Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

From Wiley Blackwell
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Volume 6, issue 4, 1985

FORECASTING TIME SERIES:A COMPARATIVE ANALYSIS OF ALTERNATIVE CLASSES OF TIME SERIES MODELS pp. 203-211

Phillip A. Cartwright

ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETT'S Up‐STATISTIC pp. 213-227

Rainer Dahlhaus

ON THE UNBIASEDNESS PROPERTY OF AIC FOR EXACT OR APPROXIMATING LINEAR STOCHASTIC TIME SERIES MODELS pp. 229-252

D. F. Findley

ON AN OPTIMALITY PROPERTY OF WHITTLE'S GAUSSIAN ESTIMATE OF THE PARAMETER OF THE SPECTRUM OF A TIME SERIES pp. 253-259

Reg Kulperger

CENTRAL LIMIT THEOREMS FOR FINITE WALSH‐FOURIER TRANSFORMS OF WEAKLY STATIONARY TIME SERIES pp. 261-267

David S. Stoffer

NOTE ON THE KALMAN FILTER WITH ESTIMATED PARAMETERS pp. 269-278

N. Watanabe

Volume 6, issue 3, 1985

A UNIFIED APPROACH TO CONFIDENCE BOUNDS FOR THE AUTOREGRESSIVE SPECTRAL ESTIMATOR pp. 141-151

Judith W. Koslov and Richard H. Jones

TRANSFER FUNCTION MODEL ORDER AND PARAMETER ESTIMATION pp. 153-169

Keh‐Shin Lii

MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS pp. 171-180

Timo Teräsvirta

THE STABILITY OF THE AR(1) PROCESS WITH AN AR(1) COEFFICIENT pp. 181-186

Andrew A. Weiss

ASYMPTOTIC PROPERTIES OF THE SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS OF A MULTIPLICATIVE ARIMA PROCESS pp. 187-201

Yoshihiro Yajima

Volume 6, issue 2, 1985

SPECTRAL DENSITY ESTIMATION FROM NONLINEARLY OBSERVED DATA pp. 63-80

D. F. Gingras and E. Masry

EXAMPLES OF THE EVOLUTIONARY SPECTRUM THEORY pp. 81-90

Guy Mélard

FIRST ORDER AUTO‐REGRESSIVE MODEL PARAMETER ESTIMATION WITH PERIODIC OBSERVATIONS pp. 91-95

D. N. P. Murthy

ASYMPTOTIC BEHAVIOUR OF DISCRETE LINEAR PROCESSES pp. 97-108

U. Stadtmüller and R. Trautner

IDENTIFICATION OF NOISY LINEAR SYSTEMS WITH MULTIPLE ARMA INPUTS pp. 109-115

Harry H. Tigelaar

LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE pp. 117-133

Dag Tjøstheim and Jostein Paulsen

ADDITIVE ELEMENTS OF ARMA MODELS pp. 135-140

Joe Whittaker

Volume 6, issue 1, 1985

RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS pp. 1-14

Paul D. Feigin and Richard L. Tweedie

CONDITIONING IN DYNAMIC MODELS pp. 15-34

J.‐P. Florens and M. Mouchart

COMPARISON OF CRITERIA FOR ESTIMATING THE ORDER OF A VECTOR AUTOREGRESSIVE PROCESS pp. 35-52

Helmut Lütkepohl

THE ASYMPTOTIC EFFICIENCY OF A LINEAR PROCEDURE OF ESTIMATION FOR ARMA MODELS pp. 53-62

Chen Zhao‐Guo

Volume 5, issue 4, 1984

A NOTE ON THE COMPUTATION OF THE BAYESIAN DECOMPOSITION OF A TIME SERIES pp. 205-212

Corrado Corradi and C. Scarani

ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES pp. 213-225

David F. Findley

ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE pp. 227-244

Jurgen Franke

COMPUTATIONALLY EFFICIENT IMPLEMENTATION OF A BAYESIAN SEASONAL ADJUSTMENT PROCEDURE pp. 245-253

Makio Ishiguro

A KALMAN FILTER APPROACH TO THE FORECASTING OF MONTHLY TIME SERIES AFFECTED BY Morris Festivals pp. 255-268

N. D. Morris and D. Pfeffermann

THE AUTOCORRELATION FUNCTION OF SEASONAL ARMA MODELS pp. 269-272

Daniel Peña

A NOTE ON SOME STATISTICS USEFUL IN IDENTIFYING THE ORDER OF AUTOREGRESSIVE MOVING AVERAGE MODEL pp. 273-279

Pham Dinh Tuan

Volume 5, issue 3, 1984

ON THE CHOICE OF THE ORDER OF AUTOREGRESSIVE MODELS: A RANKING AND SELECTION APPROACH pp. 145-157

Quang Phuc Duong

A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME‐AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES pp. 159-171

E. M. R. A. Engel

ON THE AUTOCORRELATION STRUCTURE AND IDENTIFICATION OF SOME BILINEAR TIME SERIES pp. 173-181

W. K. Li

A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION pp. 183-204

D. Piccolo and G. Tunnicliffe Wilson

Volume 5, issue 2, 1984

A STUDY OF THE APPLICATION OF STATE‐DEPENDENT MODELS IN NON‐LINEAR TIME SERIES ANALYSIS pp. 69-102

V. Haggan, S. M. Heravi and M. B. Priestley

ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS pp. 103-113

V. Haggan and O. B. Oyetunji

ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS pp. 115-127

Jostein Paulsen

ARMA MODELS WITH ARCH ERRORS pp. 129-143

Andrew A. Weiss

Volume 5, issue 1, 1984

IDENTIFIABILITY IN DYNAMIC ERRORS‐IN‐VARIABLES MODELS pp. 1-13

B. D. O. Anderson and M. Deistler

A FURTHER NOTE ON THE DETECTION OF GRANGER INSTANTANEOUS CAUSALITY pp. 15-18

Allan P. Layton

MULTIPLICATIVE EXPONENTIAL MODELS FOR STATIONARY TIME SERIES pp. 19-35

Anders Milhøj

VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES pp. 37-51

Masanobu Taniguchi

THE ESTIMATION OF PARAMETERS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS pp. 53-68

Pham Dinh Tuan

Volume 4, issue 4, 1983

A NOTE ON APPROXIMATING THE DISTRIBUTION OF THE DURBIN‐WATSON STATISTIC pp. 217-220

Mukhtar M. Ali

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS pp. 221-238

John Geweke and Susan Porter‐Hudak

A STATISTICAL APPROACH TO DIFFERENCE‐DELAY EQUATION MODELLING IN ECOLOGY–TWO CASE STUDIES1 pp. 239-267

K. S. Lim and H. Tong

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS pp. 269-273

A. I. McLeod and W. K. Li

Volume 4, issue 3, 1983

ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION pp. 137-162

R. J. Bhansali

SPECTRAL ANALYSIS WITH TAPERED DATA pp. 163-175

Rainer Dahlhaus

A METHOD FOR DIAGNOSTIC CHECKING OF TIME SERIES MODELS pp. 177-183

Per Hokstad

NONPARAMETRIC ESTIMATORS FOR TIME SERIES pp. 185-207

P. M. Robinson

ON THE DISTRIBUTION OF A SIMPLE STATIONARY BILINEAR PROCESS pp. 209-216

Wang Shou‐Ren, An Hong‐Zhi and H. Tong

Volume 4, issue 2, 1983

INVERSE AUTOCOVARIANCES AND A MEASURE OF LINEAR DETERMINISM FOR A STATIONARY PROCESS pp. 79-87

Francesco Battaglia

ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE PROCESS: AN EMPIRICAL BAYES APPROACH pp. 89-94

W. K. Li and Y. V. Hui

ON THE EXISTENCE OF SOME BILINEAR TIME SERIES MODELS pp. 95-110

M. Bhaskara Rao, T. Subba Rao and A. M. Walker

GENERALIZED SEASONAL ARIMA PROCESSES: REGULARITY/SINGULARITY CRITERIA AND LINEAR PREDICTION pp. 111-126

B. Truong‐ Van

ESTIMATION OF LINEAR REGRESSION MODEL WITH AUTOCORRELATED DISTURBANCES pp. 127-135

A. Ullah, V. K. Srivastava, Lonnie Magee and A. Srivastava

Volume 4, issue 1, 1983

COMPONENTS OF PREDICTION ERRORS FOR A STATIONARY PROCESS WITH ESTIMATED PARAMETERS pp. 1-8

Stergios Fotopoulos and W. D. Ray

A NOTE ON ARMA ESTIMATION pp. 9-17

An Hong‐Zhi, Chen Zhao‐Guo and E. J. Hannan

STATIONARY DISCRETE AUTOREGRESSIVE‐MOVING AVERAGE TIME SERIES GENERATED BY MIXTURES pp. 19-36

P. A. Jacobs and P. A. W. Lewis

ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS pp. 37-47

Paul Kabaila

A NOTE ON A CENTRAL LIMIT THEOREM FOR STATIONARY PROCESSES pp. 49-52

Pedro A. Morettin

ON q‐CONDITIONED PARTIAL CORRELATIONS pp. 53-55

P. Newbold and T. Bos

ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTION OF AN ESTIMATOR IN THE FIRST‐ORDER AUTOREGRESSIVE PROCESS pp. 57-67

Yoshimichi Ochi

ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS pp. 69-78

Pentti Saikkonen