Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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AN EXPLICIT NEARLY UNBIASED ESTIMATE OF THE AR(1) PARAMETER FOR REPEATED MEASUREMENTS pp. 273-281: A. Azzalini and A. C. Frigo
INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS pp. 283-300: William Bell and Steven Hillmer
STATIONARITY AND CENTRAL LIMIT THEOREM ASSOCIATED WITH BILINEAR TIME SERIES MODELS pp. 301-313: Kamal C. Chanda
A LINEAR ESTIMATION PROCEDURE FOR THE PARAMETERS OF AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES pp. 315-327: Shean‐Tsong Chiu
LONG‐RANGE DEPENDENCE, NON‐LINEARITY AND TIME IRREVERSIBILITY pp. 329-335: D. R. Cox
GRAPHICAL METHODS FOR DETERMINING THE PRESENCE OF PERIODIC CORRELATION pp. 337-350: Harry L. Hurd and Neil L. Gerr
CONSISTENT ESTIMATION OF THE ASYMPTOTIC COVARIANCE STRUCTURE OF MULTIVARIATE SERIAL CORRELATIONS pp. 351-361: Guy Melard, Marianne Paesmans and Roch Roy
A METHODOLOGY FOR SELECTING SUBSET AUTOREGRESSIVE TIME SERIES MODELS pp. 363-373: Gwo‐Hsing Yu and Yow‐Chang Lin

ESTIMATION OF THE PARAMETERS OF AN EAR(p) PROCESS pp. 179-192: L. Billard and Fouad Y. Mohamed
ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES pp. 193-205: Byoung Seon Choi
NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES pp. 207-224: Clive Granger and Jeff Hallman
PROFILE SUMMARIES FOR ARIMA TIME SERIES MODEL PARAMETERS pp. 225-235: Raymond L. H. Lam and Donald G. Watts
OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST‐ORDER AUTOREGRESSIVE PROCESSES pp. 237-253: Piotr W. Mikulski and Michael J. Monsour
FORECASTING GLOBAL ICE VOLUME pp. 255-265: H. Joseph Newton, Gerald R. North and Thomas J. Crowley
A RELATION FOR ‘LINEARITY’ OF THE BISPECTRUM pp. 267-272: Fuminori Sakaguchi

STRONG CONSISTENCY AND ASYMPTOTIC NORMALITY OF /1 ESTIMATES OF THE AUTOREGRESSIVE MOVING‐AVERAGE MODEL pp. 95-104: William T. M. Dunsmuir and Nancy M. Spencer
ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS pp. 105-127: Carlo Grillenzoni
THE INTEGER‐VALUED AUTOREGRESSIVE (INAR(p)) MODEL pp. 129-142: Du Jin‐Guan and Li Yuan
STABLE ALGORITHMS FOR THE STATE SPACE MODEL pp. 143-157: Piet De Jong
DIFFERENCE EQUATIONS FOR HIGHER‐ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1) pp. 159-177: S. A. O. Sesay and T. Subba Rao

A STATE SPACE TIME SERIES MODELLING METHOD WITHOUT INDIVIDUAL DETRENDING pp. 1-26: Masanao Aoki
PARAMETER ESTIMATION IN EXPONENTIAL MODELS pp. 27-40: Qiansheng Cheng
THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS pp. 41-62: James Davidson
CONSISTENT ESTIMATION OF THE FOURTH‐ORDER CUMULANT SPECTRAL DENSITY pp. 63-71: Peter T. Kim
ON THE SPECTRAL DENSITY MATRIX OF A PERIODIC ARMA PROCESS pp. 73-82: Hideaki Sakai
HIGHER‐ORDER ASYMPTOTIC PROPERTIES OF A WEIGHTED ESTIMATOR FOR GAUSSIAN ARMA PROCESSES pp. 83-93: Myint Swe and Masanobu Taniguchi

FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS pp. 275-293: Craig F. Ansley and Robert Kohn
LEVINSON‐TYPE RECURSIVE ALGORITHMS FOR LEAST‐SQUARES AUTOREGRESSION pp. 295-315: Dawei Huang
OUTLIER DIAGNOSTICS IN TIME SERIES ANALYSIS pp. 317-324: Johannes Ledolter
SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA pp. 325-337: M. S. Mackisack and Donald Poskitt
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL pp. 339-347: Neil Shephard and Andrew Harvey
ORDERS AND INITIAL VALUES OF NON‐STATIONARY MULTIVARIATE ARMA MODELS pp. 349-359: A. L. Swift
STATIONARY PROCESSES WITH A FINITE NUMBER OF NON‐ZERO CANONICAL CORRELATIONS BETWEEN FUTURE AND PAST pp. 361-375: K. L. Vaninskii and A. M. Yaglom

A NOTE ON SQUARE ROOT FILTERING FOR VECTOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS pp. 181-183: Craig F. Ansley and Robert Kohn
GENERAL LINEAR PROCESSES:A PROPERTY OF THE EMPIRICAL PROCESS APPLIED TO DENSITY AND MODE ESTIMATION pp. 185-199: K. C. Chanda and F. H. Ruymgaart
THE ZERO‐CROSSING RATE OF AUTOREGRESSIVE PROCESSES AND ITS LINK TO UNIT ROOTS pp. 201-213: Shuyuan He and Benjamin Kedem
ESTIMATION FOR THE FIRST‐ORDER DIAGONAL BILINEAR TIME SERIES MODEL pp. 215-229: Won Kyung Kim, L. Billard and I. V. Basawa
FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE‐MOVING AVERAGE MODELS pp. 231-237: André Klein and Guy Mélard
PARAMETER IDENTIFICATION IN ARMA PROCESSES IN THE PRESENCE OF REGULAR BUT INCOMPLETE SAMPLING pp. 239-248: Theo Nijman and Franz Palm
BIASES OF ESTIMATORS IN MULTIVARIATE NON‐GAUSSIAN AUTOREGRESSIONS pp. 249-258: Alun Lloyd Pope
DIFFERENTIAL GEOMETRY OF ARMA MODELS pp. 259-274: Nalini Ravishanker, Edward L. Melnick and Chih‐Ling Tsai

ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL pp. 89-105: Javier Fernandez-Macho
SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH pp. 107-119: Dawei Huang
CROSS‐VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC pp. 121-137: Clifford Hurvich and Kaizô I. Beltrato
A GENERALIZED LEAST‐SQUARES APPROACH FOR ESTIMATION OF AUTOREGRESSIVE MOVING‐AVERAGE MODELS pp. 139-151: Sergio Koreisha and Tarmo Pukkila
A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS pp. 153-164: Domenico Piccolo
ESTIMATION OF AUTOREGRESSIVE MOVING‐AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES pp. 165-179: Benedikt Pötscher

ALARM CHARACTERISTICS FOR A FLOOD WARNING SYSTEM WITH DETERMINISTIC COMPONENTS pp. 1-18: Stig‐Inge Beckman, Jan Holst and Georg Lindgren
A CLASS OF MODELS FOR NON‐NORMAL TIME SERIES pp. 19-31: G. J. Janacek and A. L. Swift
NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON‐LINEAR AUTOREGRESSION pp. 33-48: R. Moeanaddin and Howell Tong
SIMULTANEOUS CONFIDENCE BANDS FOR THE SPECTRAL ESTIMATE OF TWO‐CHANNEL AUTOREGRESSIVE PROCESSES pp. 49-56: Hideaki Sakai and Fuminori Sakaguchi
MULTIVARIATE WALSH‐FOURIER ANALYSIS pp. 57-73: David S. Stoffer
SUBSET THRESHOLD AUTOREGRESSION WITH APPLICATIONS pp. 75-87: B. Y. Thanoon