Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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APPROXIMATE FILTERING OF PARAMETER DRIVEN PROCESSES pp. 219-223: A. Azzalini
ON‐LINE VARIANCE ESTIMATION FOR THE STEADY STATE BAYESIAN FORECASTING MODEL pp. 225-234: N. Cantarelis and F. R. Johnston
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA pp. 235-243: Helmut Lütkepohl
THE SIZE OF THE STATIONARITY AND INVERTIBILITY REGION OF AN AUTOREGRESSIVE‐MOVING AVERAGE PROCESS pp. 245-247: Domenico Piccolo
A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS pp. 249-252: B. G. Quinn
AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM pp. 253-264: R. H. Shumway and D. S. Stoffer
EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES pp. 265-282: Dag Tjøstheim and Jostein Paulsen

COMPARATIVE POWER STUDIES FOR GOODNESS OF FIT TESTS OF TIME SERIES MODELS pp. 141-151: B. R. Clarke and E. J. Godolphin
IDENTIFYING MULTIVARIATE TIME SERIES MODELS pp. 153-164: D. M. Cooper and E. F. Wood
SUFFICIENT STATISTICS FOR STATIONARY DISCRETE‐TIME GAUSSIAN RANDOM PROCESSES pp. 165-168: Bradley W. Dickinson
TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES pp. 169-176: Melvin Hinich
DETERMINING THE DEGREE OF DIFFERENCING FOR TIME SERIES VIA THE LOG SPECTRUM pp. 177-183: G. J. Janacek
Robust Hypothesis Testing and Robust Time Series Interpolation And Regression pp. 185-194: Saleem A. Kassam
ON THE COVARIANCE OF THE PERIODOGRAM pp. 195-207: Harald E. Krogstad
AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE pp. 209-217: John S. Tyssedal and Dag Tjøstheim

LYDIA PINKHAM DATA REMODELLED pp. 81-102: M. N. Bhattacharyya
ACRONYMS IN TIME SERIES ANALYSIS (ATSA) pp. 103-107: Clive Granger
NONLINEAR TIME SERIES REGRESSION FOR A CLASS OF AMPLITUDE MODULATED CONSINUSOIDS pp. 109-122: T. Hasan
TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS pp. 123-135: B. G. Quinn and D. F. Nicholls
A NOTE ON USING THRESHOLD AUTOREGRESSIVE MODELS FOR MULTI‐STEP‐AHEAD PREDICTION OF CYCLICAL DATA pp. 137-140: H. Tong

ESTIMATING THREE‐DIMENSIONAL ENERGY TRANSFER IN ISOTROPIC TURBULENCE* pp. 1-28: K. S. Lii, K. N. Helland and M. Rosenblatt
THE STATISTICAL ANALYSIS OF PERTURBED LIMIT CYCLE PROCESSES USING NONLINEAR TIME SERIES MODELS pp. 29-41: T. Ozaki
ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS pp. 43-59: Jack H. W. Penm and R. D. Terrell
THE MARKET MODEL, CAPM AND EFFICIENCY IN THE FREQUENCY DOMAIN pp. 61-79: Peter Praetz

CONFIDENCE INTERVALS FOR ROBUST ESTIMATES OF THE FIRST ORDER AUTOREGRESSIVE PARAMETER pp. 205-220: Jeffrey B. Birch and R. Douglas Martin
FINITE SAMPLE PREDICTION AND OVERDIFFERENCING pp. 221-232: Andrew Harvey
AN INVESTIGATION OF ANDREWS‘ PLOTS TO SHOW TIME VARIATION OF MODEL PARAMETERS pp. 233-262: Agnes M. Herzberg and J. S. Hickie
A TIME SERIES APPLICATION OF THE USE OF MONTE CARLO METHODS TO COMPARE STATISTICAL TESTS pp. 263-277: Donald Poskitt and Andrew Tremayne
A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME pp. 279-284: H. Tong

RANK TESTS FOR SERIAL DEPENDENCE pp. 117-128: Jean‐Marie Dufour
ESTIMATION OF PERIODICALLY VARYING MEANS AND STANDARD DEVIATIONS IN TIME SERIES DATA pp. 129-153: W. Dunsmuir
THE ESTIMATION AND PREDICTION OF SUBSET BILINEAR TIME SERIES MODELS WITH APPLICATIONS pp. 155-171: M. M. Gabr and T. Subba Rao
ACCURACY OF LINEAR SPECTRAL ESTIMATES OF BAND‐LIMITED SIGNALS pp. 173-184: William B. Gordon
THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II pp. 185-203: B. G. Quinn and D. F. Nicholls

REPLICATED OBSERVATIONS OF LOW ORDER AUTOREGRESSIVE TIME SERIES pp. 63-70: A. Azzalini
SPECTRAL RATIO DISCRIMINANTS AND INFORMATION THEORY pp. 71-86: G. R. Dargahi‐Noubary and P. J. Laycock
ESTIMATION OF COEFFICIENTS OF AN AUTOREGRESSIVE PROCESS BY USING A HIGHER ORDER MOMENT pp. 87-93: Mituaki Huzii
NECESSARY AND SUFFICIENT CONDITIONS FOR CAUSALITY TESTING IN MULTIVARIATE ARMA MODELS pp. 95-101: Heejoon Kang
A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER pp. 103-116: Genshiro Kitagawa

SOME ASPECTS OF MODELLING AND FORECASTING MULTIVARIATE TIME SERIES pp. 1-47: Gwilym M. Jenkins and Athar S. Alavi
A NOTE ON THE DISTRIBUTIONS OF NON‐LINEAR AUTOREGRESSIVE STOCHASTIC MODELS pp. 49-52: J. Pemberton and H. Tong
ROBUST REGRESSION AND INTERPOLATION FOR TIME SERIES pp. 53-62: Masanobu Taniguchi

ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS pp. 83-94: T. W. Anderson and Raúl P. Mentz
THE COMPARISON OF LEAST SQUARES AND THIRD‐ORDER PERIODOGRAM PROCEDURES IN THE ESTIMATION OF BIFREQUENCY pp. 95-102: David R. Brillinger
AUTOREGRESSIVE MOVING AVERAGE PROCESSES WITH NON‐NORMAL RESIDUALS pp. 103-109: Neville Davies, Trevor Spedding and William Watson
GROUP DELAY AND THE TIME‐LAG RELATIONSHIP BETWEEN STOCHASTIC PROCESSES pp. 111-118: Michael L. Deaton and Robert V. Foutz
A TIME‐SERIES TEST OF THE NATURAL‐RATE HYPOTHESIS pp. 119-133: Paul Evans
TIME SERIES ANALYSIS IN ACCOUNTING: A SURVEY AND ANALYSIS OF RECENT ISSUES pp. 135-144: W. S. Hopwood and P. Newbold
A TEST FOR LINEARITY OF STATIONARY TIME SERIES pp. 145-158: T. Subba Rao and M. M. Gabr

SEASONAL ADJUSTMENT BY A BAYESIAN MODELING pp. 1-13: Hirotugu Akaike
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING pp. 15-29: Clive Granger and Roselyne Joyeux
A NOTE ON RELATIONS BETWEEN SEASONALLY ADJUSTED VARIABLES pp. 31-35: Paul Newbold
THE ESTIMATION OF RANDOM COEFFICIENT AUTOREGRESSIVE MODELS. I pp. 37-46: D. F. Nicholls and B. G. Quinn
STATE‐DEPENDENT MODELS: A GENERAL APPROACH TO NON‐LINEAR TIME SERIES ANALYSIS pp. 47-71: M. B. Priestley
THE DISTRIBUTION OF PERIODOGRAM ORDINATES pp. 73-82: Chen Zhao‐Guo and E. J. Hannan