ogata and Takayuki Shiohama

CAViaR Model Selection via Adaptive Lasso pp. 321-330

Zongwu Cai, Ying Fang and Dingshi Tian

Cointegrating Polynomial Regressions With Power Law Trends pp. 331-344

Yicong Lin and Hanno Reuvers

Simultaneous Estimation of Stable Parameters for Multiple Autoregressive Processes From Datasets of Nonuniform Sizes pp. 345-363

Johannes Lederer and Rainer von Sachs

A Zero Serial Cross‐Correlation Test Before Fitting Heteroscedasticity pp. 364-377

Yaolan Ma, Xiaohong Chen, Liang Peng and Rongmao Zhang

Quantile Regression Estimation for Poisson Autoregressive Models pp. 378-413

Danshu Sheng and Dehui Wang

Panel Threshold Mixed Data Sampling Models With a Covariate‐Dependent Threshold pp. 414-432

Lixiong Yang, I‐Po Chen, Chingnun Lee and Yihang Ye

An Automatic Multi‐Scale Test for Serial Correlation of High‐Dimensional Time Series pp. 433-444

Bingbing Zhang and Mengya Liu

Volume 47, issue 1, 2026

Editorial Announcement pp. 3-3

Robert Taylor

Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2025 pp. 4-4

Robert Taylor

Special Issue in Honor of Professor Hira Lal Koul pp. 5-7

Soumendra N. Lahiri, Dimitris N. Politis and Tharuvai N. Sriram

Spatiotemporal Heterogeneity Learning: Generalized SpatioTemporal Semi‐Varying Coefficient Models With Structure Identification pp. 8-24

Zhiling Gu, Xinyi Li, Guannan Wang and Lily Wang

On the Optimal Prediction of Extreme Events in Heavy‐Tailed Time Series With Applications to Solar Flare Forecasting pp. 25-42

Victor Verma, Stilian Stoev and Yang Chen

Latent Gaussian Dynamic Factor Modeling and Forecasting for Multivariate Count Time Series pp. 43-58

Younghoon Kim, Marie‐Christine Düker, Zachary F. Fisher and Vladas Pipiras

Empirical likelihood for martingale differences pp. 59-76

Anton Schick

Second‐Order Properties of the Convolved Subsampling Method for Time Series pp. 77-89

Sayan Das, Todd A. Kuffner, Soumendra N. Lahiri and Daniel J. Nordman

Gaussian Approximation for Lag‐Window Estimators and the Construction of Confidence Bands for the Spectral Density pp. 90-105

Jens‐Peter Kreiß, Anne Leucht and Efstathios Paparoditis

Analysis of Crisis Effects via Maximum Entropy Adjustment pp. 106-120

Tucker McElroy

Tail index estimation for tail adversarial stable time series with an application to high‐dimensional tail clustering pp. 121-136

Hanyue Cao, Jingying Gao, Yu Shao, T. N. Sriram, Weiliang Wang, Fei Wen and Ting Zhang

Mean square consistency and improved rate of convergence of generalized subsampling estimator for non‐stationary time series pp. 137-157

Patrice Bertail, Anna E. Dudek and Łukasz Lenart

The Dual Frequency Spectral Density Function of Locally Periodic Stationary Processes With an Application to Testing for Correlation Between Different Frequency Bands of a Time Series pp. 158-173

Pramita Bagchi, Noah Bolanos, Jaeseon Lee and Suhasini Subba Rao

Blockwise Empirical Likelihood and Efficiency for Markov Chains pp. 174-181

Ursula U. Müller, Anton Schick and Wolfgang Wefelmeyer

Testing Mean Stability of Heteroskedastic Time Series pp. 182-200

Violetta Dalla, Liudas Giraitis and Peter Phillips

The Dynamic, the Static, and the Weak: Factor Models and the Analysis of High‐Dimensional Time Series pp. 201-219

Matteo Barigozzi and Marc Hallin

Independent Component Analysis With Heavy Tails Using Distance Covariance pp. 220-232

Richard A. Davis and Leon Fernandes

Inverse Autocovariance Estimates pp. 233-249

Jiang Wang and Dimitris N. Politis