Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 16, issue 6, 1995

LINEAR INTERPOLATORS AND THE INVERSE CORRELATION FUNCTION OF NON‐STATIONARY TIME SERIES pp. 531-538

Roberto Baragona and Francesco Battaglia

NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION pp. 539-549

Valentina Corradi

THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER pp. 551-554

John N. Haddad

RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS pp. 555-569

Alastair Hall

ON THE STRENGTH OF DEPENDENCE OF A TIME SERIES GENERATED BY A CHAOTIC MAP pp. 571-583

Peter Hall and Rodney C. L. Wolff

CONSISTENCY FOR NON‐LINEAR FUNCTIONS OF THE PERIODOGRAM OF TAPERED DATA pp. 585-606

Daniel Janas and Rainer von Sachs

EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES pp. 607-615

James W. Miller

ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS pp. 617-645

Donald Poskitt and M. O. Salau

DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION pp. 647-648

A. I. McLeod

Volume 16, issue 5, 1995

AN APPLICATION OF THE SCHUR‐COHN ALGORITHM TO TIME SERIES ANALYSIS pp. 445-449

Roger W. Barnard and Kamal C. Chanda

A NOTE ON THE EMBEDDING OF DISCRETE‐TIME ARMA PROCESSES pp. 451-460

Peter J. Brockwell

THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS pp. 461-481

Rong Chen

BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS pp. 483-492

Cathy W. S. Chen and Jack C. Lee

ESTIMATING FINITE SAMPLE CRITICAL VALUES FOR UNIT ROOT TESTS USING PURE RANDOM WALK PROCESSES:A NOTE pp. 493-498

Yin-Wong Cheung and Kon S. Lai

A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN pp. 499-508

Gianluca Cubadda

A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION pp. 509-529

T. Grahn

Volume 16, issue 4, 1995

LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION pp. 359-388

Charles Kooperberg, Charles J. Stone and Young K. Truong

RATE OF CONVERGENCE FOR LOGSPLINE SPECTRAL DENSITY ESTIMATION pp. 389-401

Charles Kooperberg, Charles J. Stone and Young K. Truong

A GENERALIZED VARIANCE RATIO TEST OF ARIMA (p, 1, q) MODEL SPECIFICATION pp. 403-413

John P. Miller and Paul Newbold

ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS pp. 415-429

Heon Jin Park and Wayne A. Fuller

ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING pp. 431-444

Dong Wan Shin and Sahadeb Sarkar

Volume 16, issue 3, 1995

CONFIDENCE REGIONS FOR PARAMETERS IN THE AR(1) MODEL pp. 249-265

David Hamilton and Ka Ho Wu

THE IDENTIFICATION OF SEASONAL AUTOREGRESSIVE MODELS pp. 267-290

Sergio G. Koreisha and Tarmo Pukkila

ON THE SELECTION OF RANDOM SAMPLING SCHEMES FOR THE SPECTRAL ESTIMATION OF CONTINUOUS TIME PROCESSES pp. 291-311

Keh‐Shin Lii and Elias Masry

SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES pp. 313-321

Francesc Marmol

LONG‐RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES pp. 323-338

M. C. Viano, Cl. Deniau and G. Oppenheim

RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODEL pp. 339-353

Sook Fwe Yap and Gregory C. Reinsel

Volume 16, issue 2, 1995

PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS pp. 127-145

G. J. Adams and G. C. Goodwin

TESTING FOR TREND STATIONARITY VERSUS DIFFERENCE STATIONARITY pp. 147-164

Consuelo Arellano and Sastry G. Pantula

TESTING EQUALITY OF VARIANCES FOR PAIRED TIME SERIES pp. 165-176

Jan Beran and Theo Gasser

IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS pp. 177-200

F. Jay Breidt, Richard A. Davis and William T. M. Dunsmuir

STOCHASTIC MODELING AND IDENTIFICATION OF SEISMIC RECORDS BASED ON ESTABLISHED DETERMINISTIC FORMULATIONS pp. 201-220

G. R. Dargahi‐Noubary

AN ALGORITHM FOR A PERIOD SEARCH IN A SPARSELY COVERED TIME SERIES AT A FIXED PHASE pp. 221-236

Daniela Leibowitz and Elia M. Leibowitz

ON RESULTS OF PORAT CONCERNING ASYMPTOTIC EFFICIENCY OF SAMPLE COVARIANCES OF GAUSSIAN ARMA PROCESSES pp. 237-248

A. M. Walker

Volume 16, issue 1, 1995

LARGE SAMPLE ANALYSIS OF AUTOREGRESSIVE MOVING‐AVERAGE MODELS WITH ERRORS IN VARIABLES pp. 1-15

Kamal C. Chanda

ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES pp. 17-41

Clifford Hurvich and Bonnie K. Ray

BISPECTRAL ANALYSIS OF RANDOMLY SAMPLED DATA pp. 43-66

Keh‐Shin Lii and Tai‐Houn Tsou

BIAS‐CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION pp. 67-103

Dimitris N. Politis and Joseph P. Romano

ESTIMATION OF COEFFICIENTS OF TIME SERIES REGRESSION WITH A NONSTATIONARY ERROR PROCESS pp. 105-118

Yoshihiro Usami and Mituaki Huzii

STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO‐STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS pp. 119-125

Jonathan Wright

Volume 15, issue 6, 1994

EDWARD J. HANNAN, 1921–1994 pp. 563-576

P. M. Robinson

COINTEGRATION AND COMMON FACTORS pp. 577-586

Alvaro Escribano and Daniel Peña

ESTIMATION OF FRACTAL INDEX AND FRACTAL DIMENSION OF A GAUSSIAN PROCESS BY COUNTING THE NUMBER OF LEVEL CROSSINGS pp. 587-606

Andrey Feuerverger, Peter Hall and Andrew T. A. Wood

ON THE PITMAN NON‐ADMISSIBILITY OF CORRELOGRAM‐BASED METHODS pp. 607-611

Marc Hallin

DETERMINING THE NUMBER OF TERMS IN A TRIGONOMETRIC REGRESSION pp. 613-625

L. Kavalieris and E. J. Hannan

ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY pp. 627-636

W. K. Li and T. K. Mak

A GOODNESS‐OF‐FIT TEST FOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS BASED ON THE STANDARDIZED SAMPLE SPECTRAL DISTRIBUTION OF THE RESIDUALS pp. 637-647

Santiago Velilla

Volume 15, issue 5, 1994

LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES pp. 453-472

Jushan Bai

LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS pp. 473-487

Gemai Chen, Bovas Abraham and Shelton Peiris

RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME pp. 489-506

Ulla Holst, Georg Lindgren, Jan Holst and Mikael Thuvesholmen

THE DETECTION OF A SINGLE ADDITIVE OUTLIER OF UNKNOWN POSITION pp. 507-522

Paul Kabaila

STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS pp. 523-539

Robert E. McCulloch and Ruey S. Tsay

ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS pp. 541-543

Dimitris N. Politis

A NEW WAY TO ESTIMATE ORDERS IN TIME SERIES pp. 545-559

Hu‐Ming Zhang and Ping Wang

ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION pp. 561-562

Henry L. Gray, Nien‐Fan Zhang and Wayne A. Woodward

Volume 15, issue 4, 1994

SOME SIMPLE TESTS OF THE MOVING‐AVERAGE UNIT ROOT HYPOTHESIS pp. 351-370

Jörg Breitung

USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS pp. 371-384

Clive Granger and Jin‐Lung Lin

THE NUMBER OF PEAKS IN A STATIONARY SAMPLE AND ORTHANT PROBABILITIES pp. 385-403

Simon Ku and Eugene Seneta

SEMIPARAMETRIC TIME SERIES REGRESSION pp. 405-428

Young K. Truong and Charles J. Stone

PEAK‐INSENSITIVE NON‐PARAMETRIC SPECTRUM ESTIMATION pp. 429-452

Rainer von Sachs

Volume 15, issue 3, 1994

LAGRANGE MULTIPLIER TESTS FOR FRACTIONAL DIFFERENCE pp. 253-262

Christos Agiakloglou and Paul Newbold

ON THE INVERTIBILITY OF PERIODIC MOVING‐AVERAGE MODELS pp. 263-268

Mohamed Bentarzi and Marc Hallin

ESTIMATION OF THE LONG‐MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM pp. 269-278

Jan Beran and Norma Terrin

ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS pp. 279-283

Alastair Hall

AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG‐MEMORY TIME SERIES pp. 285-302

Clifford Hurvich and Kaizo I. Beltrao

ASYMPTOTIC EFFICIENCY OF THE SAMPLE COVARIANCES IN A GAUSSIAN STATIONARY PROCESS pp. 303-311

Yoshihide Kakizawa and Masanobu Taniguchi

SYMMETRIC STABLE SEQUENCES WITH MISSING OBSERVATIONS pp. 313-323

Dankit K. Nassiuma

ON VECTOR AUTOCORRELATIONS AND GENERALIZED SECOND‐ORDER FUNCTIONS FOR TIME SERIES pp. 325-334

Efstathios Paparoditis

ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM pp. 335-350

Valderio A. Reisen

Volume 15, issue 2, 1994

PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA pp. 127-150

Peter Bloomfield, Harry L. Hurd and Robert B. Lund

STATIONARY AND NON‐STATIONARY STATE SPACE MODELS pp. 151-166

Pidt de Jong and Singfat Chu‐Chun‐Lin

COMPARISON OF TIME AND CROSS‐SECTIONAL AGGREGATION UNDER A TIME SERIES RANDOM COMPONENT MODEL pp. 167-181

John L. Eltinge

DATA AUGMENTATION AND DYNAMIC LINEAR MODELS pp. 183-202

Sylvia Frühwirth‐Schnatter

INFINITE VARIANCE STABLE ARMA PROCESSES pp. 203-220

Piotr S. Kokoszka and Murad S. Taqqu

DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION pp. 221-233

A. I. McLeod

PROFESSOR EDWARD JAMES HANNAN (1921–1994) pp. 234-234

M. B. Priestley

BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER pp. 235-250

Robert E. McCulloch and Ruey S. Tsay

DEVELOPMENTS IN TIME SERIES ANALYSIS, T. SUBBA RAO, EDITOR pp. 251-252

D. R. Cox

Volume 15, issue 1, 1994

RECOGNIZING OVERDIFFERENCED TIME SERIES pp. 1-18

Ming Chun Chang and David Dickey

(MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES pp. 19-30

Uwe Hassler

RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES pp. 31-43

A. Kadi, G. Oppenheim and M. C. Viano

AN ITERATIVE FILTERING ALGORITHM FOR NON‐FOURIER FREQUENCY ESTIMATION pp. 45-63

Benjamin Kedem and James Troendle

ACKNOWLEDGEMENT OF PRIORITY FOR “ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES” pp. 64-64

Clifford Hurvich and Kaizo I. Beltrao

NON‐LINEAR TIME SERIES MODELLING AND DISTRIBUTIONAL FLEXIBILITY pp. 65-84

Jeanette Lye and Vance Martin

A GENERAL METHOD FOR ESTIMATING THE VARIANCES OF X‐11 SEASONALLY ADJUSTED ESTIMATORS pp. 85-116

D. Pfeffermann

DISCRIMINANT ANALYSIS FOR STATIONARY VECTOR TIME SERIES pp. 117-126

Guoqiang Zhang and Masanobu Taniguchi