Journal of Time Series Analysis

1980 - 2025

Current editor(s): M.B. Priestley

From Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 32, issue 6, 2011

Autoregressive coefficient estimation in nonparametric analysis pp. 587-597

Q. Shao and L. J. Yang

A simple test of changes in mean in the possible presence of long‐range dependence pp. 598-606

Xiaofeng Shao

Dynamic spatial Bayesian models for radioactivity deposition pp. 607-617

Swarup De and Álvaro E. Faria

Akaike’s information criterion correction for the least‐squares autoregressive spectral estimator pp. 618-630

Evangelos E. Ioannidis

Testing unit roots and long range dependence of foreign exchange pp. 631-638

Zhiping Lu and Dominique Guegan

On the autopersistence functions and the autopersistence graphs of binary autoregressive time series pp. 639-646

Chao Wang and Wai Keung Li

Testing for co‐integration and nonlinear adjustment in a smooth transition error correction model pp. 647-660

Rehim Kılıç

Temporal Aggregation of Lognormal AR processes pp. 661-671

Esther Salazar and Marco A. R. Ferreira

Local power of likelihood‐based tests for cointegrating rank: Comparative analysis of full and partial systems pp. 672-679

Takamitsu Kurita

Improved generalized method of moments estimators for weakly dependent observations pp. 680-698

Francesco Bravo

Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models pp. 699-723

Christian Francq, Roch Roy and Abdessamad Saidi

Volume 32, issue 5, 2011

Testing non‐parametric hypotheses for stationary processes by estimating minimal distances pp. 447-461

Holger Dette, Tatjana Kinsvater and Mathias Vetter

Forecasting linear dynamical systems using subspace methods pp. 462-468

Alfredo García‐Hiernaux

Robust estimation for the covariance matrix of multi‐variate time series pp. 469-481

Byungsoo Kim and Sangyeol Lee

Stability conditions for heteroscedastic factor models with conditionally autoregressive betas pp. 482-497

George A Christodoulakis and Stephen E Satchell

Mean shift testing in correlated data pp. 498-511

Michael Robbins, Colin Gallagher, Robert Lund and Alexander Aue

On the asymptotic properties of a feasible estimator of the continuous time long memory parameter pp. 512-517

Joanne S. Ercolani

Analysis of accumulated rounding errors in autoregressive processes pp. 518-530

Weiming Li and Z. D. Bai

Solutions of Yule‐Walker equations for singular AR processes pp. 531-538

Weitian Chen, Brian D.O. Anderson, Manfred Deistler and Alexander Filler

On limiting spectral distribution of large sample covariance matrices by VARMA(p,q) pp. 539-546

Cheng Wang, Baisuo Jin and Baiqi Miao

Testing for structural change of AR model to threshold AR model pp. 547-565

István Berkes, Lajos Horvath, Shiqing Ling and Johannes Schauer

Multi‐variate time‐series simulation pp. 566-579

Yuzhi Cai

On processes with hyperbolically decaying autocorrelations pp. 580-584

Łukasz Dębowski

Modeling Ordered Choices, A Primer pp. 585-585

Konstantinos Fokianos

Volume 32, issue 4, 2011

Editorial: Special issue on time series in the environmental sciences pp. 337-338

Noel Cressie and Scott H. Holan

Polynomial nonlinear spatio‐temporal integro‐difference equation models pp. 339-350

Christopher K. Wikle and Scott H. Holan

A wavelet‐based spectral method for extracting self‐similarity measures in time‐varying two‐dimensional rainfall maps pp. 351-363

Pepa Ramírez‐Cobo, Kichun Sky Lee, Annalisa Molini, Amilcare Porporato, Gabriel Katul and Brani Vidakovic

A class of stochastic volatility models for environmental applications pp. 364-377

Wenying Huang, Ke Wang, F. Jay Breidt and Richard A. Davis

Space‐time modelling of trends in temperature series pp. 378-395

Peter F. Craigmile and Peter Guttorp

A spatio‐temporal analysis of the spread of sugarcane yellow leaf virus pp. 396-406

Jean Vaillant, Gavino Puggioni, Lance A. Waller and Jean Daugrois

A prediction‐residual approach for identifying rare events in periodic time series pp. 407-419

Zhiyun Gong, Peter Kiessler and Robert Lund

The application of prototype point processes for the summary and description of California wildfires pp. 420-429

Kevin Nichols, Frederic Paik Schoenberg, Jon E. Keeley, Andrew Bray and David Diez

Spatio‐temporal smoothing and EM estimation for massive remote‐sensing data sets pp. 430-446

Matthias Katzfuss and Noel Cressie

Volume 32, issue 3, 2011

Empirical likelihood inference for random coefficient INAR(p) process pp. 195-203

Haixiang Zhang, Dehui Wang and Fukang Zhu

On detecting the optimal structure of a neural network under strong statistical features in errors pp. 204-222

Nikos S. Thomaidis and George D. Dounias

A p‐Order signed integer‐valued autoregressive (SINAR(p)) model pp. 223-236

M. Kachour and L. Truquet

Time‐varying multi‐regime models fitting by genetic algorithms pp. 237-252

Francesco Battaglia and Mattheos Protopapas

Threshold quantile autoregressive models pp. 253-267

Antonio Galvao, Gabriel Montes‐Rojas and Jose Olmo

Convolution‐closed models for count time series with applications pp. 268-280

Robert C. Jung and Andrew Tremayne

Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity pp. 281-291

Helmut Herwartz and Helmut Lütkepohl

Stationary bootstrapping for non‐parametric estimator of nonlinear autoregressive model pp. 292-303

Eunju Hwang and Dong Wan Shin

Estimating a change point in the long memory parameter pp. 304-314

Keiko Yamaguchi

Structural time series models and aggregation: some analytical results pp. 315-316

Giacomo Sbrana

Local Whittle estimation of multi‐variate fractionally integrated processes pp. 317-335

Frank S. Nielsen

Introduction to Time Series Modeling pp. 336-336

Maria Antonia Amaral Turkman

Volume 32, issue 2, 2011

Real‐time covariance estimation for the local level model pp. 93-107

Kostas Triantafyllopoulos

On LM‐type tests for seasonal unit roots in the presence of a break in trend pp. 108-134

Luis Nunes and Paulo Rodrigues

Robust estimation of the scale and of the autocovariance function of Gaussian short‐ and long‐range dependent processes pp. 135-156

Céline Lévy‐Leduc, Hélène Boistard, Eric Moulines, Murad S. Taqqu and Valderio A. Reisen

Asymptotic results for Fourier‐PARMA time series pp. 157-174

Yonas Gebeyehu Tesfaye, Paul L. Anderson and Mark M. Meerschaert

Broadband semi‐parametric estimation of long‐memory time series by fractional exponential models pp. 175-193

Masaki Narukawa and Yasumasa Matsuda

Classification, parameter estimation and state estimation ‐ an engineering approach using MATLAB pp. 194-194

T. Subba Rao

Volume 32, issue 1, 2011

Detecting misspecifications in autoregressive conditional duration models and non‐negative time‐series processes pp. 1-32

Yongmiao Hong and Yoon-Jin Lee

Locally stationary harmonizable complex improper stochastic processes pp. 33-46

Patrik Wahlberg and Peter J. Schreier

Time series analysis based on running Mann‐Whitney Z Statistics pp. 47-53

Steve Mauget

A negative binomial integer‐valued GARCH model pp. 54-67

Fukang Zhu

A test for second‐order stationarity of a time series based on the discrete Fourier transform pp. 68-91

Yogesh Dwivedi and Suhasini Subba Rao

Optimal statistical inference in financial engineering pp. 92-92

György Terdik