Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

From Wiley Blackwell
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THE PREDICTIVE PERFORMANCE OF THREE AUTOREGRESSIVE MOVING‐AVERAGE MODELS:A MONTE CARLO INVESTIGATION pp. 301-314: John T. Batts and Robert McNown
ON EMBEDDING A DISCRETE‐PARAMETER ARMA MODEL IN A CONTINUOUS‐PARAMETER ARMA MODEL pp. 315-323: S. W. He and J. G. Wang
FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS pp. 325-339: Sergio Koreisha and Tarmo Pukkila
ON THE EXISTENCE OF A GENERAL MULTIPLE BILINEAR TIME SERIES pp. 341-355: Jian Liu
IDENTIFYING MULTIVARIATE TIME SERIES MODELS pp. 357-372: Ruey S. Tsay
A SIMULATION METHOD FOR NON‐NORMAL RANDOM PROCESSES pp. 373-374: Gu Xinjian and Huang Yiyun
A CENTRAL LIMIT THEOREM OF FOURIER TRANSFORMS OF STRONGLY DEPENDENT STATIONARY PROCESSES pp. 375-383: Yoshihiro Yajima
Non‐Linear and Non‐Stationary Time Series Analysis pp. 385-386: G. Tunnicliffe‐Wilson

SPECTRAL DISCRIMINATION FOR TWO GROUPS OF TIME SERIES pp. 203-214: Javier Alagón
ESTIMATION OF THE MOVING‐AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING pp. 215-232: R. J. Bhansali
ON GENERALIZED FRACTIONAL PROCESSES pp. 233-257: Henry L. Gray, Nien‐Fan Zhang and Wayne A. Woodward
IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS pp. 259-270: Luiz Hotta
THE ESTIMATION OF THE ORDER OF AN AUTOREGRESSION USING RECURSIVE RESIDUALS AND CROSS‐VALIDATION pp. 271-281: L. Kavalieris
ESTIMATION OF AUTOREGRESSIVE MOVING‐AVERAGE MODELS VIA HIGH‐ORDER AUTOREGRESSIVE APPROXIMATIONS pp. 283-299: Bo Wahlberg

FORECASTING EXPONENTIAL AUTOREGRESSIVE MODELS OF ORDER 1 pp. 95-113: M. S. Al‐Qassam and J. A. Lane
SPECTRAL ESTIMATION AND DECONVOLUTION FOR A LINEAR TIME SERIES MODEL pp. 115-129: Yudianto Pawitan and R. H. Shumway
REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL pp. 131-147: Andy Pole and Mike West
ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES pp. 149-169: Mohsen Pourahmadi
A COMPOSITE LINEAR MODEL GENERATING A STATIONARY STOCHASTIC PROCESS WITH GIVEN THIRD‐ORDER AUTOCORRELATION FUNCTION pp. 171-181: Fuminori Sakaguchi and Hideaki Sakai
THE ESTIMATION OF SPECTRUM, INVERSE SPECTRUM AND INVERSE AUTOCOVARIANCES OF A STATIONARY TIME SERIES pp. 183-202: T. Subba Rao and M. M. Gabr

NON‐NEGATIVE AUTOREGRESSIVE PROCESSES pp. 1-11: Jiří Anděl
THE RESOLUTION OF CLOSELY ADJACENT SPECTRAL LINES pp. 13-31: E. J. Hannan and B. G. Quinn
A SIMPLE CONDITION FOR THE EXISTENCE OF SOME STATIONARY BILINEAR TIME SERIES pp. 33-39: Jian Liu
CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY pp. 41-63: Guy Mélard and Annie Herteleer‐ de Schutter
AUTOREGRESSIVE PROCESSES WITH NORMAL STATIONARY DISTRIBUTIONS pp. 65-70: Joseph D. Petruccelli
ESTIMATING THE NUMBER OF TERMS IN A SINUSOIDAL REGRESSION pp. 71-75: B. G. Quinn
A NEW VERSION OF STRUCTURAL PERSISTENCE IN PREDICTION pp. 77-93: Adi Raveh

ON THE EXISTENCE OF THE STATIONARY AND ERGODIC NEAR(p) MODEL pp. 319-328: Kung‐sik Chan
MODELS THAT GENERATE TRENDS pp. 329-343: Clive Granger
SOME PROPERTIES OF CONDITIONAL QUASI‐LIKELIHOOD FUNCTIONS FOR TIME SERIES MODEL FITTING pp. 345-353: Mituaki Huzii
ON THE LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING‐AVERAGE MODELS pp. 355-359: Greta M. Ljung
PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS pp. 361-383: V. A. Samaranayake and David P. Hasza
YULE‐WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER‐ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS pp. 385-401: S. A. O. Sesay and T. Subba Rao
A NOTE ON THE GENERATION OF INDEPENDENT REALIZATIONS OF A VECTOR AUTOREGRESSIVE MOVING‐AVERAGE PROCESS pp. 403-410: B. L. Shea
A LIMITING PROPERTY OF SAMPLE AUTOCOVARIANCES OF PERIODICALLY CORRELATED PROCESSES WITH APPLICATION TO PERIOD DETERMINATION pp. 411-417: C. J. Tian

EFFICIENT ESTIMATION OF NONSTATIONARY TIME SERIES REGRESSION pp. 201-214: Andrew Harvey and P. M. Robinson
ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS pp. 215-220: M. S. Peiris and B. J. C. Perera
DISCRIMINATING BETWEEN TWO SPECTRAL DENSITIES IN CASE OF REPLICATED OBSERVATIONS pp. 221-224: Benedikt Pötscher and E. Reschenhofer
STATIONARITY OF THE SOLUTION OF Xt= AtXt‐1+εt AND ANALYSIS OF NON‐GAUSSIAN DEPENDENT RANDOM VARIABLES pp. 225-239: Mohsen Pourahmadi
A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS pp. 241-245: B. G. Quinn
NON‐LINEAR TIME SERIES ANALYSIS OF BLOWFLY POPULATION pp. 247-263: Ruey S. Tsay
ESTIMATION OF AUTOREGRESSIVE PARAMETERS AND ORDER SELECTION FOR ARMA MODELS pp. 265-279: Pham Dinh Tuan
SUBORDINATION OF STATIONARY PROCESSES pp. 281-299: E. Willekens and J. L. Teugels
AN ALTERNATIVE CONSISTENT PROCEDURE FOR DETECTING HIDDEN FREQUENCIES pp. 301-317: Chen Zhao‐Guo

A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS pp. 109-119: Bovas Abraham and Nihal Yatawara
ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS pp. 121-131: Tim Bollerslev
ON A CLASS OF NONSTATIONARY PROCESSES pp. 133-154: H. L. Gray and Nien Fan Zhang
ARMA MODELLING WITH NON‐GAUSSIAN INNOVATIONS pp. 155-168: W. K. Li and A. I. McLeod
TESTING SEPARATE TIME SERIES MODELS pp. 169-189: Michael McAleer, Colin McKenzie and Anthony Hall
ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG‐MEMORY NOISE pp. 191-200: Alexander Samarov and Murad S. Taqqu

ON THE ESTIMATION OF THE INVERSE CORRELATION FUNCTION pp. 1-10: Francesco Battaglia
ON THE THIRD‐ORDER MOMENT STRUCTURE AND BISPECTRAL ANALYSIS OF SOME BILINEAR TIME SERIES pp. 11-20: M. M. Gabr
TIME DELAY ESTIMATION pp. 21-33: E. J. Hannan and P. J. Thomson
ESTIMATION IN LONG‐MEMORY TIME SERIES MODEL pp. 35-41: R. L. Kashyap and Kie‐Bum Eom
PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS‐SPECIFIED MODELS pp. 43-57: Richard A. Lewis and Gregory C. Reinsel
STRUCTURAL, DYNAMIC MODELLING IN UNOBSERVABLE SPACES OF COVARIANCE‐STATIONARY STOCHASTIC PROCESSES pp. 59-72: Pieter W. Otter
ASYMPTOTIC MEAN SQUARE PREDICTION ERROR FOR A MULTIVARIATE AUTOREGRESSIVE MODEL WITH RANDOM COEFFICIENTS pp. 73-80: D. Ray
AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL pp. 81-88: Thomas S. Shively
MARGINALS OF MULTIVARIATE FIRST‐ORDER AUTOREGRESSIVE TIME SERIES MODELS pp. 89-97: Antonie Stam and Steven C. Hillmer
ESTIMATION FOR NON‐LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS pp. 99-108: A. Thavaneswaran and B. Abraham