Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 18, issue 6, 1997

On Bartlett’s Formula for Non‐linear Processes pp. 535-552

Alain Berlinet and Christian Francq

On White Noises Driven by Hidden Markov Chains pp. 553-578

Christian Francq and Michel Roussignol

Iterative Least Squares Estimation and Identification of the Transfer Function Model pp. 579-592

Daniel Muller and William W. S. Wei

Bayesian Models for Non‐linear Autoregressions pp. 593-614

Peter Müller, Mike West and Steven MacEachern

A Test of Linearity for Functional Autoregressive Models pp. 615-639

Jean‐Michel Poggi and Bruno Portier

Consistency of Frequency Estimates Based on the Wavelet Transform pp. 641-662

Ritei Shibata and Mutsumi Takagiwa

Volume 18, issue 5, 1997

Diagnostic checking of nonlinear multivariate time series with multivariate arch errors pp. 447-464

Shiqing Ling and W. K. Li

On the spectral density of a class of chaotic time series pp. 465-474

Artur Lopes, Selvia Lopes and Rafael R. Souza

A study on misspecified nonstationary autoregressive time series with a unit root pp. 475-484

Dong Wan Shin and Yoon Dong Lee

Comparative study of estimation methods for continuous time stochastic processes pp. 485-506

Isao Shoji and Tohru Ozaki

Comparing the bias and misspecification in ARFIMA models pp. 507-527

Jeremy Smith, Nick Taylor and Sanjay Yadav

Volume 18, issue 4, 1997

Goodness‐of‐fit tests for autoregressive processes pp. 321-339

T. W. Anderson

Spurious regressions between I(1) processes with long memory errors pp. 341-354

Nunzio Cappuccio and Diego Lubian

The zero‐crossing rate of pth‐order autoregressive processes pp. 355-374

Ximing Cheng, Yougui Wu, Jinguan Du and Huowang Liu

A note on L1 density estimation for linear processes pp. 375-383

Somnath Datta

Asymptotic theory for certain regression models with long memory errors pp. 385-393

R. S. Deo

A Parametric approach to testing the null of cointegration pp. 395-413

Brendan McCabe, Stephen Leybourne and Yongcheol Shin

On backward periodic autoregressive processes pp. 415-427

Hideaki Sakai and Shyuichi Ohno

Multivariate modelling of the autoregressive random variance process pp. 429-446

Mike K. P. So, W. K. Li and K. Lam

Volume 18, issue 3, 1997

Robustness of the autoregressive spectral estimate for linear processes with infinite variance pp. 213-229

R. J. Bhansali

Choice of thresholds for wavelet shrinkage estimate of the spectrum pp. 231-251

Hong‐Ye Gao

One‐sided testing for conditional heteroskedasticity in time series models pp. 253-277

Yongmiao Hong

Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator pp. 279-304

Vadim Teverovsky and Murad Taqqu

Extremes of bilinear time series models pp. 305-319

K. F. Turkman and M. A. Amaral Turkman

Volume 18, issue 2, 1997

NON‐PARAMETRIC ESTIMATION WITH STRONGLY DEPENDENT MULTIVARIATE TIME SERIES pp. 95-122

Javier Hidalgo

TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES pp. 123-135

Robert Kunst

CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES pp. 137-155

Ignacio N. Lobato

ESTIMATION OF THE COEFFICIENTS OF A MULTIVARIATE LINEAR FILTER USING THE INNOVATIONS ALGORITHM pp. 157-179

Heather Mitchell and Peter Brockwell

FREQUENCY DOMAIN TESTS OF MULTIVARIATE GAUSSIANITY AND LINEARITY pp. 181-194

Woon Wong

PROJECTION MODULUS: A NEW DIRECTION FOR SELECTING SUBSET AUTOREGRESSIVE MODELS pp. 195-212

Xichuan Zhang and R. Deane Terrell

Volume 18, issue 1, 1997

AN OPTIMALITY CRITERION FOR AGGREGATING A SET OF TIME SERIES IN A COMPOSITE INDEX pp. 1-9

R. Baragona and F. Carlucci

ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS pp. 11-28

Glen Barnett, Robert Kohn and Simon Sheather

A GENERAL TEST FOR UNIVARIATE SEASONALITY pp. 29-48

Rafael Flores and Alfonso Novales

RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE pp. 49-60

Liudas Giraitis, Peter M. Robinson and Alexander Samarov

A CENTRAL LIMIT THEOREM FOR m(n) AUTOCOVARIANCES pp. 61-78

Daniel M. Keenan

ON SIMULATION OF A GAUSSIAN STATIONARY PROCESS pp. 79-93

T. C. Sun and Milton Chaika

Volume 17, issue 6, 1996

ADEQUACY OF ASYMPTOTIC THEORY FOR GOODNESS‐OF‐FIT CRITERIA FOR SPECTRAL DISTRIBUTIONS pp. 533-552

T. W. Anderson and Linfeng You

BIAS AND COVARIANCE OF THE RECURSIVE LEAST SQUARES ESTIMATOR WITH EXPONENTIAL FORGETTING IN VECTOR AUTOREGRESSIONS pp. 553-570

B. Lindoff and J. Holst

MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES pp. 571-599

Elias Masry

SPECTRAL DENSITY ESTIMATION VIA NONLINEAR WAVELET METHODS FOR STATIONARY NON‐GAUSSIAN TIME SERIES pp. 601-633

Michael H. Neumann

Volume 17, issue 5, 1996

RANDOM SAMPLING ESTIMATION FOR ALMOST PERIODICALLY CORRELATED PROCESSES pp. 425-445

D. Dehay and V. Monsan

SPECTRAL MAXIMUM LIKELIHOOD ESTIMATION OF A SIGNAL‐TO‐NOISE RATIO LYING IN THE VICINITY OF ZERO pp. 447-459

F. Javier Fernández‐Macho

TESTING CHANGE‐POINTS IN THE EXPLOSIVE GAUSSIAN AUTOREGRESSIVE PROCESSES pp. 461-480

M. Raimondo

TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION pp. 481-496

Pentti Saikkonen and Ritva Luukkonen

AN OUTLIER TEST FOR TIME SERIES BASED ON A TWO‐SIDED PREDICTOR pp. 497-510

W. Schmid

OPTIMAL PREDICTION OF CATASTROPHES IN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES pp. 511-531

A. Svensson, J. Holst, R. Lindquist and G. Lindgren

Volume 17, issue 4, 1996

HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES pp. 323-331

Oliver D. Anderson and Zhao‐Guo Chen

RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES pp. 333-349

Georgi N. Boshnakov

ON LOW AND HIGH FREQUENCY ESTIMATION pp. 351-365

Dawei Huang

THIRD‐ORDER ASYMPTOTIC PROPERTIES OF ESTIMATORS IN GAUSSIAN ARMA PROCESSES WITH UNKNOWN MEAN pp. 367-377

Yoshihide Kakizawa

THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN pp. 379-408

Serena Ng and Pierre Perron

INITIALIZATION OF THE KALMAN FILTER WITH PARTIALLY DIFFUSE INITIAL CONDITIONS pp. 409-424

Ralph Snyder and Grant R. Saligari

Volume 17, issue 3, 1996

UNIT ROOTS IN PERIODIC AUTOREGRESSIONS pp. 221-245

H. Peter Boswijk and Philip Hans Franses

LOCALLY ADAPTIVE LAG‐WINDOW SPECTRAL ESTIMATION pp. 247-270

Peter Bühlmann

TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION pp. 271-285

Miguel Delgado

SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL pp. 287-307

Seisho Sato and Naoto Kunitomo

TESTING FOR A UNIT ROOT IN AN AR(1) TIME SERIES USING IRREGULARLY OBSERVED DATA pp. 309-321

Dong Wan Shin and Sahadeb Sarkar

ESTIMATION OF THE MULTI‐VARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING pp. 321-321

Dong Wan Shin and Sahadeb Sarkar

Volume 17, issue 2, 1996

A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING‐AVERAGE PROCESS pp. 111-140

Ching‐Fan Chung

ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM pp. 141-150

C. C. Heyde and W. Dai

BEVERIDGE‐NELSON‐TYPE TRENDS FOR I(2) AND SOME SEASONAL MODELS pp. 151-169

Paul Newbold and Dimttrios Vougas

SPECTRAL ANALYSIS OF A STATIONARY BIVARIATE POINT PROCESS WITH APPLICATIONS TO NEUROPHYSIOLOGICAL PROBLEMS pp. 171-187

A. G. Rigas

ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES pp. 189-202

O. Stramer

A BAYESIAN APPROACH TO ESTIMATING AND FORECASTING ADDITIVE NONPARAMETRIC AUTOREGRESSIVE MODELS pp. 203-220

Chi‐ming Wong and Robert Kohn

Volume 17, issue 1, 1996

ASYMPTOTIC INFERENCE FOR NON‐INVERTIBLE MOVING‐AVERAGE TIME SERIES pp. 1-17

Ngai Hang Chan and Ruey S. Tsay

SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS pp. 19-36

F. Comte

RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES pp. 37-47

Jesus Gonzalo and Tae Hwy Lee

BANDWIDTH SELECTION IN KERNEL SMOOTHING OF TIME SERIES pp. 49-63

Tae Yoon Kim and Dennis D. Cox

MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE pp. 65-84

Lei Li and Zhongjie Xie

WAVELETS AND TIME‐DEPENDENT SPECTRAL ANALYSIS pp. 85-103

M. B. Priestley

DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN NONSTATIONARY AUTOREGRESSIVE PROCESSES pp. 105-109

Dong Wan Shin and Jong Hyup Lee