Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Bootstrapping confidence intervals for the change‐point of time series pp. 947-972: Marie Hušková and Claudia Kirch
Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes pp. 973-994: Ruijun Bu, Brendan McCabe and Kaddour Hadri
Subsampling in testing autocovariance for periodically correlated time series pp. 995-1018: Łukasz Lenart, Jacek Leśkow and Rafał Synowiecki
The exact discrete model of a system of linear stochastic differential equations driven by fractional noise pp. 1019-1031: Theodore Simos
Nonlinear ARMA models with functional MA coefficients pp. 1032-1056: Hai‐Bin Wang
Outlier detection in ARMA models pp. 1057-1065: Hamid Louni
Testing for a unit root under errors with just barely infinite variance pp. 1066-1087: Nikolaos Kourogenis and Nikitas Pittis
Fractional cointegration in the presence of linear trends pp. 1088-1103: Uwe Hassler, Francesc Marmol and Carlos Velasco
Frequency estimation based on the cumulated Lomb–Scargle periodogram pp. 1104-1131: C. Lévy‐Leduc, E. Moulines and F. Roueff

An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints pp. 741-761: Ignacio Arbués
On residual empirical processes of GARCH‐SM models: application to conditional symmetry tests pp. 762-782: Naâmane Laïb, Mohamed Lemdani and Elias Ould‐Saïd
Local asymptotic normality and efficient estimation for INAR(p) models pp. 783-801: Feike C. Drost, Ramon Van Den Akker and Bas J. M. Werker
The sampling properties of conditional independence graphs for I(1) structural VAR models pp. 802-810: Granville Tunnicliffe Wilson and Marco Reale
Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm pp. 811-833: Jeongeun Kim and David S. Stoffer
Break Detection for a Class of Nonlinear Time Series Models pp. 834-867: Richard A. Davis, Thomas C. M. Lee and Gabriel A. Rodriguez‐Yam
A wavelet‐Fisz approach to spectrum estimation pp. 868-880: Piotr Fryzlewicz, Guy P. Nason and Rainer Von Sachs
Assessing Time‐Reversibility Under Minimal Assumptions pp. 881-905: Zacharias Psaradakis
Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate pp. 906-945: Jean‐Marc Bardet, Paul Doukhan and José Rafael León

Estimation of Parameters in the NLAR(p) Model pp. 619-628: Fukang Zhu and Dehui Wang
Evaluating Specification Tests for Markov‐Switching Time‐Series Models pp. 629-652: Daniel Smith
Identification of Persistent Cycles in Non‐Gaussian Long‐Memory Time Series pp. 653-672: Mohamed Boutahar
Statistical analysis of a spatio‐temporal model with location‐dependent parameters and a test for spatial stationarity pp. 673-694: Suhasini Subba Rao
Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations pp. 695-718: Peter Burridge and Daniela Hristova
Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation pp. 719-737: Emma Iglesias and Garry Phillips
Book Review pp. 738-740: Joanne S. Ercolani

Tests against stationary and explosive alternatives in vector autoregressive models pp. 421-443: Niklas Ahlgren and Jukka Nyblom
A superharmonic prior for the autoregressive process of the second‐order pp. 444-452: Fuyuhiko Tanaka and Fumiyasu Komaki
Stability of nonlinear AR‐GARCH models pp. 453-475: Mika Meitz and Pentti Saikkonen
Test for the null hypothesis of cointegration with reduced size distortion pp. 476-500: Eiji Kurozumi and Yoichi Arai
Design of quadratic estimators using covariance information in linear discrete‐time stochastic systems pp. 501-512: Seiichi Nakamori, Aurora Hermoso‐Carazo and Josefa Linares‐Pérez
Improved inference for first‐order autocorrelation using likelihood analysis pp. 513-532: Marie Rekkas, Y. Sun and A. Wong
A complete VARMA modelling methodology based on scalar components pp. 533-554: George Athanasopoulos and Farshid Vahid
Using least squares to generate forecasts in regressions with serial correlation pp. 555-580: Sergio G. Koreisha and Yue Fang
Large‐scale volatility models: theoretical properties of professionals’ practice pp. 581-599: Paolo Zaffaroni
Portmanteau tests for ARMA models with infinite variance pp. 600-617: J.‐W. Lin and A. I. McLeod

Improved Prediction Limits For AR(p) and ARCH(p) Processes pp. 213-223: Paul Kabaila and Khreshna Syuhada
Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes pp. 224-250: Donald Poskitt
Robust Estimation For Periodic Autoregressive Time Series pp. 251-263: Q. Shao
Bootstrapping the Local Periodogram of Locally Stationary Processes pp. 264-299: Marios Sergides and Efstathios Paparoditis
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility pp. 300-330: Giuseppe Cavaliere and Robert Taylor
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break pp. 331-358: Carsten Trenkler, Pentti Saikkonen and Helmut Lütkepohl
An Improvement of the Portmanteau Statistic pp. 359-370: Naoya Katayama
Bootstrap Unit‐Root Tests: Comparison and Extensions pp. 371-401: Franz Palm, Stephan Smeekes and Jean-Pierre Urbain
GQL Versus Conditional GQL Inferences for Non‐Stationary Time Series of Counts with Overdispersion pp. 402-420: Taslim S. Mallick and Brajendra C. Sutradhar

Spectral measures of PARMA sequences pp. 1-13: Agnieszka Wyłomańska
A light‐tailed conditionally heteroscedastic model with applications to river flows pp. 14-36: Péter Elek and László Márkus
Automatic identification of seasonal transfer function models by means of iterative stepwise and genetic algorithms pp. 37-50: Monica Chiogna, Carlo Gaetan and Guido Masarotto
Rank‐based estimation for autoregressive moving average time series models pp. 51-73: Beth Andrews
Duration time‐series models with proportional hazard pp. 74-124: Patrick Gagliardini and Christian Gourieroux
Density estimation with locally identically distributed data and with locally stationary data pp. 125-141: Jussi Klemelä
Fixed‐b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators pp. 142-162: Nigar Hashimzade and Timothy Vogelsang
Fractional integration and structural breaks at unknown periods of time pp. 163-185: Luis A. Gil‐Alana
Quantile self‐exciting threshold autoregressive time series models pp. 186-202: Yuzhi Cai and Julian Stander
Asymptotics for stationary very nearly unit root processes pp. 203-212: Donald Andrews and Patrik Guggenberger