Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 38, issue 6, 2017

A Robbins–Monro Algorithm for Non-Parametric Estimation of NAR Process with Markov Switching: Consistency pp. 809-837

Lisandro Javier Fermin, Ricardo Rios and Luis Angel Rodriguez

Parametric Spectral Discrimination pp. 838-864

Andrew J. Grant and Barry G. Quinn

On Asymptotic Theory for ARCH (∞) Models pp. 865-879

Christian Hafner and Arie Preminger

Testing Parameter Change in General Integer-Valued Time Series pp. 880-894

Mamadou Lamine Diop and William Kengne

Moving Fourier Analysis for Locally Stationary Processes with the Bootstrap in View pp. 895-922

Franziska Häfner and Claudia Kirch

Penalised Complexity Priors for Stationary Autoregressive Processes pp. 923-935

Sigrunn Holbek Sørbye and Håvard Rue

A New Covariance Function and Spatio-Temporal Prediction (Kriging) for A Stationary Spatio-Temporal Random Process pp. 936-959

T. Subba Rao and Gyorgy Terdik

Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis pp. 960-980

Martin Wagner and Dominik Wied

A Model-Adaptive Test for Parametric Single-Index Time Series Models pp. 981-999

Qiang Xia, Kejun He and Cuizhen Niu

Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals pp. 1000-1009

Rickard Sandberg

Cointegrated Linear Processes in Hilbert Space pp. 1010-1027

Brendan Beare, Juwon Seo and Won-Ki Seo

Multi-Scale Detection of Variance Changes in Renewal Processes in the Presence of Rate Change Points pp. 1028-1052

Stefan Albert, Michael Messer, Julia Schiemann, Jochen Roeper and Gaby Schneider

Volume 38, issue 5, 2017

Issue Information pp. 637-638

Pierre Perron and Eduardo Zorita

Time Series Methods Applied to Climate Change pp. 639-639

Pierre Perron, Eduardo Zorita, Pierre Perron and Eduardo Zorita

Estimation and Inference of Linear Trend Slope Ratios With an Application to Global Temperature Data pp. 640-667

Pierre Perron, Eduardo Zorita, Timothy Vogelsang and Nasreen Nawaz

Analysis of Non-Stationary Modulated Time Series with Applications to Oceanographic Surface Flow Measurements pp. 668-710

Pierre Perron, Eduardo Zorita, Arthur P. Guillaumin, Adam M. Sykulski, Sofia C. Olhede, Jeffrey J. Early and Jonathan M. Lilly

Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures pp. 711-732

Pierre Perron, Eduardo Zorita, Francisco Estrada and Pierre Perron

Unit Root Tests and Heavy-Tailed Innovations pp. 733-768

Pierre Perron, Eduardo Zorita, Iliyan Georgiev, Paulo Rodrigues and Robert Taylor

Drift in Transaction-Level Asset Price Models pp. 769-790

Pierre Perron, Eduardo Zorita, Wen Cao, Clifford Hurvich and Philippe Soulier

Monitoring Parameter Constancy with Endogenous Regressors pp. 791-805

Pierre Perron, Eduardo Zorita and Eiji Kurozumi

State–Space Methods for Time Series Analysis: Theory, Applications and Software, by Jose Casals, Alfredo Garcia-Hiernaux, Miguel Jerez, Sonia Sotoca, and A. Alexandre Trindade. Published by CRC Press, 2016. Total number of pages: 270. ISBN: 9781482219593 pp. 806-806

Pierre Perron, Eduardo Zorita and Mohsen Pourahmadi

Volume 38, issue 4, 2017

On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space pp. 513-534

Giuseppe Cavaliere, Heino Bohn Nielsen and Anders Rahbek

QMLE for Quadratic ARCH Model with Long Memory pp. 535-551

Ieva Grublytė, Donatas Surgailis and Andrius Škarnulis

Detecting at-Most-m Changes in Linear Regression Models pp. 552-590

Lajos Horvath, William Pouliot and Shixuan Wang

A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series pp. 591-609

Gregory Rice and Han Lin Shang

Testing for Panel Cointegration Using Common Correlated Effects Estimators pp. 610-636

Anindya Banerjee and Josep Carrion-i-Silvestre

Volume 38, issue 3, 2017

The Asymptotic Distribution of The Pathwise Mean Squared Displacement in Single Particle Tracking Experiments pp. 395-416

Gustavo Didier and Kui Zhang

A New Recursive Estimation Method for Single Input Single Output Models pp. 417-457

Abdelhamid Ouakasse and Guy Mélard

Time-Varying Transition Probabilities for Markov Regime Switching Models pp. 458-478

Marco Bazzi, Francisco Blasques, Siem Jan Koopman and Andre Lucas

Oracle M-Estimation for Time Series Models pp. 479-504

Mihai C. Giurcanu

Models for Dependent Time Series, by Granville Tunnicliffe Wilson, Marco Reale and John Haywood Published by CRC Press, 2016. Total number of pages: 323. ISBN 978-1-58488-650-1 pp. 505-507

A. I. McLeod

HANDBOOK OF DISCRETE-VALUED TIME SERIES, edited by R. A. Davis, S. H. Holan, R. Lund, R. and Ravishanker. Published by Hall/CRC, Boca Raton, Florida, 2015. Total number of pages: 464. ISBN: 978-1-4665-7773-2 pp. 508-509

Alain LaTouR

Volume 38, issue 2, 2017

Issue Information pp. 147-148

Tata Subba Rao and Granville Tunnicliffe Wilson

Editorial: Special Issue to Honor the Memory of Maurice B. Priestley, 1933–2013 pp. 149-150

Tata Subba Rao, Granville Tunnicliffe Wilson, Tata Subba Rao and Granville Tunnicliffe Wilson

Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting pp. 151-174

Tata Subba Rao, Granville Tunnicliffe Wilson, Alessandro Cardinali and Guy P. Nason

Volatility Modeling with a Generalized t Distribution pp. 175-190

Tata Subba Rao, Granville Tunnicliffe Wilson, Andrew Harvey and Rutger-Jan Lange

Adaptive Estimation in Multiple Time Series With Independent Component Errors pp. 191-203

Tata Subba Rao, Granville Tunnicliffe Wilson, P. M. Robinson and Luke Taylor

Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions pp. 204-224

Tata Subba Rao, Granville Tunnicliffe Wilson, Joao Jesus and Richard E. Chandler

Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions pp. 225-242

Tata Subba Rao, Granville Tunnicliffe Wilson, Michael Eichler, Rainer Dahlhaus and Johannes Dueck

A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach pp. 243-265

Tata Subba Rao, Granville Tunnicliffe Wilson, Shiu Fung Wong, Howell Tong, Tak Kuen Siu and Zudi Lu

Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects pp. 266-284

Tata Subba Rao, Granville Tunnicliffe Wilson, Wei Gao, Wicher Bergsma and Qiwei Yao

Factor Modelling for High-Dimensional Time Series: Inference and Model Selection pp. 285-307

Tata Subba Rao, Granville Tunnicliffe Wilson, Ngai Hang Chan, Ye Lu and Chun Yip Yau

On the Frequency Variogram and on Frequency Domain Methods for the Analysis of Spatio-Temporal Data pp. 308-325

Tata Subba Rao, Granville Tunnicliffe Wilson, Tata Subba Rao and Gyorgy Terdik

A Spectral Domain Test for Stationarity of Spatio-Temporal Data pp. 326-351

Tata Subba Rao, Granville Tunnicliffe Wilson, Soutir Bandyopadhyay, Carsten Jentsch and Suhasini Subba Rao

Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures pp. 352-380

Tata Subba Rao, Granville Tunnicliffe Wilson, Geir Drage Berentsen, Ricardo Cao, Mario Francisco-Fernández and Dag TjØstheim

Spectral Estimation of the Multivariate Impulse Response pp. 381-391

Tata Subba Rao, Granville Tunnicliffe Wilson and Granville Tunnicliffe Wilson

Volume 38, issue 1, 2017

Functional Generalized Autoregressive Conditional Heteroskedasticity pp. 3-21

Alexander Aue, Lajos Horvath and Daniel F. Pellatt

A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model pp. 22-50

Xingwu Zhou and Martin Solberger

Local Gaussian Autocorrelation and Tests for Serial Independence pp. 51-71

Virginia Lacal and Dag TjØstheim

Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity pp. 72-98

Gabe Chandler and Wolfgang Polonik

Quantile Regression on Quantile Ranges – A Threshold Approach pp. 99-119

Chung-Ming Kuan, Christos Michalopoulos and Zhijie Xiao

Marginal Estimation of Parameter Driven Binomial Time Series Models pp. 120-144

William Dunsmuir and Jieyi He

Spatial and Spatio-Temporal Bayesian Models with R-INLA, by Marta Blangiardo and Michela Cameletti. Published by John Wiley and Sons, Chichester, UK, 2015. Total number of pages: 308. ISBN 978-1-118-32655-8 pp. 145-146

T. Subba Rao