Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

From Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

ON LINEAR PROCESSES WITH GIVEN MOMENTS pp. 373-378: Jiří Anděl
AN AUTOMATIC NON‐PARAMETRIC SPECTRUM ESTIMATOR pp. 379-387: M. A. Cameron
DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS pp. 389-408: Dominique. Guegan
LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE pp. 409-424: Marc Hallin, Jean‐François Ingenbleek and Madan L. Puri
SLOWLY CHANGING PROCESSES AND HARMONIZABILITY pp. 425-431: Roselyne. Joyeux
EXPERIENCES WITH THE BRILLINGER SPECTRAL ESTIMATOR APPLIED TO SIMULATED IRREGULARLY OBSERVED PROCESSES pp. 433-442: Mike I. Moore, Andy W. Visser and Tim G. L. Shirtcliffe
EXACT LEAST SQUARES MULTI‐STEP PREDICTION FROM NONLINEAR AUTOREGRESSIVE MODELS pp. 443-448: John. Pemberton
WALSH‐FOURIER ANALYSIS OF DISCRETE‐VALUED TIME SERIES pp. 449-467: David S. Stoffer
ASYMPTOTIC SIMULTANEOUS CONFIDENCE BANDS FOR AUTOREGRESSIVE SPECTRAL DENSITY pp. 469-477: Ladislav. Tomášek
A NOTE ON NON‐STATIONARITY AND CANONICAL ANALYSIS OF MULTIPLE TIME SERIES MODELS pp. 479-487: Raja P. Velu, Dean W. Wichern and Gregory C. Reinsel

THE APPROXIMATE DENSITIES OF SOME QUADRATIC FORMS OF STATIONARY RANDOM VARIABLES pp. 249-259: Juan Abril
FIRST‐ORDER INTEGER‐VALUED AUTOREGRESSIVE (INAR(1)) PROCESS pp. 261-275: M. A. Al‐Osh and A. A. Alzaid
A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL pp. 277-281: K. S. Chan and H. Tong
ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTIONS OF SERIAL CORRELATIONS pp. 283-291: Kamal C. Chanda
ESTIMATION IN MULTIPLE AUTOREGRESSIVE‐MOVING AVERAGE MODELS USING PERIODICITY pp. 293-300: Tomáš Cipra and Pavel Tlustý
ON RISSANEN'S LOWER BOUND ON THE ACCUMULATED MEAN‐SQUARE PREDICTION ERROR pp. 301-309: Paul Kabaila
A FORMULA FOR THE INVERSE AUTOCORRELATION FUNCTION OF AN AUTOREGRESSIVE PROCESS pp. 311-312: Antti J. Kanto
A TEST FOR NON‐LINEARITY OF PREDICTION IN TIME SERIES pp. 313-327: C. O'Brien
TIME SERIES RESIDUALS WITH APPLICATION TO PROBABILITY DENSITY ESTIMATION pp. 329-344: P. M. Robinson
ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES pp. 345-357: Sándor Veres
IDENTIFICATION THEORY FOR VARYING COEFFICIENT REGRESSION MODELS1 pp. 359-371: Kent D. Wall

A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS pp. 125-130: Piero Barone
IMPROVING THE COMPUTATIONAL EFFICIENCY OF THE BAYESIAN DECOMPOSITION OF A TIME SERIES: A COMMENT pp. 131-133: Corrado Corradi and Claudia Scarani
MAXIMUM LIKELIHOOD ESTIMATION OF AUTOCOVARIANCE MATRICES FROM REPLICATED SHORT TIME SERIES pp. 135-146: Serge Degerine
REGRESSION MODELS FOR NON‐STATIONARY CATEGORICAL TIME SERIES pp. 147-160: Ludwig Fahrmeir and Heinz Kaufmann
A COMPARATIVE STUDY OF VARIOUS UNIVARIATE TIME SERIES MODELS FOR CANADIAN LYNX DATA pp. 161-176: K. S. Lim
A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL pp. 177-193: Agustin Maravall and David A. Pierce
SUR UN MODÉLE AUTORÉGRESSIF NON LINÉAIRE, ERGODICITÉ ET ERGODICITÉ GÉOMÉTRIQUE pp. 195-204: Abdelkader Mokkadem
SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES pp. 205-220: Boaz Porat
MULTIPLE BILINEAR TIME SERIES MODELS pp. 221-233: Boonchai K. Stensholt and Dag Tjøstheim
NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS pp. 235-247: S. Yakowitz

DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE pp. 1-14: Juha Ahtola and George C. Tiao
A NOTE ON ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH ROOTS ON THE UNIT CIRCLE pp. 15-19: Juha Ahtola and George C. Tiao
DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE pp. 21-38: Kaizô I. BeltraTo and Peter Bloomfield
DETECTION OF PERIODICITIES BY HIGHER‐ORDER CROSSINGS pp. 39-50: Benjamin Kedem
RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS pp. 51-60: Keith Knight
EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS pp. 61-78: Pham Dinh Tuan
THE ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS FOR A MULTIPLE AUTOREGRESSIVE PROCESS WITH ONE UNIT ROOT pp. 79-93: V. A. Samaranayake and David P. Hasza
ESTIMATION OF MULTIVARIATE TIME SERIES pp. 95-109: B. L. Shea
THIRD ORDER ASYMPTOTIC PROPERTIES OF BLUE AND LSE FOR A REGRESSION MODEL WITH ARMA RESIDUAL pp. 111-114: Masanobu Taniguchi
TIME SERIES ANALYSIS OF BOUNDED ECONOMIC VARIABLES pp. 115-123: Kenneth Wallis

WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?* pp. 235-254: T. W. Anderson and Akimichi Takemura
A PROCEDURE FOR OBTAINING M‐ESTIMATES IN REGRESSION MODELS WITH SERIALLY DEPENDENT ERRORS pp. 255-267: Don Coursey and Hans Nyquist
ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL pp. 269-278: Joseph D. Petruccelli
TEMPORAL AGGREGATION IN THE ARIMA PROCESS pp. 279-292: Daniel O. Stram and William W. S. Wei
A METHODOLOGICAL NOTE ON THE DISAGGREGATION OF TIME SERIES TOTALS pp. 293-302: Daniel O. Stram and William W. S. Wei
ON THE STABILITY OF A HETEROSCEDASTIC PROCESS pp. 303-310: Andrew A. Weis

ON THE ERGODICITY OF BILINEAR TIME SERIES MODELS pp. 157-163: S. I. Akamanam, M. Bhaskara Rao and K. Subramanyam
A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS pp. 165-178: Richard Ashley, Douglas M. Patterson and Melvin Hinich
ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS pp. 179-190: K. S. Chan and H. Tong
SOME THEORY ON M‐SMOOTHING OF TIME SERIES pp. 191-204: Wolfgang Härdle and Pham‐Dinh Tuan
COMPARISON OF SOME NON‐LINEAR AUTOREGRESSIVE PROCESSES pp. 205-211: Göran Högnäs
STATE TRANSITION SPECIFICATION IN STATE‐SPACE MODELS pp. 213-216: Piet de Jong
SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS pp. 217-233: Donald Poskitt and Andrew Tremayne

THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN pp. 79-104: R. J. Bhansali
A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES pp. 105-115: Deborah A. Guyton, Nien‐Fan Zhang and Robert V. Foutz
ON THE IDENTIFICATION OF SOME BILINEAR TIME SERIES MODELS pp. 117-122: Kuldeep Kumar
ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL pp. 123-131: Mohsen Pourahmadi
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS pp. 133-155: Pentti Saikkonen

A NOTE ON THE THRESHOLD AR(1) MODEL WITH CAUCHY INNOVATIONS pp. 1-5: Jiři Anděl and Tomáŝ Bartoň
TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES pp. 7-20: D. S. Coates and P. J. Diggle
THE SUM OF FINITE MOVING AVERAGE PROCESSES pp. 21-25: John Darroch, Miloslav Jiřina and John McDonald
REGRESSION, AUTOREGRESSION MODELS pp. 27-49: E. J. Hannan and L. Kavalieris
SOME DOUBLY STOCHASTIC TIME SERIES MODELS pp. 51-72: Dag Tjøstheim
A FREQUENCY DOMAIN APPROACH TO LAGRANGE MULTIPLIER TEST FOR AUTOREGRESSIVE MOVING AVERAGE MODELS pp. 73-78: Pham Dinh Tuan