Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 14, issue 6, 1993

EXACT GENERAL‐LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW‐LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE pp. 551-574

Oliver D. Anderson

ESTIMATION AND BLIND DECONVOLUTION OF AUTOREGRESSIVE SYSTEMS WITH NONSTATIONARY BINARY INPUTS pp. 575-588

Ta‐Hsin Li

AN INNOVATION STATE SPACE APPROACH FOR TIME SERIES FORECASTING pp. 589-601

Gaëtan Libert, Liang Wang and Bao Liu

THE RECURSIVE FITTING OF SUBSET VARX MODELS pp. 603-619

Jack H. W. Penm, Jammie H. Penm and R. D. Terrell

THE DETERMINATION OF THE NUMBER OF TERMS IN A MULTICHANNEL SINUSOIDAL REGRESSION pp. 621-628

Hideaki Sakai

MAXIMUM LIKELIHOOD ESTIMATION FOR AUTOREGRESSIVE PROCESSES DISTURBED BY A MOVING AVERAGE pp. 629-643

Dong Wan Shin

FORECASTING OF MULTIVARIATE PERIODIC AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES pp. 645-657

Taylan A. Ula

Volume 14, issue 5, 1993

BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES pp. 441-454

John Geweke and Nobuhiko Terui

ASYMPTOTICS FOR THE LOW‐FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG‐MEMORY TIME SERIES pp. 455-472

Clifford Hurvich and Kaizo I. Beltrao

ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES pp. 473-484

Paul Kabaila

TRANSFER FUNCTION ESTIMATION pp. 485-496

L. Kavalieris

ON THE UNIMODALITY OF THE EXACT LIKELIHOOD FUNCTION FOR NORMAL AR(2) SERIES pp. 497-509

M. Minozzo and A. Azzalini

MODELING LONG‐MEMORY PROCESSES FOR OPTIMAL LONG‐RANGE PREDICTION pp. 511-525

Bonnie K. Ray

CONTINUOUS‐TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS pp. 527-545

Hermann Singer

NON‐SINGULARITY OF FISHER INFORMATION FOR AUTOREGRESSIVE MOYING‐AVERAGE PROCESSES pp. 547-548

Xiaobao Wang

THE PERIODOGRAM REGRESSION pp. 549-549

Uwe Hassler

CORRECTION TO “THE DISTRIBUTION OF NONSTATIONARY AUTOREGRESSIVE PROCESSES UNDER GENERAL NOISE CONDITIONS,” pp. 550-550

J. C. Spall

Volume 14, issue 4, 1993

TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION pp. 331-345

Yin-Wong Cheung

ON THE PROBABILITY OF ERROR WHEN USING A GENERAL AKAIKE‐TYPE CRITERION TO ESTIMATE AUTOREGRESSION ORDER pp. 347-368

Peter Hall and Jeffrey D. Hart

REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES pp. 369-380

Uwe Hassler

VARIANCE ESTIMATION FOR QUADRATIC STATISTICS pp. 381-395

B. Smith and C. Field

NON‐PARAMETRIC APPROACH IN TIME SERIES ANALYSIS pp. 397-408

Masanobu Taniguchi and Masao Kondo

SPECTRAL ANALYSIS FOR AMPLITUDE‐MODULATED TIME SERIES pp. 409-432

Clélia M. C. Toloi and Pedro A. Morettin

AN AIC TYPE ESTIMATOR FOR THE NUMBER OF COSINUSOIDS pp. 433-440

Xiaobao Wang

Volume 14, issue 3, 1993

EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS pp. 221-234

Bovas Abraham and Alice Chuang

BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER pp. 235-246

Christos Agiakloglou, Paul Newbold and Mark Wohar

ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS pp. 247-260

Jushan Bai

THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS pp. 261-269

Luiz Hotta and J. Cardosc Neto

A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION pp. 271-279

Clifford Hurvich and Chih‐Ling Tsai

YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS pp. 281-296

Rob Hyndman

NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES WITH INFINITE VARIANCE pp. 297-304

Dankit Nassiuma

ON THE INVERTIBILITY OF MULTIVARIATE LINEAR PROCESSES pp. 305-316

Saïd Nsiri and Roch Roy

THE DISTRIBUTION OF NONSTATIONARY AUTOREGRESSIVE PROCESSES UNDER GENERAL NOISE CONDITIONS pp. 317-330

James C. Spall

Volume 14, issue 2, 1993

A TIME SERIES MODEL WITH SUDDENLY CHANGING PARAMETERS pp. 111-123

Jiří Anděl

ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R2 MEASURE BY AUTOREGRESSIVE MODEL FITTING pp. 125-146

R. J. Bhansali

ON‐LINE FREQUENCY ESTIMATION pp. 147-161

E. J. Hannan and D. Huang

A COMPUTATIONAL METHOD FOR ESTIMATING DENSITIES OF NON‐GAUSSIAN NONSTATIONARY UNIVARIATE TIME SERIES pp. 163-178

P. E. Hodges and D. F. Hale

ESTIMATION FOR REGRESSIVE AND AUTOREGRESSIVE MODELS WITH NON‐NEGATIVE RESIDUAL ERRORS pp. 179-191

An Hong‐Zhi and Huang Fuchun

ESTIMATION OF THE PERIOD OF PERIODICALLY CORRELATED SEQUENCES pp. 193-205

Donald E. K. Martin and Benjamin Kedem

A NOTE ON ARMA MODEL PARAMETER REDUNDANCY pp. 207-208

A. I. McLeod

POWER OF THE NEURAL NETWORK LINEARITY TEST pp. 209-220

Timo Teräsvirta, Chien‐Fu Lin and Clive Granger

Volume 14, issue 1, 1993

ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES pp. 1-18

P. L. Anderson and A. V. Vecchia

APPROXIMATE SIMULTANEOUS SIGNIFICANCE INTERVALS FOR RESIDUAL AUTOCORRELATIONS OF AUTOREGRESSIVE MOVING‐AVERAGE TIME SERIES MODELS pp. 19-26

J. R. M. Hosking and Nalini Ravishanker

ESTIMATION OF THE NON‐STATIONARY FACTOR IN ARUMA MODELS pp. 27-46

D. Huang and V. V. Anh

DETERMINING THE ORDER OF A VECTOR AUTOREGRESSION WHEN THE NUMBER OF COMPONENT SERIES IS LARGE pp. 47-69

Sergio G. Koreisha and Tarmo Pukkila

ESTIMATION FOR NONNEGATIVE AUTOREGRESSIVE PROCESSES WITH AN UNKNOWN LOCATION PARAMETER pp. 71-92

William P. McCormick and George Mathew

GEOMETRIC ERGODICITY OF A DOUBLY STOCHASTIC TIME SERIES MODEL pp. 93-108

Sean P. Meyn and Lei Guo

Volume 13, issue 6, 1992

EMPIRICAL EVIDENCE ON DICKEY‐FULLER‐TYPE TESTS pp. 471-483

Christos Agiakloglou and P. Newbold

PARTIAL AUTOCORRELATION PROPERTIES FOR NON‐STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS pp. 485-500

O. D. Anderson

A TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME SERIES MODELS pp. 501-519

A. K. Bera and M. L. Higgins

FREQUENCY‐DOMAIN ESTIMATION OF BILINEAR TIME SERIES MODELS pp. 521-545

S. A. O. Sesay and T. Subba Rao

CLASSIFICATION OF TEXTURES USING SECOND‐ORDER SPECTRA pp. 547-562

J. Yuan and T. Subba Rao

Volume 13, issue 5, 1992

TIME‐REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES pp. 377-390

F. J. Breidt and R. A. Davis

DETECTING SINUSOIDS IN NON‐GAUSSIAN NOISE pp. 391-409

K.‐S. Lii and T.‐H. Tsou

STATE SPACE MODELS WITH DIFFUSE INITIAL CONDITIONS pp. 411-414

Pablo Marshall

ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP pp. 415-434

Efstathios Paparoditis and Bernd Streitberg

TESTING FOR WHITE NOISE AGAINST MULTIMODAL SPECTRAL ALTERNATIVES pp. 435-439

E. Reschenhofer and I. M. Bomze

SPECTRAL ANALYSIS OF STATIONARY POINT PROCESSES USING THE FAST FOURIER TRANSFORM ALGORITHM pp. 441-450

A. G. Rigas

REDUCTION OF THE ASYMPTOTIC BIAS OF AUTOREGRESSIVE AND SPECTRAL ESTIMATORS BY TAPERING pp. 451-469

H.‐C. Zhang

Volume 13, issue 4, 1992

NON‐NEGATIVE AUTOREGRESSIVE MODELS pp. 283-295

An Hong‐zhi

BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS pp. 297-317

Jens‐Peter Kreiss and Jürgen Franke

SPECTRAL RADIUS, KRONECKER PRODUCTS AND STATIONARITY pp. 319-325

Jian Liu

REPARAMETRIZATION ASPECTS OF NUMERICAL BAYESIAN METHODOLOGY FOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS pp. 327-343

J. M. Marriott and A. F. M. Smith

COMPUTATION OF CANONICAL CORRELATION BETWEEN PAST AND FUTURE OF A TIME SERIES pp. 345-351

Mohsen Pourahmadi and A. G. Miamee

VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING pp. 353-375

Gregory C. Reinsel and Sung K. Ahn

Volume 13, issue 3, 1992

DATA‐DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS pp. 189-207

P. Burman and D. Nolan

KERNEL REGRESSION SMOOTHING OF TIME SERIES pp. 209-232

Wolfgang Härdle and Philippe Vieu

A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION pp. 233-252

Melvin Hinich and Douglas M. Patterson

REVERSED RESIDUALS IN AUTOREGRESSIVE TIME SERIES ANALYSIS pp. 253-266

A. J. Lawrance and P. A. W. Lewis

‘PURIFYING’ NOISY SIGNALS pp. 267-280

A. Rabinovitch and R. Thieberger

Volume 13, issue 2, 1992

ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES pp. 95-107

Peter J. Brockwell, Jian Liu and Richard L. Tweedie

TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS pp. 109-118

Roselyne Joyeux

ON THE STABILITY OF A THRESHOLD AR(1) WITHOUT INTERCEPTS pp. 119-132

K. S. Lim

MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING‐AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT pp. 133-145

Gregory C. Reinsel, Sabyasachi Basu and Sook Fwe Yap

APPROXIMATE DISTRIBUTION OF PARAMETER ESTIMATORS FOR FIRST‐ORDER AUTOREGRESSIVE MODELS pp. 147-170

Dinh Pham Tuan

ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES pp. 171-188

Guofu Zhou

Volume 13, issue 1, 1992

RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS pp. 1-18

Hector Allende and Siegfried Heiler

NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE pp. 19-28

Ngai Hang Chan and Lanh Tat Tran

JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS pp. 29-45

Alastair Hall

ADAPTIVE SEMIPARAMETRIC ESTIMATION IN THE PRESENCE OF AUTOCORRELATION OF UNKNOWN FORM pp. 47-78

F. Javier Hidalgo

THRESHOLD TIME SERIES MODELS AS MULTIMODAL DISTRIBUTION JUMP PROCESSES pp. 79-94

Vance Martin