Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 35, issue 6, 2014

EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS pp. 491-516

Vance Martin, Andrew Tremayne and Robert C. Jung

ROBUST FITTING OF INARCH MODELS pp. 517-535

Hanan Elsaied and Roland Fried

A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model pp. 536-557

Stelios Arvanitis

Time-series models with an EGB2 conditional distribution pp. 558-571

Michele Caivano and Andrew Harvey

NON-PARAMETRIC ESTIMATION OF HIGH-FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS pp. 572-591

Chao Yu, Yue Fang, Zeng Li, Bo Zhang and Xujie Zhao

NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS pp. 592-623

Offer Lieberman and Peter Phillips

ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV-SWITCHING VAR(CH) MODELS pp. 624-639

Maddalena Cavicchioli

Randall Douc, Eric Moulines and David S. Stoffer ( 2014 ) Nonlinear Time Series—Theory, Methods and Applications with R Examples. CRC Press, UK (A Chapman & Hall Book). Texts in Statistical Science. ISBN: 978-1-4665-0225-3 pages 531 pp. 640-641

T Subba Rao

Volume 35, issue 5, 2014

IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE pp. 393-406

Matei Demetrescu, Christoph Hanck and Adina I. Tarcolea

EFFICIENT NON-PARAMETRIC ESTIMATION OF THE SPECTRAL DENSITY IN THE PRESENCE OF MISSING OBSERVATIONS pp. 407-427

Sam Efromovich

A FAST FRACTIONAL DIFFERENCE ALGORITHM pp. 428-436

Andreas Noack and Morten Nielsen

SEMI-PARAMETRIC ESTIMATION OF LINEAR COINTEGRATING MODELS WITH NONLINEAR CONTEMPORANEOUS ENDOGENEITY pp. 437-461

Yiguo Sun

A PARAMETER-DRIVEN LOGIT REGRESSION MODEL FOR BINARY TIME SERIES pp. 462-477

Rongning Wu and Yunwei Cui

SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME-SERIES PARTIALLY LINEAR MODELS pp. 478-490

Degao Li, Guodong Li and Jinhong You

Volume 35, issue 4, 2014

A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS pp. 299-321

Guodong Li, Chenlei Leng and Chih-Ling Tsai

QUANTILE PERIODOGRAM AND TIME-DEPENDENT VARIANCE pp. 322-340

Ta-Hsin Li

MODELLING FOR THE WAVELET COEFFICIENTS OF ARFIMA PROCESSES pp. 341-356

Kei Nanamiya

A FREQUENCY DOMAIN APPROACH FOR THE ESTIMATION OF PARAMETERS OF SPATIO-TEMPORAL STATIONARY RANDOM PROCESSES pp. 357-377

Tata Subba Rao, Sourav Das and Georgi N. Boshnakov

EFFICIENT ESTIMATION FOR PERIODIC AUTOREGRESSIVE COEFFICIENTS VIA RESIDUALS pp. 378-389

L. Tang and Q. Shao

LONG-MEMORY PROCESSES: PROBABILISTIC PROPERTIES AND STATISTICAL METHODS, by Jan Beran, Yuanhua Feng, Sucharita Ghosh, and Rafal Kulik. Published by Springer London, 2013. Total number of pages: 884. ISBN: 978-3-642-35511-0 (print), 978-3-642-35512-7 (online) pp. 390-392

Terdik Gy

Volume 35, issue 3, 2014

NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL pp. 189-202

Min Chen, Dong Li and Shiqing Ling

PORTMANTEAU AUTOCORRELATION TESTS UNDER Q-DEPENDENCE AND HETEROSKEDASTICITY pp. 203-217

David Harris and Hsein Kew

TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN pp. 218-238

Francisco Blasques

ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES pp. 239-261

Christopher Dienes and Alexander Aue

ESTIMATION OF AUTOCOVARIANCE MATRICES FOR INFINITE DIMENSIONAL VECTOR LINEAR PROCESS pp. 262-281

Monika Bhattacharjee and Arup Bose

UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS pp. 282-297

Jonathan Hill and Liang Peng

Volume 35, issue 2, 2014

A FLEXIBLE STATE SPACE MODEL AND ITS APPLICATIONS pp. 79-88

Hang Qian

A GENERALIZED BLOCK BOOTSTRAP FOR SEASONAL TIME SERIES pp. 89-114

Anna E. Dudek, Jacek Leśkow, Efstathios Paparoditis and Dimitris N. Politis

BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING pp. 115-132

Christian H. Weiß and Philip K. Pollett

ASYMPTOTIC INFERENCES FOR AN AR(1) MODEL WITH A CHANGE POINT: STATIONARY AND NEARLY NON-STATIONARY CASES pp. 133-150

Tianxiao Pang, Danna Zhang and Terence Tai-Leung Chong

STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES pp. 151-172

Violetta Dalla, Liudas Giraitis and Hira L. Koul

DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS pp. 173-186

Maddalena Cavicchioli

DYNAMIC MODELS FOR VOLATILITY AND HEAVY TAILS: WITH APPLICATIONS TO FINANCIAL AND ECONOMIC TIME SERIES, BY A. C. HARVEY. PUBLISHED BY CAMBRIDGE UNIVERSITY PRESS, 2013 NEW YORK, USA. TOTAL NUMBER OF PAGES: 261. PRICE: $36.99. ISBN: 978-1-107-63002-4 pp. 187-188

Alastair R. Hall

Volume 35, issue 1, 2014

OBITUARY pp. 1-3

T. Subba Rao and Granville Tunnicliffe-Wilsont

NON-PARAMETRIC ESTIMATION UNDER STRONG DEPENDENCE pp. 4-15

Zhibiao Zhao, Yiyun Zhang and Runze Li

CONTEMPORANEOUS AGGREGATION OF TRIANGULAR ARRAY OF RANDOM-COEFFICIENT AR(1) PROCESSES pp. 16-39

Anne Philippe, Donata Puplinskaite and Donatas Surgailis

A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION pp. 40-54

Fabrizio Iacone, Stephen Leybourne and Robert Taylor

QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS pp. 55-78

Vasiliki Christou and Konstantinos Fokianos

Volume 34, issue 6, 2013

Editorial Announcement pp. 605-605

Robert Taylor

ON MIXTURE MEMORY GARCH MODELS pp. 606-624

Muyi Li, Wai Keung Li and Guodong Li

A NON-GAUSSIAN FAMILY OF STATE-SPACE MODELS WITH EXACT MARGINAL LIKELIHOOD pp. 625-645

Dani Gamerman, Thiago Rezende Santos and Glaura C. Franco

BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS pp. 646-667

Thorsten Fink and Jens-Peter Kreiss

TWO-STEP ESTIMATION OF A MULTI-VARIATE LÉVY PROCESS pp. 668-690

Habib Esmaeili and Claudia Klüppelberg

Frequency domain generalized empirical likelihood method pp. 691-716

Yoshihide Kakizawa

MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG-RANGE DEPENDENCE pp. 717-743

Shuyang Bai and Murad S. Taqqu

Bayesian theory and applications, by Paul Damien, Petros Dellaportas, Nicholas G. Polson and David A. Stephens (eds). Published by Oxford University Press, 2013. Total number of pages: xiii+702. ISBN 9780199695607 pp. 744-744

Peter Neal

Time series modeling of neuroscience data, by Tohru Ozaki, published by CRC Press, 2012. Total number of pages: 548. Price: US $71.46. ISBN 978-1-4200-9460-2 pp. 745-746

Hernando Ombao

Volume 34, issue 5, 2013

Estimation of stationary autoregressive models with the Bayesian LASSO pp. 517-531

Daniel F. Schmidt and Enes Makalic

Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes pp. 532-551

Vicky Fasen and Florian Fuchs

Continuous-time autoregressive moving average processes in discrete time: representation and embeddability pp. 552-561

Michael Thornton and Marcus Chambers

Effect of temporal aggregation on multiple time series in the frequency domain pp. 562-573

Uwe Hassler

Transformation to approximate independence for locally stationary Gaussian processes pp. 574-590

Joseph Guinness and Michael L. Stein

Regulated fractionally integrated processes pp. 591-601

Mirza Trokić

Domenico Marinucci and Giovanni Peccati, Random Fields on the Sphere: Representation, Limit Theorems and Cosmological Applications London Mathematical Society Lecture Notes Series 389. Published by the Cambridge University Press, Cambridge, 2011. Number of pages: 341. Price £40.00, ISBN 978-0-521-17561-6 pp. 602-603

Nikolai Leonenko

Volume 34, issue 4, 2013

Inference for single and multiple change-points in time series pp. 423-446

Venkata Jandhyala, Stergios Fotopoulos, Ian MacNeill and Pengyu Liu

Gaussian inference in general AR(1) models based on difference pp. 447-453

Jhih-Gang Chen and Biing-Shen Kuo

A bootstrap test for additive outliers in non-stationary time series pp. 454-465

Sam Astill, David Harvey and Robert Taylor

A geometric time series model with dependent Bernoulli counting series pp. 466-476

Miroslav M. Ristić, Aleksandar S. Nastić and Ana V. Miletić Ilić

A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending pp. 477-495

Joakim Westerlund

Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications pp. 496-507

Pierre Duchesne and Pierre Lafaye de Micheaux

Inference for non-stationary time-series autoregression pp. 508-516

Zhou Zhou

Volume 34, issue 3, 2013

Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends pp. 285-301

Adam McCloskey

Robust estimation for copula Parameter in SCOMDY models pp. 302-314

Byungsoo Kim and Sangyeol Lee

Score statistics for testing serial dependence in count data pp. 315-329

Jiajing Sun and Brendan McCabe

A class of optimal tests for contemporaneous non-causality in VAR models pp. 330-344

Maria Caterina Bramati

Nonparametric regression with rescaled time series errors pp. 345-361

José E. Figueroa-López and Michael Levine

A note on non-parametric testing for Gaussian innovations in AR–ARCH models pp. 362-367

Natalie Neumeyer and Leonie Selk

Unit root testing with stationary covariates and a structural break in the trend function pp. 368-384

Sebastian Fossati

High-frequency sampling and kernel estimation for continuous-time moving average processes pp. 385-404

Peter J. Brockwell, Vincenzo Ferrazzano and Claudia Klüppelberg

Modelling long-run trends and cycles in financial time series data pp. 405-421

Guglielmo Maria Caporale, Juncal Cuñado and Luis Gil-Alana

STATISTICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS. Edited by, Mathieu Kessler, Alexander Lindner and Michael Sørensen. Publishers CRC Press, Taylor & Francis Group. London, ISBN 978-1-4398-4940-8. 483 pages pp. 422-422

Tusheng Zhang

Volume 34, issue 2, 2013

Editorial pp. 139-140

Robert Taylor

Moment tests for window length selection in singular spectrum analysis of short– and long–memory processes pp. 141-155

Atikur Khan and Donald Poskitt

Integration of CARMA processes and spot volatility modelling pp. 156-167

Peter Brockwell and Alexander Lindner

Least tail-trimmed squares for infinite variance autoregressions pp. 168-186

Jonathan B. Hill

Forecasting with prediction intervals for periodic autoregressive moving average models pp. 187-193

Paul L. Anderson, Mark M. Meerschaert and Kai Zhang

Estimation of vector error correction models with mixed-frequency data pp. 194-205

Byeongchan Seong, Sung K. Ahn and Peter Zadrozny

On composite likelihood estimation of a multivariate INAR(1) model pp. 206-220

Xanthi Pedeli and Dimitris Karlis

CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns pp. 221-229

Dominik Wied

A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach pp. 230-237

Ke Zhu

Weak identification in the ESTAR model and a new model pp. 238-261

Florian Heinen, Stefanie Michael and Philipp Sibbertsen

Empirical determination of the frequencies of an almost periodic time series pp. 262-279

D. Dehay and H. L. Hurd

Spatial statistics and spatio-temporal data pp. 280-280

T Subba Rao

Climate Time Series Analysis: Classical Statistical and Bootstrap Methods pp. 281-281

Andrew C. Parnell

Economic Time Series: Modeling and Seasonality pp. 282-283

Alastair Hall

Volume 34, issue 1, 2013

Structural breaks in time series pp. 1-16

Alexander Aue and Lajos Horvath

Testing for parameter constancy in non-Gaussian time series pp. 17-29

Lu Han and Brendan McCabe

Optimal convergence rates in non-parametric regression with fractional time series errors pp. 30-39

Yuanhua Feng and Jan Beran

The power of unit root tests against nonlinear local alternatives pp. 40-61

Matei Demetrescu and Robinson Kruse

Recursive adjustment, unit root tests and structural breaks pp. 62-82

Paulo Rodrigues

Combining non-cointegration tests pp. 83-95

Christian Bayer and Christoph Hanck

Estimation for non-negative time series with heavy-tail innovations pp. 96-115

A. Bartlett and W. P. McCormick

Determining the order of the functional autoregressive model pp. 116-129

Piotr Kokoszka and Matthew Reimherr

Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model pp. 130-137

Sugata Sen Roy and Sankha Bhattacharya

Book Review pp. 138-138

Plotr S. Kokoszka