Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

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Volume 33, issue 6, 2012

Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors pp. 863-872

Naoya Katayama

A note on moving-average models with feedback pp. 873-879

Dong Li

Least squares estimation of ARCH models with missing observations pp. 880-891

Pascal Bondon and Natalia Bahamonde

A Family of Markov-Switching Garch Processes pp. 892-902

Ji-Chun Liu

A mixed INAR(p) model pp. 903-915

Miroslav M. Ristić and Aleksandar S. Nastić

Non-stationary autoregressive processes with infinite variance pp. 916-934

Ngai Hang Chan and Rongmao Zhang

Subsampling inference for the autocovariances and autocorrelations of long-memory heavy- tailed linear time series pp. 935-953

Tucker McElroy and Agnieszka Jach

First-order integer valued AR processes with zero inflated poisson innovations pp. 954-963

Mansour Aghababaei Jazi, Geoff Jones and Chin-Diew Lai

Book Review pp. 964-964

K. F. Turkman

Volume 33, issue 5, 2012

Editorial: Special issue on time series analysis in the biological sciences pp. 701-703

David S. Stoffer and Hernando Ombao

Autocovariance structures for radial averages in small-angle X-ray scattering experiments pp. 704-717

F. Jay Breidt, Andreea Erciulescu and Mark van der Woerd

The Nicholson blowfly experiments: some history and EDA pp. 718-723

David R. Brillinger

Statistical challenges in microrheology pp. 724-743

Gustavo Didier, Scott A. McKinley, David B. Hill and John Fricks

Biological applications of time series frequency domain clustering pp. 744-756

Konstantinos Fokianos and Vasilis J. Promponas

Changepoints in times series of counts pp. 757-770

Jürgen Franke, Claudia Kirch and Joseph Tadjuidje Kamgaing

Exploring dependence between brain signals in a monkey during learning pp. 771-778

Cristina Gorrostieta, Hernando Ombao, Raquel Prado, Shaun Patel and Emad Eskandar

Modelling the nonlinear time dynamics of multidimensional hormonal systems pp. 779-796

Daniel M. Keenan, Xin Wang, Steven M. Pincus and Johannes D. Veldhuis

Enveloping spectral surfaces: covariate dependent spectral analysis of categorical time series pp. 797-806

Robert T. Krafty, Shuangyan Xiong, David S. Stoffer, Daniel J. Buysse and Martica Hall

Quantifying the uncertainty in change points pp. 807-823

Christopher F. H. Nam, John A. D. Aston and Adam Johansen

A test for independence between a point process and an analogue signal pp. 824-840

Victor Solo and Ahmed Pasha

A state space model approach for HIV infection dynamics pp. 841-849

Jiabin Wang, Hua Liang and Rong Chen

Spectral-based non-central F mixed effect models, with application to otoacoustic emissions pp. 850-862

Lai Wei, Peter F. Craigmile and Wayne M. King

Volume 33, issue 4, 2012

Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1) pp. 533-541

Ryota Yabe

Maximum likelihood estimation for nearly non-stationary stable autoregressive processes pp. 542-553

Rong-Mao Zhang and Ngai Hang Chan

Change point detection in copula ARMA–GARCH Models pp. 554-569

Okyoung Na, Jiyeon Lee and Sangyeol Lee

Strictly stationary solutions of ARMA equations with fractional noise pp. 570-582

Bernd Vollenbröker

Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes pp. 583-607

Rodney A. Martin

Time-series clustering via quasi U-statistics pp. 608-619

Marcio Valk and Aluísio Pinheiro

Non-parametric smoothing and prediction for nonlinear circular time series pp. 620-630

Macro Di Marzio, Agnese Panzera and Charles C. Taylor

Change-point detection in panel data pp. 631-648

Lajos Horvath and Marie Hušková

Likelihood inference for discriminating between long-memory and change-point models pp. 649-664

Chun Yip Yau and Richard A. Davis

Inference about long run canonical correlations pp. 665-683

Prosper Dovonon, Alastair Hall and Kalidas Jana

A new Bayesian approach to quantile autoregressive time series model estimation and forecasting pp. 684-698

Yuzhi Cai, Julian Stander and Neville Davies

Statistics for Spatio-Temporal Data pp. 699-700

T. Subba Rao

Volume 33, issue 3, 2012

Testing for parameter stability in nonlinear autoregressive models pp. 365-385

Claudia Kirch and Joseph Tadjuidje Kamgaing

Nonlinear spectral density estimation: thresholding the correlogram pp. 386-397

Efstathios Paparoditis and Dimitris N. Politis

Periodic autoregressive model identification using genetic algorithms pp. 398-405

Eugen Ursu and Kamil Feridun Turkman

On robust tail index estimation for linear long‐memory processes pp. 406-423

Jan Beran, Bikramjit Das and Dieter Schell

Non‐parametric testing for seasonally and periodically integrated processes pp. 424-437

Tomás del Barrio Castro and Denise Osborn

Measuring nonlinear dependence in time‐series, a distance correlation approach pp. 438-457

Zhou Zhou

Estimation of regression and dynamic dependence paremeters for non‐stationary multinomial time series pp. 458-467

J. C. Loredo‐Osti and Brajendra C. Sutradhar

Conditional variance estimation in regression models with long memory pp. 468-483

Rafal Kulik and Cornelia Wichelhaus

A similarity‐based approach to time‐varying coefficient non‐stationary autoregression pp. 484-502

Offer Lieberman

Testing for parameter constancy in general causal time‐series models pp. 503-518

William Charky Kengne

Weak convergence to a modified fractional Brownian motion pp. 519-529

Javier Hualde

The Oxford Handbook of Economic Forecasts pp. 530-531

Alastair Hall

Volume 33, issue 2, 2012

A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes pp. 177-192

Carsten Jentsch

Fast continuous‐discrete DAF‐filters pp. 193-210

Thomas Mazzoni

Improved multivariate portmanteau test pp. 211-222

Esam Mahdi and A. Ian McLeod

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model pp. 223-232

Ke Zhu and Shiqing Ling

The autodependogram: a graphical device to investigate serial dependences pp. 233-254

Luca Bagnato, Antonio Punzo and Orietta Nicolis

Overlapped grouping periodogram test for detecting multiple hidden periodicities in mixed spectra pp. 255-268

Qiuzi H. Wen, Augustine Wong and Xiaolan L. Wang

Empirical likelihood in long‐memory time series models pp. 269-275

Chun Yip Yau

A note on mean squared prediction error under the unit root model with deterministic trend pp. 276-286

Shu‐Hui Yu, Chien‐Chih Lin and Hung‐Wen Cheng

Generalized information criterion pp. 287-297

Masanobu Taniguchi and Junichi Hirukawa

On robust spectral analysis by least absolute deviations pp. 298-303

Ta‐Hsin Li

A single series representation of multiple independent ARMA processes pp. 304-311

Ross S. Bowden and Brenton R. Clarke

A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors pp. 312-324

Jaechoul Lee and Robert Lund

The restricted likelihood ratio test for autoregressive processes pp. 325-339

Willa W. Chen and Rohit S. Deo

The averaged periodogram estimator for a power law in coherency pp. 340-363

Rebecca Sela and Clifford Hurvich

Volume 33, issue 1, 2012

Limit theorems for the discount sums of moving averages pp. 1-12

Ba Chu

Frequency and phase estimation in time series with quasi periodic components pp. 13-31

Konstantinos Paraschakis and Rainer Dahlhaus

Unit root bootstrap tests under infinite variance pp. 32-47

Marta Moreno and Juan Romo

Multi‐variate stochastic volatility modelling using Wishart autoregressive processes pp. 48-60

Kostas Triantafyllopoulos

Efficient estimation and particle filter for max‐stable processes pp. 61-80

Tsuyoshi Kunihama, Yasuhiro Omori and Zhengjun Zhang

Weighted scatter estimation method of the GO‐GARCH models pp. 81-95

Lingyu Zheng and William W. S. Wei

Subsampling inference for the mean of heavy‐tailed long‐memory time series pp. 96-111

Agnieszka Jach, Tucker McElroy and Dimitris N. Politis

Maximum entropy models for general lag patterns pp. 112-120

Georgi N. Boshnakov and Bisher M. Iqelan

Selection of weak VARMA models by modified Akaike's information criteria pp. 121-130

Y. Boubacar Maïnassara

Statistical tests for a single change in mean against long‐range dependence pp. 131-151

Changryong Baek and Vladas Pipiras

High‐frequency sampling of a continuous‐time ARMA process pp. 152-160

Peter J. Brockwell, Vincenzo Ferrazzano and Claudia Klüppelberg

Limit theory for a general class of GARCH models with just barely infinite variance pp. 161-174

Rong‐Mao Zhang and Zheng‐Yan Lin

Non–Parametric Econometrics pp. 175-175

Piotr S. Kokoszka

Statistical Methods for Trend Detection and Analysis in the Environmental Sciences pp. 176-176

Tata Subba Rao