Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 31, issue 6, 2010

Likelihood functions for state space models with diffuse initial conditions pp. 407-414

Marc K. Francke, Siem Jan Koopman and Aart de Vos

Reducing the size distortion of the KPSS test pp. 415-426

Eiji Kurozumi and Shinya Tanaka

Testing for cycles in multiple time series pp. 427-434

Werner Ploberger and Erhard Reschenhofer

Tests of strict stationarity based on quantile indicators pp. 435-450

Fabio Busetti and Andrew Harvey

Random effects mixture models for clustering electrical load series pp. 451-464

Geoffrey Coke and Min Tsao

Autoregressive trending risk function and exhaustion in random asset price movement pp. 465-470

Qi Tang and Danni Yan

Banded and tapered estimates for autocovariance matrices and the linear process bootstrap pp. 471-482

Timothy L. McMurry and Dimitris N. Politis

Improved prediction limits for a general class of Gaussian models pp. 483-493

Federica Giummolè and Paolo Vidoni

Antedependence Models for Longitudinal Data pp. 494-494

Konstantinos Fokianos

Volume 31, issue 5, 2010

A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component pp. 305-328

Mohitosh Kejriwal and Pierre Perron

A Bayesian nonlinearity test for threshold moving average models pp. 329-336

Qiang Xia, Jiazhu Pan, Zhiqiang Zhang and Jinshan Liu

Central limit theorems for nonparametric estimators with real‐time random variables pp. 337-347

Tae Yoon Kim and Zhi‐Ming Luo

Structure and estimation of a class of nonstationary yet nonexplosive GARCH models pp. 348-364

Nazim Regnard and Jean-Michel Zakoian

A Bayesian regime‐switching time‐series model pp. 365-378

Jaehee Kim and Sooyoung Cheon

Testing for nonlinear deterministic components when the order of integration is unknown pp. 379-391

David Harvey, Stephen Leybourne and Lisa Xiao

Stationarity testing under nonlinear models. Some asymptotic results pp. 392-405

Manuel Landajo and María José Presno

Introductory Time Series with R pp. 406-406

Georgi N. Boshnakov

Volume 31, issue 4, 2010

A numerical method for factorizing the rational spectral density matrix pp. 229-240

Yuzo Hosoya and Taro Takimoto

ADL tests for threshold cointegration pp. 241-254

Jing Li and Junsoo Lee

Cointegrating regressions with messy regressors and an application to mixed‐frequency series pp. 255-277

J. Miller

Influence diagnostics for multivariate GARCH processes pp. 278-291

Jonathan Dark, Xibin Zhang and Nan Qu

The impact of the initial condition on robust tests for a linear trend pp. 292-302

David Harvey, Stephen Leybourne and Robert Taylor

Time series analysis forecasting and control pp. 303-303

G. Janacek

Volume 31, issue 3, 2010

On geometric ergodicity of CHARME models pp. 141-152

Jean‐Pierre Stockis, Jürgen Franke and Joseph Tadjuidje Kamgaing

Unit‐root testing: on the asymptotic equivalence of Dickey–Fuller with the log–log slope of a fitted autoregressive spectrum pp. 153-166

Evangelos E. Ioannidis

Estimability of the linear effects in state space models with an unknown initial condition pp. 167-168

Rajesh Selukar

Hyper‐spherical and elliptical stochastic cycles pp. 169-181

Alessandra Luati and Tommaso Proietti

Adaptive wavelet decompositions of stationary time series‡ pp. 182-209

Gustavo Didier and Vladas Pipiras

Interventions in INGARCH processes pp. 210-225

Konstantinos Fokianos and Roland Fried

Nonlinear time series: Semiparametric and Nonparametric methods pp. 226-226

T. Subba Rao

Volume 31, issue 2, 2010

Empirical likelihood intervals for conditional Value‐at‐Risk in ARCH/GARCH models pp. 65-75

Yun Gong, Zhouping Li and Liang Peng

A symbolic test for testing independence between time series pp. 76-85

Mariano Matilla‐García, José Miguel Rodríguez and Manuel Ruiz Marin

Wavelet change‐point estimation for long memory non‐parametric random design models pp. 86-97

Lihong Wang and Haiyan Cai

Least absolute deviation estimation for general autoregressive moving average time‐series models pp. 98-112

Rongning Wu and Richard A. Davis

On an independent and identically distributed mixture bilinear time‐series model pp. 113-131

Abdelhakim Aknouche and Nadia Rabehi

A note on the mixture transition distribution and hidden Markov models pp. 132-138

Francesco Bartolucci and Alessio Farcomeni

Time Series Analysis pp. 139-139

T. Subba Rao

Volume 31, issue 1, 2010

Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes pp. 1-11

Luigi Spezia

Treating missing values in INAR(1) models: An application to syndromic surveillance data pp. 12-19

Jonas Andersson and Dimitris Karlis

On the properties of the periodogram of a stationary long‐memory process over different epochs with applications pp. 20-36

Valdério A. Reisen, Eric Moulines, Philippe Soulier and Glaura C. Franco

Local Whittle estimation of the memory parameter in presence of deterministic components pp. 37-49

Fabrizio Iacone

Postmodel selection estimators of variance function for nonlinear autoregression pp. 50-63

Piotr Borkowski and Jan Mielniczuk

Handbook of Financial Time Series pp. 64-64

Suhasini Subba Rao

Volume 30, issue 6, 2009

A simple procedure for computing improved prediction intervals for autoregressive models pp. 577-590

Paolo Vidoni

Bootstrap‐based bandwidth choice for log‐periodogram regression pp. 591-617

Josu Arteche and Jesus Orbe

The restricted likelihood ratio test at the boundary in autoregressive series pp. 618-630

Willa W. Chen and Rohit Deo

Computationally efficient methods for two multivariate fractionally integrated models pp. 631-651

Rebecca Sela and Clifford Hurvich

On nonparametric prediction of linear processes pp. 652-673

Jan Mielniczuk, Zhou Zhou and Wei Biao Wu

Goodness‐of‐fit test for a nonlinear time series pp. 674-681

Yoichi Nishiyama

A test for improved multi‐step forecasting pp. 682-707

John Haywood and Granville Tunnicliffe Wilson

Time Series Analysis With Applications in R Series: Springer Texts in Statistics, 2nd Edition pp. 708-709

Georgi N. Boshnakov

Volume 30, issue 5, 2009

Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients pp. 467-486

Georgi N. Boshnakov and Sophie Lambert‐Lacroix

On multiple portmanteau tests* pp. 487-504

Naoya Katayama

Autoregressive processes with data‐driven regime switching pp. 505-533

Joseph Tadjuidje Kamgaing, Hernando Ombao and Richard A. Davis

Asymptotic normality of wavelet estimators of the memory parameter for linear processes pp. 534-558

F. Roueff and M. S. Taqqu

The application of the Kalman filter to nonstationary time series through time deformation pp. 559-574

Zhu Wang, Wayne A. Woodward and Henry L. Gray

Analysis of Integrated and Cointegrated Time Series with R, 2nd Edition pp. 575-575

Willa W. Chen

Volume 30, issue 4, 2009

Selecting nonlinear time series models using information criteria pp. 369-394

Zacharias Psaradakis, Martin Sola, Fabio Spagnolo and Nicola Spagnolo

Estimation in nonstationary random coefficient autoregressive models pp. 395-416

István Berkes, Lajos Horvath and Shiqing Ling

First‐order rounded integer‐valued autoregressive (RINAR(1)) process pp. 417-448

M. Kachour and J. F. Yao

Bartlett's formula for a general class of nonlinear processes pp. 449-465

Christian Francq and Jean-Michel Zakoian

Volume 30, issue 3, 2009

Testing for a break in persistence under long‐range dependencies pp. 263-285

Philipp Sibbertsen and Robinson Kruse

Local Linear M‐estimation in non‐parametric spatial regression pp. 286-314

Zhengyan Lin, Degui Li and Jiti Gao

Bootstrapping a weighted linear estimator of the ARCH parameters pp. 315-331

Arup Bose and Kanchan Mukherjee

Testing equality of stationary autocovariances pp. 332-348

Robert Lund, Hany Bassily and Brani Vidakovic

Generation Of Time Series Models With Given Spectral Properties pp. 349-368

Georgi N. Boshnakov and Bisher M. Iqelan

Volume 30, issue 2, 2009

Bootstrap prediction intervals in state–space models pp. 167-178

Alejandro Rodriguez and Esther Ruiz

Semiparametric inference on a class of Wiener processes pp. 179-207

Xiao Wang

A parametric estimation method for dynamic factor models of large dimensions pp. 208-238

George Kapetanios and Massimiliano Marcellino

Parameter change test for random coefficient integer‐valued autoregressive processes with application to polio data analysis pp. 239-258

Jiwon Kang and Sangyeol Lee

Volume 30, issue 1, 2009

Efficient order selection algorithms for integer‐valued ARMA processes pp. 1-18

Víctor Enciso‐Mora, Peter Neal and T. Subba Rao

Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes pp. 19-46

Abdelhakim Aknouche and Abdelouahab Bibi

Transformations and seasonal adjustment pp. 47-69

Tommaso Proietti and Marco Riani

On modelling and diagnostic checking of vector periodic autoregressive time series models pp. 70-96

Eugen Ursu and Pierre Duchesne

A new state–space methodology to disaggregate multivariate time series pp. 97-124

Víctor Gómez and Félix Aparicio‐Pérez

On stationarity and ergodicity of the bilinear model with applications to GARCH models pp. 125-144

Dennis Kristensen

Second‐order properties of locally stationary processes pp. 145-166

Kenichiro Tamaki