Last update:
Sat Oct 12 09:02:49 MDT 2024
Hirotugu Akaike Seasonal Adjustment by a Bayesian
Modeling . . . . . . . . . . . . . . . . 1--13
C. W. J. Granger and
Roselyne Joyeux An Introduction to Long-Memory Time
Series Models and Fractional
Differencing . . . . . . . . . . . . . . 15--29
Paul Newbold A Note on Relations Between Seasonally
Adjusted Variables . . . . . . . . . . . 31--35
D. F. Nicholls and
B. G. Quinn The Estimation of Random Coefficient
Autoregressive Models. I . . . . . . . . 37--46
M. B. Priestley State-Dependent Models: a General
Approach to Non-Linear Time Series
Analysis . . . . . . . . . . . . . . . . 47--71
Chen Zhao-Guo and
E. J. Hannan The Distribution of Periodogram
Ordinates . . . . . . . . . . . . . . . 73--82
T. W. Anderson and
Raúl P. Mentz On the Structure of the Likelihood
Function of Autoregressive and Moving
Average Models . . . . . . . . . . . . . 83--94
David R. Brillinger The Comparison of Least Squares and
Third-Order Periodogram Procedures in
the Estimation of Bifrequency . . . . . 95--102
Neville Davies and
Trevor Spedding and
William Watson Autoregressive Moving Average Processes
with Non-Normal Residuals . . . . . . . 103--109
Michael L. Deaton and
Robert V. Foutz Group Delay and the Time-Lag
Relationship Between Stochastic
Processes . . . . . . . . . . . . . . . 111--118
Paul Evans A Time-Series Test of the Natural-Rate
Hypothesis . . . . . . . . . . . . . . . 119--133
W. S. Hopwood and
P. Newbold Time Series Analysis in Accounting: a
Survey and Analysis of Recent Issues . . 135--144
T. Subba Rao and
M. M. Gabr A Test for Linearity of Stationary Time
Series . . . . . . . . . . . . . . . . . 145--158
Gwilym M. Jenkins and
Athar S. Alavi Some Aspects of Modelling and
Forecasting Multivariate Time Series . . 1--47
J. Pemberton and
H. Tong A Note on the Distributions of
Non-Linear Autoregressive Stochastic
Models . . . . . . . . . . . . . . . . . 49--52
Masanobu Taniguchi Robust Regression and Interpolation for
Time Series . . . . . . . . . . . . . . 53--62
A. Azzalini Replicated Observations of Low Order
Autoregressive Time Series . . . . . . . 63--70
G. R. Dargahi-Noubary and
P. J. Laycock Spectral Ratio Discriminants and
Information Theory . . . . . . . . . . . 71--86
Mituaki Huzii Estimation of Coefficients of an
Autoregressive Process by Using a Higher
Order Moment . . . . . . . . . . . . . . 87--93
Heejoon Kang Necessary and Sufficient Conditions for
Causality Testing in Multivariate ARMA
Models . . . . . . . . . . . . . . . . . 95--101
Genshiro Kitagawa A Nonstationary Time Series Model and
Its Fitting by a Recursive Filter . . . 103--116
Jean-Marie Dufour Rank Tests for Serial Dependence . . . . 117--128
W. Dunsmuir Estimation of Periodically Varying Means
and Standard Deviations in Time Series
Data . . . . . . . . . . . . . . . . . . 129--153
M. M. Gabr and
T. Subba Rao The Estimation and Prediction of Subset
Bilinear Time Series Models with
Applications . . . . . . . . . . . . . . 155--171
William B. Gordon Accuracy of Linear Spectral Estimates of
Band-Limited Signals . . . . . . . . . . 173--184
B. G. Quinn and
D. F. Nicholls The Estimation of Random Coefficient
Autogressive Models. II . . . . . . . . 185--203
Jeffrey B. Birch and
R. Douglas Martin Confidence Intervals for Robust
Estimates of the First Order
Autoregressive Parameter . . . . . . . . 205--220
A. C. Harvey Finite Sample Prediction and
Overdifferencing . . . . . . . . . . . . 221--232
Agnes M. Herzberg and
J. S. Hickie An Investigation of Andrews' Plots to
Show Time Variation of Model Parameters 233--262
D. S. Poskitt and
A. R. Tremayne A Time Series Application of the Use of
Monte Carlo Methods to Compare
Statistical Tests . . . . . . . . . . . 263--277
H. Tong A Note on a Markov Bilinear Stochastic
Process in Discrete Time . . . . . . . . 279--284
K. S. Lii and
K. N. Helland and
M. Rosenblatt Estimating Three-Dimensional Energy
Transfer in Isotropic Turbulence . . . . 1--28
T. Ozaki The Statistical Analysis of Perturbed
Limit Cycle Processes Using Nonlinear
Time Series Models . . . . . . . . . . . 29--41
Jack H. W. Penm and
R. D. Terrell On the Recursive Fitting of Subset
Autoregressions . . . . . . . . . . . . 43--59
Peter Praetz The Market Model, CAPM and Efficiency in
the Frequency Domain . . . . . . . . . . 61--79
M. N. Bhattacharyya Lydia Pinkham Data Remodelled . . . . . 81--102
C. W. J. Granger Acronyms in Time Series Analysis (ATSA) 103--107
T. Hasan Nonlinear Time Series Regression for a
Class of Amplitude Modulated
Consinusoids . . . . . . . . . . . . . . 109--122
B. G. Quinn and
D. F. Nicholls Testing for the Randomness of
Autoregressive Coefficients . . . . . . 123--135
H. Tong A Note on Using Threshold Autoregressive
Models for Multi-Step-Ahead Prediction
of Cyclical Data . . . . . . . . . . . . 137--140
B. R. Clarke and
E. J. Godolphin Comparative Power Studies for Goodness
of Fit Tests of Time Series Models . . . 141--151
D. M. Cooper and
E. F. Wood Identifying Multivariate Time Series
Models . . . . . . . . . . . . . . . . . 153--164
Bradley W. Dickinson Sufficient Statistics for Stationary
Discrete-Time Gaussian Random Processes 165--168
Melvin J. Hinich Testing for Gaussianity and Linearity of
a Stationary Time Series . . . . . . . . 169--176
G. J. Janacek Determining the Degree of Differencing
for Time Series Via the Log Spectrum . . 177--183
Saleem A. Kassam Robust Hypothesis Testing and Robust
Time Series Interpolation and Regression 185--194
Harald E. Krogstad On the Covariance of the Periodogram . . 195--207
John S. Tyssedal and
Dag Tjòstheim Autoregressive Processes with a Time
Dependent Variance . . . . . . . . . . . 209--217
Anonymous Book Reviews . . . . . . . . . . . . . . 283--285
A. Azzalini Approximate Filtering of Parameter
Driven Processes . . . . . . . . . . . . 219--223
N. Cantarelis and
F. R. Johnston On-Line Variance Estimation for the
Steady State Bayesian Forecasting Model 225--234
Helmut Lütkepohl Differencing Multiple Time Series:
Another Look at Canadian Money and
Income Data . . . . . . . . . . . . . . 235--243
Domenico Piccolo The Size of the Stationarity and
Invertibility Region of an
Autoregressive-Moving Average Process 245--247
B. G. Quinn A Note on the Existence of Strictly
Stationary Solutions to Bilinear
Equations . . . . . . . . . . . . . . . 249--252
R. H. Shumway and
D. S. Stoffer An Approach to Time Series Smoothing and
Forecasting Using the EM Algorithm . . . 253--264
Dag Tjòstheim and
Jostein Paulsen Empirical Identification of Multiple
Time Series . . . . . . . . . . . . . . 265--282
S. B. Fotopoulos and
W. D. Ray Components of Prediction Errors for a
Stationary Process with Estimated
Parameters . . . . . . . . . . . . . . . 1--8
An Hong-Zhi and
Chen Zhao-Guo and
E. J. Hannan A Note on ARMA Estimation . . . . . . . 9--17
P. A. Jacobs and
P. A. W. Lewis Stationary Discrete
Autoregressive-Moving Average Time
Series Generated by Mixtures . . . . . . 19--36
Paul Kabaila On the Asymptotic Efficiency of
Estimators of the Parameters of an ARMA
Process . . . . . . . . . . . . . . . . 37--47
Pedro A. Morettin A Note on a Central Limit Theorem for
Stationary Processes . . . . . . . . . . 49--52
P. Newbold and
T. Bos On $q$-Conditioned Partial Correlations 53--55
Yoshimichi Ochi Asymptotic Expansions for the
Distribution of an Estimator in the
First-Order Autoregressive Process . . . 57--67
Pentti Saikkonen Asymptotic Relative Efficiency of Some
Tests of Fit in Time Series Models . . . 69--78
Francesco Battaglia Inverse Autocovariances and a Measure of
Linear Determinism for a Stationary
Process . . . . . . . . . . . . . . . . 79--87
W. K. Li and
Y. V. Hui Estimation of Random Coefficient
Autoregressive Process: an Empirical
Bayes Approach . . . . . . . . . . . . . 89--94
M. Bhaskara Rao and
T. Subba Rao and
A. M. Walker On the Existence of Some Bilinear Time
Series Models . . . . . . . . . . . . . 95--110
B. Truong-Van Generalized Seasonal ARIMA Processes:
Regularity/Singularity Criteria and
Linear Prediction . . . . . . . . . . . 111--126
A. Ullah and
V. K. Srivastava and
L. Magee and
A. Srivastava Estimation of Linear Regression Model
with Autocorrelated Disturbances . . . . 127--135
R. J. Bhansali Estimation of the Order of a Moving
Average Model from Autoregressive and
Window Estimates of the Inverse
Correlation Function . . . . . . . . . . 137--162
Rainer Dahlhaus Spectral Analysis with Tapered Data . . 163--175
Per Hokstad A Method for Diagnostic Checking of Time
Series Models . . . . . . . . . . . . . 177--183
P. M. Robinson Nonparametric Estimators for Time Series 185--207
Wang Shou-Ren and
An Hong-Zhi and
H. Tong On the Distribution of a Simple
Stationary Bilinear Process . . . . . . 209--216
Mukhtar M. Ali A Note on Approximating the Distribution
of the Durbin-Watson Statistic . . . . . 217--220
John Geweke and
Susan Porter-Hudak The Estimation and Application of Long
Memory Time Series Models . . . . . . . 221--238
K. S. Lim and
H. Tong A Statistical Approach to
Difference-Delay Equation Modelling in
Ecology --- Two Case Studies . . . . . . 239--267
A. I. McLeod and
W. K. Li Diagnostic Checking ARMA Time Series
Models Using Squared-Residual
Autocorrelations . . . . . . . . . . . . 269--273
B. D. O. Anderson and
M. Deistler Identifiability in Dynamic
Errors-In-Variables Models . . . . . . . 1--13
Allan P. Layton A Further Note on the Detection of
Granger Instantaneous Causality . . . . 15--18
Anders Milhòj Multiplicative Exponential Models for
Stationary Time Series . . . . . . . . . 19--35
Masanobu Taniguchi Validity of Edgeworth Expansions for
Statistics of Time Series . . . . . . . 37--51
Pham Dinh Tuan The Estimation of Parameters for
Autoregressive Moving Average Models . . 53--68
V. Haggan and
S. M. Heravi and
M. B. Priestley A Study of the Application of
State-Dependent Models in Non-Linear
Time Series Analysis . . . . . . . . . . 69--102
V. Haggan and
O. B. Oyetunji On the Selection of Subset
Autoregressive Time Series Models . . . 103--113
Jostein Paulsen Order Determination of Multivariate
Autoregressive Time Series with Unit
Roots . . . . . . . . . . . . . . . . . 115--127
Andrew A. Weiss Arma Models with Arch Errors . . . . . . 129--143
Quang Phuc Duong On the Choice of the Order of
Autoregressive Models: a Ranking and
Selection Approach . . . . . . . . . . . 145--157
E. M. R. A. Engel A Unified Approach to the Study of Sums,
Products, Time-Aggregation and Other
Functions of ARMA Processes . . . . . . 159--171
W. K. Li On the Autocorrelation Structure and
Identification of Some Bilinear Time
Series . . . . . . . . . . . . . . . . . 173--181
D. Piccolo and
G. Tunnicliffe Wilson A Unified Approach to ARMA Model
Identification and Preliminary
Estimation . . . . . . . . . . . . . . . 183--204
C. Corradi and
C. Scarani A Note on the Computation of the
Bayesian Decomposition of a Time Series 205--212
David F. Findley On Some Ambiguities Associated with the
Fitting of ARMA Models to Time Series 213--225
Jurgen Franke On the Robust Prediction and
Interpolation of Time Series in the
Presence of Correlated Noise . . . . . . 227--244
Makio Ishiguro Computationally Efficient Implementation
of a Bayesian Seasonal Adjustment
Procedure . . . . . . . . . . . . . . . 245--253
N. D. Morris and
D. Pfeffermann A Kalman Filter Approach to the
Forecasting of Monthly Time Series
Affected by Morris Festivals . . . . . . 255--268
Daniel Peña The Autocorrelation Function of Seasonal
ARMA Models . . . . . . . . . . . . . . 269--272
Pham Dinh Tuan A Note on Some Statistics Useful in
Identifying the Order of Autoregressive
Moving Average Model . . . . . . . . . . 273--279
Paul D. Feigin and
Richard L. Tweedie Random Coefficient Autoregressive
Processes: a Markov Chain Analysis of
Stationarity and Finiteness of Moments 1--14
J.-P. Florens and
M. Mouchart Conditioning in Dynamic Models . . . . . 15--34
Helmut Lütkepohl Comparison of Criteria for Estimating
the Order of a Vector Autoregressive
Process . . . . . . . . . . . . . . . . 35--52
Chen Zhao-Guo The Asymptotic Efficiency of a Linear
Procedure of Estimation for ARMA Models 53--62
D. F. Gingras and
E. Masry Spectral Density Estimation from
Nonlinearly Observed Data . . . . . . . 63--80
Guy Mélard Examples of the Evolutionary Spectrum
Theory . . . . . . . . . . . . . . . . . 81--90
D. N. P. Murthy First Order Auto-Regressive Model
Parameter Estimation with Periodic
Observations . . . . . . . . . . . . . . 91--95
U. Stadtmüller and
R. Trautner Asymptotic Behaviour of Discrete Linear
Processes . . . . . . . . . . . . . . . 97--108
Harry H. Tigelaar Identification of Noisy Linear Systems
with Multiple ARMA Inputs . . . . . . . 109--115
Dag Tjòstheim and
Jostein Paulsen Least Squares Estimates and Order
Determination Procedures for
Autoregressive Processes with a Time
Dependent Variance . . . . . . . . . . . 117--133
Joe Whittaker Additive Elements of ARMA Models . . . . 135--140
Judith W. Koslov and
Richard H. Jones A Unified Approach to Confidence Bounds
for the Autoregressive Spectral
Estimator . . . . . . . . . . . . . . . 141--151
Keh-Shin Lii Transfer Function Model Order and
Parameter Estimation . . . . . . . . . . 153--169
Timo Teräsvirta Mink and Muskrat Interaction: A
Structural Analysis . . . . . . . . . . 171--180
Andrew A. Weiss The Stability of the $ {\rm AR}(1) $
Process with an $ {\rm AR}(1) $
Coefficient . . . . . . . . . . . . . . 181--186
Yoshihiro Yajima Asymptotic Properties of the Sample
Autocorrelations and Partial
Autocorrelations of a Multiplicative
ARIMA Process . . . . . . . . . . . . . 187--201
Phillip A. Cartwright Forecasting Time Series: A Comparative
Analysis of Alternative Classes of Time
Series Models . . . . . . . . . . . . . 203--211
Rainer Dahlhaus On the Asymptotic Distribution of
Bartlett's $ U_p $-Statistic . . . . . . 213--227
D. F. Findley On the Unbiasedness Property of AIC for
Exact Or Approximating Linear Stochastic
Time Series Models . . . . . . . . . . . 229--252
Reg Kulperger On an Optimality Property of Whittle's
Gaussian Estimate of the Parameter of
the Spectrum of a Time Series . . . . . 253--259
David S. Stoffer Central Limit Theorems for Finite
Walsh-Fourier Transforms of Weakly
Stationary Time Series . . . . . . . . . 261--267
N. Watanabe Note on the Kalman Filter with Estimated
Parameters . . . . . . . . . . . . . . . 269--278
Ji\vri And\vel and
Tomá\^s Barto\vn A Note on the Threshold $ {\rm AR}(1) $
Model with Cauchy Innovations . . . . . 1--5
D. S. Coates and
P. J. Diggle Tests for Comparing Two Estimated
Spectral Densities . . . . . . . . . . . 7--20
John Darroch and
Miloslav Jirina and
John McDonald The Sum of Finite Moving Average
Processes . . . . . . . . . . . . . . . 21--25
E. J. Hannan and
L. Kavalieris Regression, Autoregression Models . . . 27--49
Dag Tjòstheim Some Doubly Stochastic Time Series
Models . . . . . . . . . . . . . . . . . 51--72
Pham Dinh Tuan A Frequency Domain Approach to Lagrange
Multiplier Test for Autoregressive
Moving Average Models . . . . . . . . . 73--78
R. J. Bhansali The Criterion Autoregressive Transfer
Function of Parzen . . . . . . . . . . . 79--104
Deborah A. Guyton and
Nien-Fan Zhang and
Robert V. Foutz A Random Parameter Process for Modeling
and Forecasting Time Series . . . . . . 105--115
Kuldeep Kumar On the Identification of Some Bilinear
Time Series Models . . . . . . . . . . . 117--122
Mohsen Pourahmadi On Stationarity of the Solution of a
Doubly Stochastic Model . . . . . . . . 123--131
Pentti Saikkonen Asymptotic Properties of Some
Preliminary Estimators for
Autoregressive Moving Average Time
Series Models . . . . . . . . . . . . . 133--155
S. I. Akamanam and
M. Bhaskara Rao and
K. Subramanyam On the Ergodicity of Bilinear Time
Series Models . . . . . . . . . . . . . 157--163
Anonymous Announcement . . . . . . . . . . . . . . i--i
Richard A. Ashley and
Douglas M. Patterson and
Melvin J. Hinich A Diagnostic Test for Nonlinear Serial
Dependence in Time Series Fitting Errors 165--178
K. S. Chan and
H. Tong On Estimating Thresholds in
Autoregressive Models . . . . . . . . . 179--190
Piet de Jong State Transition Specification in
State-Space Models . . . . . . . . . . . 213--216
Wolfgang Härdle and
Pham-Dinh Tuan Some Theory on $M$-Smoothing of Time
Series . . . . . . . . . . . . . . . . . 191--204
Göran Högnäs Comparison of Some Non-Linear
Autoregressive Processes . . . . . . . . 205--211
D. S. Poskitt and
A. R. Tremayne Some Aspects of the Performance of
Diagnostic Checks in Bivariate Time
Series Models . . . . . . . . . . . . . 217--233
T. W. Anderson and
Akimichi Takemura Why Do Noninvertible Estimated Moving
Averages Occur? . . . . . . . . . . . . 235--254
Don Coursey and
Hans Nyquist A Procedure for Obtaining $M$-Estimates
in Regression Models with Serially
Dependent Errors . . . . . . . . . . . . 255--267
Joseph D. Petruccelli On the Consistency of Least Squares
Estimators for a Threshold $ {\rm AR}(1)
$ Model . . . . . . . . . . . . . . . . 269--278
Daniel O. Stram and
William W. S. Wei A Methodological Note on the
Disaggregation of Time Series Totals . . 293--302
Daniel O. Stram and
William W. S. Wei Temporal Aggregation in the ARIMA
Process . . . . . . . . . . . . . . . . 279--292
Andrew A. Weis On the Stability of a Heteroscedastic
Process . . . . . . . . . . . . . . . . 303--310
Juha Ahtola and
George C. Tiao Distributions of Least Squares
Estimators of Autoregressive Parameters
for a Process with Complex Roots on the
Unit Circle . . . . . . . . . . . . . . 1--14
Juha Ahtola and
George C. Tiao A Note on Asymptotic Inference in
Autoregressive Models with Roots on the
Unit Circle . . . . . . . . . . . . . . 15--19
Kaizô I. Beltrato and
Peter Bloomfield Determining the Bandwidth of a Kernel
Spectrum Estimate . . . . . . . . . . . 21--38
Benjamin Kedem Detection of Periodicities by
Higher-Order Crossings . . . . . . . . . 39--50
Keith Knight Rate of Convergence of Centred Estimates
of Autoregressive Parameters for
Infinite Variance Autoregressions . . . 51--60
V. A. Samaranayake and
David P. Hasza The Asymptotic Properties of the Sample
Autocorrelations for a Multiple
Autoregressive Process with One Unit
Root . . . . . . . . . . . . . . . . . . 79--93
B. L. Shea Estimation of Multivariate Time Series 95--109
Masanobu Taniguchi Third Order Asymptotic Properties of
BLUE and LSE for a Regression Model with
ARMA Residual . . . . . . . . . . . . . 111--114
Pham Dinh Tuan Exact Maximum Likelihood Estimate and
Lagrange Multiplier Test Statistic for
ARMA Models . . . . . . . . . . . . . . 61--78
Kenneth F. Wallis Time Series Analysis of Bounded Economic
Variables . . . . . . . . . . . . . . . 115--123
Piero Barone A Method for Generating Independent
Realizations of a Multivariate Normal
Stationary and Invertible $ {\rm
ARMA}(p, q) $ Process . . . . . . . . . 125--130
Corrado Corradi and
Claudia Scarani Improving the Computational Efficiency
of the Bayesian Decomposition of a Time
Series: a Comment . . . . . . . . . . . 131--133
Serge Degerine Maximum Likelihood Estimation of
Autocovariance Matrices from Replicated
Short Time Series . . . . . . . . . . . 135--146
Ludwig Fahrmeir and
Heinz Kaufmann Regression Models for Non-Stationary
Categorical Time Series . . . . . . . . 147--160
K. S. Lim A Comparative Study of Various
Univariate Time Series Models for
Canadian Lynx Data . . . . . . . . . . . 161--176
Agustin Maravall and
David A. Pierce A Prototypical Seasonal Adjustment Model 177--193
Abdelkader Mokkadem Sur un modéle autorégressif non linéaire,
ergodicité et ergodicité géométrique.
(French) [On a non-linear autoregressive
model, ergodicity and geometric
ergodicity] . . . . . . . . . . . . . . 195--204
Boaz Porat Some Asymptotic Properties of the Sample
Covariances of Gaussian Autoregressive
Moving-Average Processes . . . . . . . . 205--220
Boonchai K. Stensholt and
Dag Tjòstheim Multiple Bilinear Time Series Models . . 221--233
S. Yakowitz Nearest-Neighbour Methods for Time
Series Analysis . . . . . . . . . . . . 235--247
Juan Carlos Abril The Approximate Densities of Some
Quadratic Forms of Stationary Random
Variables . . . . . . . . . . . . . . . 249--259
M. A. Al-Osh and
A. A. Alzaid First-Order Integer-Valued
Autoregressive ($ {\rm INAR}(1) $)
Process . . . . . . . . . . . . . . . . 261--275
Anonymous Correction . . . . . . . . . . . . . . . i--i
K. S. Chan and
H. Tong A Note on Embedding a Discrete Parameter
ARMA Model in a Continuous Parameter
ARMA Model . . . . . . . . . . . . . . . 277--281
Kamal C. Chanda Asymptotic Expansions for the
Distributions of Serial Correlations . . 283--291
Tomás Cipra and
Pavel Tlustý Estimation in Multiple
Autoregressive-Moving Average Models
Using Periodicity . . . . . . . . . . . 293--300
Paul Kabaila On Rissanen's Lower Bound on the
Accumulated Mean-Square Prediction Error 301--309
Antti J. Kanto A Formula for the Inverse
Autocorrelation Function of an
Autoregressive Process . . . . . . . . . 311--312
C. O'Brien A Test for Non-Linearity of Prediction
in Time Series . . . . . . . . . . . . . 313--327
P. M. Robinson Time Series Residuals with Application
to Probability Density Estimation . . . 329--344
Sándor Veres Asymptotic Distributions of Likelihood
Ratios for Overparametrized ARMA
Processes . . . . . . . . . . . . . . . 345--357
Kent D. Wall Identification Theory for Varying
Coefficient Regression Models . . . . . 359--371
Jirí Andel On Linear Processes with Given Moments 373--378
M. A. Cameron An Automatic Non-Parametric Spectrum
Estimator . . . . . . . . . . . . . . . 379--387
Dominique. Guegan Different Representations for Bilinear
Models . . . . . . . . . . . . . . . . . 389--408
Marc. Hallin and
Jean-François Ingenbleek and
Madan L. Puri Linear and Quadratic Serial Rank Tests
for Randomness Against Serial Dependence 409--424
Roselyne. Joyeux Slowly Changing Processes and
Harmonizability . . . . . . . . . . . . 425--431
Mike I. Moore and
Andy W. Visser and
Tim G. L. Shirtcliffe Experiences with the Brillinger Spectral
Estimator Applied to Simulated
Irregularly Observed Processes . . . . . 433--442
John. Pemberton Exact Least Squares Multi-Step
Prediction from Nonlinear Autoregressive
Models . . . . . . . . . . . . . . . . . 443--448
David S. Stoffer Walsh-Fourier Analysis of
Discrete-Valued Time Series . . . . . . 449--467
Ladislav. Tomásek Asymptotic Simultaneous Confidence Bands
for Autoregressive Spectral Density . . 469--477
Raja P. Velu and
Dean W. Wichern and
Gregory C. Reinsel A Note on Non-Stationarity and Canonical
Analysis of Multiple Time Series Models 479--487
Francesco Battaglia On the Estimation of the Inverse
Correlation Function . . . . . . . . . . 1--10
M. M. Gabr On the Third-Order Moment Structure and
Bispectral Analysis of Some Bilinear
Time Series . . . . . . . . . . . . . . 11--20
E. J. Hannan and
P. J. Thomson Time Delay Estimation . . . . . . . . . 21--33
R. L. Kashyap and
Kie-Bum Eom Estimation in Long-Memory Time Series
Model . . . . . . . . . . . . . . . . . 35--41
Richard A. Lewis and
Gregory C. Reinsel Prediction Error of Multivariate Time
Series with Mis-Specified Models . . . . 43--57
Pieter W. Otter Structural, Dynamic Modelling in
Unobservable Spaces of
Covariance-Stationary Stochastic
Processes . . . . . . . . . . . . . . . 59--72
D. Ray Asymptotic Mean Square Prediction Error
for a Multivariate Autoregressive Model
with Random Coefficients . . . . . . . . 73--80
Thomas S. Shively An Exact Test for a Stochastic
Coefficient in a Time Series Regression
Model . . . . . . . . . . . . . . . . . 81--88
Antonie Stam and
Steven C. Hillmer Marginals of Multivariate First-Order
Autoregressive Time Series Models . . . 89--97
A. Thavaneswaran and
B. Abraham Estimation for Non-Linear Time Series
Models Using Estimating Equations . . . 99--108
Bovas Abraham and
Nihal Yatawara A Score Test for Detection of Time
Series Outliers . . . . . . . . . . . . 109--119
Tim Bollerslev On the Correlation Structure for the
Generalized Autoregressive Conditional
Heteroskedastic Process . . . . . . . . 121--131
H. L. Gray and
Nien Fan Zhang On a Class of Nonstationary Processes 133--154
W. K. Li and
A. I. McLeod Arma Modelling with Non-Gaussian
Innovations . . . . . . . . . . . . . . 155--168
Michael McAleer and
C. R. McKenzie and
A. D. Hall Testing Separate Time Series Models . . 169--189
Alexander Samarov and
Murad S. Taqqu On the Efficiency of the Sample Mean in
Long-Memory Noise . . . . . . . . . . . 191--200
A. C. Harvey and
P. M. Robinson Efficient Estimation of Nonstationary
Time Series Regression . . . . . . . . . 201--214
M. S. Peiris and
B. J. C. Perera On Prediction with Fractionally
Differenced ARIMA Models . . . . . . . . 215--220
B. M. Pötscher and
E. Reschenhofer Discriminating Between Two Spectral
Densities in Case of Replicated
Observations . . . . . . . . . . . . . . 221--224
Mohsen Pourahmadi Stationarity of the Solution of $ X_t =
A_t X_{t - 1} + \epsilon_t $ and
Analysis of Non-Gaussian Dependent
Random Variables . . . . . . . . . . . . 225--239
B. G. Quinn A Note on AIC Order Determination for
Multivariate Autoregressions . . . . . . 241--245
Ruey S. Tsay Non-Linear Time Series Analysis of
Blowfly Population . . . . . . . . . . . 247--263
Pham Dinh Tuan Estimation of Autoregressive Parameters
and Order Selection for ARMA Models . . 265--279
E. Willekens and
J. L. Teugels Subordination of Stationary Processes 281--299
Chen Zhao-Guo An Alternative Consistent Procedure for
Detecting Hidden Frequencies . . . . . . 301--317
Kung-sik Chan On the Existence of the Stationary and
Ergodic Near( p ) Model . . . . . . . . 319--328
C. W. J. Granger Models That Generate Trends . . . . . . 329--343
Mituaki Huzii Some Properties of Conditional
Quasi-Likelihood Functions for Time
Series Model Fitting . . . . . . . . . . 345--353
Greta M. Ljung On the Lagrange Multiplier Test for
Autoregressive Moving-Average Models . . 355--359
V. A. Samaranayake and
David P. Hasza Properties of Predictors for
Multivariate Autoregressive Models with
Estimated Parameters . . . . . . . . . . 361--383
S. A. O. Sesay and
T. Subba Rao Yule--Walker Type Difference Equations
for Higher-Order Moments and Cumulants
for Bilinear Time Series Models . . . . 385--401
B. L. Shea A Note on the Generation of Independent
Realizations of a Vector Autoregressive
Moving-Average Process . . . . . . . . . 403--410
C. J. Tian A Limiting Property of Sample
Autocovariances of Periodically
Correlated Processes with Application to
Period Determination . . . . . . . . . . 411--417
Jirí Andel Non-Negative Autoregressive Processes 1--11
E. J. Hannan and
B. G. Quinn The Resolution of Closely Adjacent
Spectral Lines . . . . . . . . . . . . . 13--31
Jian Liu A Simple Condition for the Existence of
Some Stationary Bilinear Time Series . . 33--39
Guy Mélard and
Annie Herteleer-de Schutter Contributions to Evolutionary Spectral
Theory . . . . . . . . . . . . . . . . . 41--63
Joseph D. Petruccelli Autoregressive Processes with Normal
Stationary Distributions . . . . . . . . 65--70
B. G. Quinn Estimating the Number of Terms in a
Sinusoidal Regression . . . . . . . . . 71--75
Adi Raveh A New Version of Structural Persistence
in Prediction . . . . . . . . . . . . . 77--93
M. S. Al-Qassam and
J. A. Lane Forecasting Exponential Autoregressive
Models of Order 1 . . . . . . . . . . . 95--113
Yudianto Pawitan and
R. H. Shumway Spectral Estimation and Deconvolution
for a Linear Time Series Model . . . . . 115--129
Andy Pole and
Mike West Reference Analysis of the Dynamic Linear
Model . . . . . . . . . . . . . . . . . 131--147
Mohsen Pourahmadi Estimation and Interpolation of Missing
Values of a Stationary Time Series . . . 149--169
T. Subba Rao and
M. M. Gabr The Estimation of Spectrum, Inverse
Spectrum and Inverse Autocovariances of
a Stationary Time Series . . . . . . . . 183--202
Fuminori Sakaguchi and
Hideaki Sakai A Composite Linear Model Generating a
Stationary Stochastic Process with Given
Third-Order Autocorrelation Function . . 171--181
Javier Alagón Spectral Discrimination for Two Groups
of Time Series . . . . . . . . . . . . . 203--214
R. J. Bhansali Estimation of the Moving-Average
Representation of a Stationary Process
by Autoregressive Model Fitting . . . . 215--232
Henry L. Gray and
Nien-Fan Zhang and
Wayne A. Woodward On Generalized Fractional Processes . . 233--257
Luiz Koodi Hotta Identification of Unobserved Components
Models . . . . . . . . . . . . . . . . . 259--270
L. Kavalieris The Estimation of the Order of an
Autoregression Using Recursive Residuals
and Cross-Validation . . . . . . . . . . 271--281
Bo Wahlberg Estimation of Autoregressive
Moving-Average Models Via High-Order
Autoregressive Approximations . . . . . 283--299
John T. Batts and
Robert F. McNown The Predictive Performance of Three
Autoregressive Moving-Average Models: A
Monte Carlo Investigation . . . . . . . 301--314
S. W. He and
J. G. Wang On Embedding a Discrete-Parameter ARMA
Model in a Continuous-Parameter ARMA
Model . . . . . . . . . . . . . . . . . 315--323
Sergio Koreisha and
Tarmo Pukkila Fast Linear Estimation Methods for
Vector Autoregressive Moving-Average
Models . . . . . . . . . . . . . . . . . 325--339
Jian Liu On the Existence of a General Multiple
Bilinear Time Series . . . . . . . . . . 341--355
Ruey S. Tsay Identifying Multivariate Time Series
Models . . . . . . . . . . . . . . . . . 357--372
G. Tunnicliffe-Wilson Non-Linear and Non-Stationary Time
Series Analysis . . . . . . . . . . . . 385--386
Gu Xinjian and
Huang Yiyun A Simulation Method for Non-Normal
Random Processes . . . . . . . . . . . . 373--374
Yoshihiro Yajima A Central Limit Theorem of Fourier
Transforms of Strongly Dependent
Stationary Processes . . . . . . . . . . 375--383
Stig-Inge Beckman and
Jan Holst and
Georg Lindgren Alarm Characteristics for a Flood
Warning System with Deterministic
Components . . . . . . . . . . . . . . . 1--18
G. J. Janacek and
A. L. Swift A Class of Models for Non-Normal Time
Series . . . . . . . . . . . . . . . . . 19--31
R. Moeanaddin and
Howell Tong Numerical Evaluation of Distributions in
Non-Linear Autoregression . . . . . . . 33--48
Hideaki Sakai and
Fuminori Sakaguchi Simultaneous Confidence Bands for the
Spectral Estimate of Two-Channel
Autoregressive Processes . . . . . . . . 49--56
David S. Stoffer Multivariate Walsh-Fourier Analysis . . 57--73
B. Y. Thanoon Subset Threshold Autoregression with
Applications . . . . . . . . . . . . . . 75--87
F. Javier Fernández Estimation and Testing of a Multivariate
Exponential Smoothing Model . . . . . . 89--105
Dawei Huang Selecting Order for General
Autoregressive Models by Minimum
Description Length . . . . . . . . . . . 107--119
Clifford M. Hurvich and
Kaizô I. Beltrato Cross-Validatory Choice of a Spectrum
Estimate and Its Connections with AIC 121--137
Sergio Koreisha and
Tarmo Pukkila A Generalized Least-Squares Approach for
Estimation of Autoregressive
Moving-Average Models . . . . . . . . . 139--151
Domenico Piccolo A Distance Measure for Classifying ARIMA
Models . . . . . . . . . . . . . . . . . 153--164
B. M. Pötscher Estimation of Autoregressive
Moving-Average Order Given an Infinite
Number of Models and Approximation of
Spectral Densities . . . . . . . . . . . 165--179
Craig F. Ansley and
Robert Kohn A Note on Square Root Filtering for
Vector Autoregressive Moving-Average
Models . . . . . . . . . . . . . . . . . 181--183
K. C. Chanda and
F. H. Ruymgaart General Linear Processes: A Property of
the Empirical Process Applied to Density
and Mode Estimation . . . . . . . . . . 185--199
Shuyuan He and
Benjamin Kedem The Zero-Crossing Rate of Autoregressive
Processes and Its Link to Unit Roots . . 201--213
Won Kyung Kim and
L. Billard and
I. V. Basawa Estimation for the First-Order Diagonal
Bilinear Time Series Model . . . . . . . 215--229
André Klein and
Guy Mélard Fisher's Information Matrix for Seasonal
Autoregressive-Moving Average Models . . 231--237
Theo Nijman and
Franz Palm Parameter Identification in ARMA
Processes in the Presence of Regular But
Incomplete Sampling . . . . . . . . . . 239--248
Alun Lloyd Pope Biases of Estimators in Multivariate
Non-Gaussian Autoregressions . . . . . . 249--258
Nalini Ravishanker and
Edward L. Melnick and
Chih-Ling Tsai Differential Geometry of ARMA Models . . 259--274
Craig F. Ansley and
Robert Kohn Filtering and Smoothing in State Space
Models with Partially Diffuse Initial
Conditions . . . . . . . . . . . . . . . 275--293
Dawei Huang Levinson-Type Recursive Algorithms for
Least-Squares Autoregression . . . . . . 295--315
Johannes Ledolter Outlier Diagnostics in Time Series
Analysis . . . . . . . . . . . . . . . . 317--324
M. S. Mackisack and
D. S. Poskitt Some Properties of Autoregressive
Estimates for Processes with Mixed
Spectra . . . . . . . . . . . . . . . . 325--337
N. G. Shephard and
A. C. Harvey On the Probability of Estimating a
Deterministic Component in the Local
Level Model . . . . . . . . . . . . . . 339--347
A. L. Swift Orders and Initial Values of
Non-Stationary Multivariate ARMA Models 349--359
K. L. Vaninskii and
A. M. Yaglom Stationary Processes with a Finite
Number of Non-Zero Canonical
Correlations Between Future and Past . . 361--375
Masanao Aoki A State Space Time Series Modelling
Method Without Individual Detrending . . 1--26
Qiansheng Cheng Parameter Estimation in Exponential
Models . . . . . . . . . . . . . . . . . 27--40
James Davidson The Cointegration Properties of Vector
Autoregression Models . . . . . . . . . 41--62
Peter T. Kim Consistent Estimation of the
Fourth-Order Cumulant Spectral Density 63--71
Hideaki Sakai On the Spectral Density Matrix of a
Periodic ARMA Process . . . . . . . . . 73--82
Myint Swe and
Masanobu Taniguchi Higher-Order Asymptotic Properties of a
Weighted Estimator for Gaussian ARMA
Processes . . . . . . . . . . . . . . . 83--93
William T. M. Dunsmuir and
Nancy M. Spencer Strong Consistency and Asymptotic
Normality of /1 Estimates of the
Autoregressive Moving-Average Model . . 95--104
Carlo Grillenzoni Iterative and Recursive Estimation of
Transfer Functions . . . . . . . . . . . 105--127
Du Jin-Guan and
Li Yuan The Integer-Valued Autoregressive $
({\rm INAR}(p)) $ Model . . . . . . . . 129--142
Piet De Jong Stable Algorithms for the State Space
Model . . . . . . . . . . . . . . . . . 143--157
S. A. O. Sesay and
T. Subba Rao Difference Equations for Higher-Order
Moments and Cumulants for the Bilinear
Time Series Model ${\rm Bl}(p, 0, p, 1)$ 159--177
L. Billard and
Fouad Y. Mohamed Estimation of the Parameters of an ${\rm
Ear}(p)$ Process . . . . . . . . . . . . 179--192
Byoung Seon Choi On the Asymptotic Distribution of the
Generalized Partial Autocorrelation
Function in Autoregressive
Moving-Average Processes . . . . . . . . 193--205
C. W. J. Granger and
Jeff Hallman Nonlinear Transformations of Integrated
Time Series . . . . . . . . . . . . . . 207--224
Raymond L. H. Lam and
Donald G. Watts Profile Summaries for ARIMA Time Series
Model Parameters . . . . . . . . . . . . 225--235
Piotr W. Mikulski and
Michael J. Monsour Optimality of the Maximum Likelihood
Estimator in First-Order Autoregressive
Processes . . . . . . . . . . . . . . . 237--253
H. Joseph Newton and
Gerald R. North and
Thomas J. Crowley Forecasting Global Ice Volume . . . . . 255--265
Fuminori Sakaguchi A Relation for `Linearity' of the
Bispectrum . . . . . . . . . . . . . . . 267--272
A. Azzalini and
A. C. Frigo An Explicit Nearly Unbiased Estimate of
the $ {\rm AR}(1) $ Parameter for
Repeated Measurements . . . . . . . . . 273--281
William Bell and
Steven Hillmer Initializing the Kalman Filter for
Nonstationary Time Series Models . . . . 283--300
Kamal C. Chanda Stationarity and Central Limit Theorem
Associated with Bilinear Time Series
Models . . . . . . . . . . . . . . . . . 301--313
Shean-Tsong Chiu A Linear Estimation Procedure for the
Parameters of Autoregressive
Moving-Average Processes . . . . . . . . 315--327
D. R. Cox Long-Range Dependence, Non-Linearity and
Time Irreversibility . . . . . . . . . . 329--335
Harry L. Hurd and
Neil L. Gerr Graphical Methods for Determining the
Presence of Periodic Correlation . . . . 337--350
Guy Melard and
Marianne Paesmans and
Roch Roy Consistent Estimation of the Asymptotic
Covariance Structure of Multivariate
Serial Correlations . . . . . . . . . . 351--361
Gwo-Hsing Yu and
Yow-Chang Lin A Methodology for Selecting Subset
Autoregressive Time Series Models . . . 363--373
Hector Allende and
Siegfried Heiler Recursive Generalized M Estimates for
Autoregressive Moving-Average Models . . 1--18
Ngai Hang Chan and
Lanh Tat Tran Nonparametric Tests for Serial
Dependence . . . . . . . . . . . . . . . 19--28
Alastair Hall Joint Hypothesis Tests for a Random Walk
Based on Instrumental Variable
Estimators . . . . . . . . . . . . . . . 29--45
F. Javier Hidalgo Adaptive Semiparametric Estimation in
the Presence of Autocorrelation of
Unknown Form . . . . . . . . . . . . . . 47--78
Vance L. Martin Threshold Time Series Models As
Multimodal Distribution Jump Processes 79--94
Peter J. Brockwell and
Jian Liu and
Richard L. Tweedie On the Existence of Stationary Threshold
Autoregressive Moving-Average Processes 95--107
Roselyne Joyeux Tests for Seasonal Cointegration Using
Principal Components . . . . . . . . . . 109--118
K. S. Lim On the Stability of a Threshold $ {\rm
AR}(1) $ Without Intercepts . . . . . . 119--132
Gregory C. Reinsel and
Sabyasachi Basu and
Sook Fwe Yap Maximum Likelihood Estimators in the
Multivariate Autoregressive
Moving-Average Model from a Generalized
Least Squares Viewpoint . . . . . . . . 133--145
Dinh Pham Tuan Approximate Distribution of Parameter
Estimators for First-Order
Autoregressive Models . . . . . . . . . 147--170
Guofu Zhou Algorithms for Estimation of Possibly
Nonstationary Vector Time Series . . . . 171--188
Anonymous Correction . . . . . . . . . . . . . . . 281--282
P. Burman and
D. Nolan Data-Dependent Estimation of Prediction
Functions . . . . . . . . . . . . . . . 189--207
Wolfgang Härdle and
Philippe Vieu Kernel Regression Smoothing of Time
Series . . . . . . . . . . . . . . . . . 209--232
Melvin J. Hinich and
Douglas M. Patterson A New Diagnostic Test of Model
Inadequacy Which Uses the Martingale
Difference Criterion . . . . . . . . . . 233--252
A. J. Lawrance and
P. A. W. Lewis Reversed Residuals in Autoregressive
Time Series Analysis . . . . . . . . . . 253--266
A. Rabinovitch and
R. Thieberger `Purifying' Noisy Signals . . . . . . . 267--280
An Hong-zhi Non-Negative Autoregressive Models . . . 283--295
Jens-Peter Kreiss and
Jürgen Franke Bootstrapping Stationary Autoregressive
Moving-Average Models . . . . . . . . . 297--317
Jian Liu Spectral Radius, Kronecker Products and
Stationarity . . . . . . . . . . . . . . 319--325
J. M. Marriott and
A. F. M. Smith Reparametrization Aspects of Numerical
Bayesian Methodology for Autoregressive
Moving-Average Models . . . . . . . . . 327--343
Mohsen Pourahmadi and
A. G. Miamee Computation of Canonical Correlation
Between Past and Future of a Time Series 345--351
Gregory C. Reinsel and
Sung K. Ahn Vector Autoregressive Models with Unit
Roots and Reduced Rank Structure:
Estimation. Likelihood Ratio Test, and
Forecasting . . . . . . . . . . . . . . 353--375
F. J. Breidt and
R. A. Davis Time-Reversibility, Identifiability and
Independence of Innovations for
Stationary Time Series . . . . . . . . . 377--390
K.-S. Lii and
T.-H. Tsou Detecting Sinusoids in Non-Gaussian
Noise . . . . . . . . . . . . . . . . . 391--409
Pablo Marshall State Space Models with Diffuse Initial
Conditions . . . . . . . . . . . . . . . 411--414
Efstathios Paparoditis and
Bernd Streitberg Order Identification Statistics in
Stationary Autoregressive Moving-Average
Models:Vector Autocorrelations and the
Bootstrap . . . . . . . . . . . . . . . 415--434
E. Reschenhofer and
I. M. Bomze Testing for White Noise Against
Multimodal Spectral Alternatives . . . . 435--439
A. G. Rigas Spectral Analysis of Stationary Point
Processes Using the Fast Fourier
Transform Algorithm . . . . . . . . . . 441--450
H.-C. Zhang Reduction of the Asymptotic Bias of
Autoregressive and Spectral Estimators
by Tapering . . . . . . . . . . . . . . 451--469
C. Agiakloglou and
P. Newbold Empirical Evidence on
Dickey--Fuller-Type Tests . . . . . . . 471--483
O. D. Anderson Partial Autocorrelation Properties for
Non-Stationary Autoregressive
Moving-Average Models . . . . . . . . . 485--500
A. K. Bera and
M. L. Higgins A Test for Conditional
Heteroskedasticity in Time Series Models 501--519
S. A. O. Sesay and
T. Subba Rao Frequency-Domain Estimation of Bilinear
Time Series Models . . . . . . . . . . . 521--545
J. Yuan and
T. Subba Rao Classification of Textures Using
Second-Order Spectra . . . . . . . . . . 547--562
P. L. Anderson and
A. V. Vecchia Asymptotic Results for Periodic
Autoregressive Moving-Average Processes 1--18
J. R. M. Hosking and
Nalini Ravishanker Approximate Simultaneous Significance
Intervals for Residual Autocorrelations
of Autoregressive Moving-Average Time
Series Models . . . . . . . . . . . . . 19--26
D. Huang and
V. V. Anh Estimation of the Non-Stationary Factor
in Aruma Models . . . . . . . . . . . . 27--46
Sergio G. Koreisha and
Tarmo Pukkila Determining the Order of a Vector
Autoregression When the Number of
Component Series Is Large . . . . . . . 47--69
William P. McCormick and
George Mathew Estimation for Nonnegative
Autoregressive Processes with an Unknown
Location Parameter . . . . . . . . . . . 71--92
Sean P. Meyn and
Lei Guo Geometric Ergodicity of a Doubly
Stochastic Time Series Model . . . . . . 93--108
Jirí Andel A Time Series Model with Suddenly
Changing Parameters . . . . . . . . . . 111--123
R. J. Bhansali Estimation of the Prediction Error
Variance and an $ R^2 $ Measure by
Autoregressive Model Fitting . . . . . . 125--146
E. J. Hannan and
D. Huang On-Line Frequency Estimation . . . . . . 147--161
P. E. Hodges and
D. F. Hale A Computational Method for Estimating
Densities of Non-Gaussian Nonstationary
Univariate Time Series . . . . . . . . . 163--178
An Hong-Zhi and
Huang Fuchun Estimation for Regressive and
Autoregressive Models with Non-Negative
Residual Errors . . . . . . . . . . . . 179--191
Donald E. K. Martin and
Benjamin Kedem Estimation of the Period of Periodically
Correlated Sequences . . . . . . . . . . 193--205
A. I. McLeod A Note on ARMA Model Parameter
Redundancy . . . . . . . . . . . . . . . 207--208
Timo Teräsvirta and
Chien-Fu Lin and
Clive W. J. Granger Power of the Neural Network Linearity
Test . . . . . . . . . . . . . . . . . . 209--220
Bovas Abraham and
Alice Chuang Expectation-Maximization Algorithms and
the Estimation of Time Series Models in
the Presence of Outliers . . . . . . . . 221--234
Christos Agiakloglou and
Paul Newbold and
Mark Wohar Bias in an Estimator of the Fractional
Difference Parameter . . . . . . . . . . 235--246
Jushan Bai On the Partial Sums of Residuals in
Autoregressive and Moving Average Models 247--260
L. K. Hotta and
J. Cardosc Neto The Effect of Aggregation on Prediction
in Autoregressive Integrated
Moving-Average Models . . . . . . . . . 261--269
Clifford M. Hurvich and
Chih-Ling Tsai A Corrected Akaike Information Criterion
for Vector Autoregressive Model
Selection . . . . . . . . . . . . . . . 271--279
Rob J. Hyndman Yule--Walker Estimates for
Continuous-Time Autoregressive Models 281--296
Dankit Nassiuma Non-Stationary Autoregressive
Moving-Average Processes with Infinite
Variance . . . . . . . . . . . . . . . . 297--304
Sa\"\id Nsiri and
Roch Roy On the Invertibility of Multivariate
Linear Processes . . . . . . . . . . . . 305--316
James C. Spall The Distribution of Nonstationary
Autoregressive Processes Under General
Noise Conditions . . . . . . . . . . . . 317--330
Yin-Wong Cheung Tests for Fractional Integration: A
Monte Carlo Investigation . . . . . . . 331--345
Peter Hall and
Jeffrey D. Hart On the Probability of Error When Using a
General Akaike-Type Criterion to
Estimate Autoregression Order . . . . . 347--368
Uwe Hassler Regression of Spectral Estimators with
Fractionally Integrated Time Series . . 369--380
B. Smith and
C. Field Variance Estimation for Quadratic
Statistics . . . . . . . . . . . . . . . 381--395
Masanobu Taniguchi and
Masao Kondo Non-Parametric Approach in Time Series
Analysis . . . . . . . . . . . . . . . . 397--408
Clélia M. C. Toloi and
Pedro A. Morettin Spectral Analysis for
Amplitude-Modulated Time Series . . . . 409--432
Xiaobao Wang An AIC Type Estimator for the Number of
Cosinusoids . . . . . . . . . . . . . . 433--440
John Geweke and
Nobuhiko Terui Bayesian Threshold Autoregressive Models
for Nonlinear Time Series . . . . . . . 441--454
Uwe Hassler The Periodogram Regression . . . . . . . 549--549
Clifford M. Hurvich and
Kaizo I. Beltrao Asymptotics for the Low-Frequency
Ordinates of the Periodogram of a
Long-Memory Time Series . . . . . . . . 455--472
Paul Kabaila On Bootstrap Predictive Inference for
Autoregressive Processes . . . . . . . . 473--484
L. Kavalieris Transfer Function Estimation . . . . . . 485--496
M. Minozzo and
A. Azzalini On the Unimodality of the Exact
Likelihood Function for Normal $ {\rm
AR}(2) $ Series . . . . . . . . . . . . 497--509
Bonnie K. Ray Modeling Long-Memory Processes for
Optimal Long-Range Prediction . . . . . 511--525
Hermann Singer Continuous-Time Dynamical Systems with
Sampled Data, Errors of Measurement and
Unobserved Components . . . . . . . . . 527--545
J. C. Spall Correction to ``The Distribution of
Nonstationary Autoregressive Processes
Under General Noise Conditions'' . . . . 550--550
Xiaobao Wang Non-Singularity of Fisher Information
for Autoregressive Moving-Average
Processes . . . . . . . . . . . . . . . 547--548
Oliver D. Anderson Exact General-Lag Serial Correlation
Moments and Approximate Low-Lag Partial
Correlation Moments for Gaussian White
Noise . . . . . . . . . . . . . . . . . 551--574
Ta-Hsin Li Estimation and Blind Deconvolution of
Autoregressive Systems with
Nonstationary Binary Inputs . . . . . . 575--588
Gaëtan Libert and
Liang Wang and
Bao Liu An Innovation State Space Approach for
Time Series Forecasting . . . . . . . . 589--601
Jack H. W. Penm and
Jammie H. Penm and
R. D. Terrell The Recursive Fitting of Subset VARX
Models . . . . . . . . . . . . . . . . . 603--619
Hideaki Sakai The Determination of the Number of Terms
in a Multichannel Sinusoidal Regression 621--628
Dong Wan Shin Maximum Likelihood Estimation for
Autoregressive Processes Disturbed by a
Moving Average . . . . . . . . . . . . . 629--643
Taylan A. Ula Forecasting of Multivariate Periodic
Autoregressive Moving-Average Processes 645--657
Ming Chun Chang and
David A. Dickey Recognizing Overdifferenced Time Series 1--18
Uwe Hassler (Mis)Specification of Long Memory in
Seasonal Time Series . . . . . . . . . . 19--30
Clifford M. Hurvich and
Kaizo I. Beltrao Acknowledgement of Priority for
``Asymptotics for the Low-Frequency
Ordinates of the Periodogram of a
Long-Memory Time Series'' . . . . . . . 64--64
A. Kadi and
G. Oppenheim and
M. C. Viano Random Aggregation of Univariate and
Multivariate Linear Processes . . . . . 31--43
Benjamin Kedem and
James Troendle An Iterative Filtering Algorithm for
Non-Fourier Frequency Estimation . . . . 45--63
Jenny N. Lye and
Vance L. Martin Non-Linear Time Series Modelling and
Distributional Flexibility . . . . . . . 65--84
D. Pfeffermann A General Method for Estimating the
Variances of X-11 Seasonally Adjusted
Estimators . . . . . . . . . . . . . . . 85--116
Guoqiang Zhang and
Masanobu Taniguchi Discriminant Analysis for Stationary
Vector Time Series . . . . . . . . . . . 117--126
Peter Bloomfield and
Harry L. Hurd and
Robert B. Lund Periodic Correlation in Stratospheric
Ozone Data . . . . . . . . . . . . . . . 127--150
D. R. Cox Book Review: \booktitleDevelopments in
Time Series Analysis, T. Subba Rao,
Editor . . . . . . . . . . . . . . . . . 251--252
Pidt de Jong and
Singfat Chu-Chun-Lin Stationary and Non-Stationary State
Space Models . . . . . . . . . . . . . . 151--166
John L. Eltinge Comparison of Time and Cross-Sectional
Aggregation Under a Time Series Random
Component Model . . . . . . . . . . . . 167--181
Sylvia Frühwirth-Schnatter Data Augmentation and Dynamic Linear
Models . . . . . . . . . . . . . . . . . 183--202
Piotr S. Kokoszka and
Murad S. Taqqu Infinite Variance Stable ARMA Processes 203--220
Robert E. McCulloch and
Ruey S. Tsay Bayesian Analysis of Autoregressive Time
Series Via the Gibbs Sampler . . . . . . 235--250
A. I. McLeod Diagnostic Checking of Periodic
Autoregression Models with Application 221--233
M. B. Priestley Professor Edward James Hannan
(1921--1994) . . . . . . . . . . . . . . 234--234
Christos Agiakloglou and
Paul Newbold Lagrange Multiplier Tests for Fractional
Difference . . . . . . . . . . . . . . . 253--262
Mohamed Bentarzi and
Marc Hallin On the Invertibility of Periodic
Moving-Average Models . . . . . . . . . 263--268
Jan Beran and
Norma Terrin Estimation of the Long-Memory Parameter,
Based on a Multivariate Central Limit
Theorem . . . . . . . . . . . . . . . . 269--278
Alastair Hall Order Identification in Misspecified
Autoregressive Time Series Models . . . 279--283
Clifford M. Hurvich and
Kaizo I. Beltrao Automatic Semiparametric Estimation of
the Memory Parameter of a Long-Memory
Time Series . . . . . . . . . . . . . . 285--302
Yoshihide Kakizawa and
Masanobu Taniguchi Asymptotic Efficiency of the Sample
Covariances in a Gaussian Stationary
Process . . . . . . . . . . . . . . . . 303--311
Dankit K. Nassiuma Symmetric Stable Sequences with Missing
Observations . . . . . . . . . . . . . . 313--323
Efstathios Paparoditis On Vector Autocorrelations and
Generalized Second-Order Functions for
Time Series . . . . . . . . . . . . . . 325--334
Valderio A. Reisen Estimation of the Fractional Difference
Parameter in the $ {\rm ARIMA}(p, d, q)
$ Model Using the Smoothed Periodogram 335--350
Jorg Breitung Some Simple Tests of the Moving-Average
Unit Root Hypothesis . . . . . . . . . . 351--370
Clive Granger and
Jin-Lung Lin Using the Mutual Information Coefficient
to Identify Lags in Nonlinear Models . . 371--384
Simon Ku and
Eugene Seneta The Number of Peaks in a Stationary
Sample and Orthant Probabilities . . . . 385--403
Young K. Truong and
Charles J. Stone Semiparametric Time Series Regression 405--428
Rainer von Sachs Peak-Insensitive Non-Parametric Spectrum
Estimation . . . . . . . . . . . . . . . 429--452
Jushan Bai Least Squares Estimation of a Shift in
Linear Processes . . . . . . . . . . . . 453--472
Gemai Chen and
Bovas Abraham and
Shelton Peiris Lag Window Estimation of the Degree of
Differencing in Fractionally Integrated
Time Series Models . . . . . . . . . . . 473--487
Henry L. Gray and
Nien-Fan Zhang and
Wayne A. Woodward On Generalized Fractional Processes ---
a Correction . . . . . . . . . . . . . . 561--562
Ulla Holst and
Georg Lindgren and
Jan Holst and
Mikael Thuvesholmen Recursive Estimation in Switching
Autoregressions with a Markov Regime . . 489--506
Paul Kabaila The Detection of a Single Additive
Outlier of Unknown Position . . . . . . 507--522
Robert E. McCulloch and
Ruey S. Tsay Statistical Analysis of Economic Time
Series Via Markov Switching Models . . . 523--539
Dimitris N. Politis On the Maximum Entropy Property of
Nonlinear Autoregressions . . . . . . . 541--543
Hu-Ming Zhang and
Ping Wang A New Way to Estimate Orders in Time
Series . . . . . . . . . . . . . . . . . 545--559
Anonymous The Australian Academy of Science
Establishes a Hannan Medal for
Distinguished Research in the
Mathematical Sciences . . . . . . . . . 649--649
Alvaro Escribano and
Daniel Peña Cointegration and Common Factors . . . . 577--586
Andrey Feuerverger and
Peter Hall and
Andrew T. A. Wood Estimation of Fractal Index and Fractal
Dimension of a Gaussian Process by
Counting the Number of Level Crossings 587--606
Marc Hallin On the Pitman Non-Admissibility of
Correlogram-Based Methods . . . . . . . 607--611
L. Kavalieris and
E. J. Hannan Determining the Number of Terms in a
Trigonometric Regression . . . . . . . . 613--625
W. K. Li and
T. K. Mak On the Squared Residual Autocorrelations
in Non-Linear Time Series with
Conditional Heteroskedasticity . . . . . 627--636
P. M. Robinson Edward J. Hannan, 1921--1994 . . . . . . 563--576
Santiago Velilla A Goodness-Of-Fit Test for
Autoregressive Moving-Average Models
Based on the Standardized Sample
Spectral Distribution of the Residuals 637--647
Kamal C. Chanda Large Sample Analysis of Autoregressive
Moving-Average Models with Errors in
Variables . . . . . . . . . . . . . . . 1--15
Clifford M. Hurvich and
Bonnie K. Ray Estimation of the Memory Parameter for
Nonstationary Or Noninvertible
Fractionally Integrated Processes . . . 17--41
Keh-Shin Lii and
Tai-Houn Tsou Bispectral Analysis of Randomly Sampled
Data . . . . . . . . . . . . . . . . . . 43--66
Dimitris N. Politis and
Joseph P. Romano Bias-Corrected Nonparametric Spectral
Estimation . . . . . . . . . . . . . . . 67--103
Yoshihiro Usami and
Mituaki Huzii Estimation of Coefficients of Time
Series Regression with a Nonstationary
Error Process . . . . . . . . . . . . . 105--118
J. H. Wright Stochastic Orders of Magnitude
Associated with Two-Stage Estimators of
Fractional ARIMA Systems . . . . . . . . 119--125
G. J. Adams and
G. C. Goodwin Parameter Estimation for Periodic ARMA
Models . . . . . . . . . . . . . . . . . 127--145
Consuelo Arellano and
Sastry G. Pantula Testing for Trend Stationarity Versus
Difference Stationarity . . . . . . . . 147--164
Jan Beran and
Theo Gasser Testing Equality of Variances for Paired
Time Series . . . . . . . . . . . . . . 165--176
F. Jay Breidt and
Richard A. Davis and
William T. M. Dunsmuir Improved Bootstrap Prediction Intervals
for Autoregressions . . . . . . . . . . 177--200
G. R. Dargahi-Noubary Stochastic Modeling and Identification
of Seismic Records Based on Established
Deterministic Formulations . . . . . . . 201--220
Daniela Leibowitz and
Elia M. Leibowitz An Algorithm for a Period Search in a
Sparsely Covered Time Series at a Fixed
Phase . . . . . . . . . . . . . . . . . 221--236
A. M. Walker On Results of Porat Concerning
Asymptotic Efficiency of Sample
Covariances of Gaussian ARMA Processes 237--248
Anonymous Book Review . . . . . . . . . . . . . . 355--358
David Hamilton and
Ka Ho Wu Confidence Regions for Parameters in the
$ {\rm AR}(1) $ Model . . . . . . . . . 249--265
Sergio G. Koreisha and
Tarmo Pukkila The Identification of Seasonal
Autoregressive Models . . . . . . . . . 267--290
Keh-Shin Lii and
Elias Masry On the Selection of Random Sampling
Schemes for the Spectral Estimation of
Continuous Time Processes . . . . . . . 291--311
Francesc Marmol Spurious Regressions Between I( d )
Processes . . . . . . . . . . . . . . . 313--321
M. C. Viano and
Cl. Deniau and
G. Oppenheim Long-Range Dependence and Mixing for
Discrete Time Fractional Processes . . . 323--338
Sook Fwe Yap and
Gregory C. Reinsel Results on Estimation and Testing for a
Unit Root in the Nonstationary
Autoregressive Moving-Average Model . . 339--353
Charles Kooperberg and
Charles J. Stone and
Young K. Truong Logspline Estimation of a Possibly Mixed
Spectral Distribution . . . . . . . . . 359--388
Charles Kooperberg and
Charles J. Stone and
Young K. Truong Rate of Convergence for Logspline
Spectral Density Estimation . . . . . . 389--401
John P. Miller and
Paul Newbold A Generalized Variance Ratio Test of $
{\rm ARIMA}(p, 1, q) $ Model
Specification . . . . . . . . . . . . . 403--413
Heon Jin Park and
Wayne A. Fuller Alternative Estimators and Unit Root
Tests for the Autoregressive Process . . 415--429
Dong Wan Shin and
Sahadeb Sarkar Estimation of the Multivariate
Autoregressive Moving Average Having
Parameter Restrictions and an
Application to Rotational Sampling . . . 431--444
Roger W. Barnard and
Kamal C. Chanda An Application of the Schur--Cohn
Algorithm to Time Series Analysis . . . 445--449
Peter J. Brockwell A Note on the Embedding of Discrete-Time
ARMA Processes . . . . . . . . . . . . . 451--460
Cathy W. S. Chen and
Jack C. Lee Bayesian Inference of Threshold
Autoregressive Models . . . . . . . . . 483--492
Rong Chen Threshold Variable Selection in
Open-Loop Threshold Autoregressive
Models . . . . . . . . . . . . . . . . . 461--481
Yin-Wong Cheung and
Kon S. Lai Estimating Finite Sample Critical Values
for Unit Root Tests Using Pure Random
Walk Processes: A Note . . . . . . . . . 493--498
Gianluca Cubadda A Note on Testing for Seasonal
Cointegration Using Principal Components
in the Frequency Domain . . . . . . . . 499--508
T. Grahn A Conditional Least Squares Approach to
Bilinear Time Series Estimation . . . . 509--529
Roberto Baragona and
Francesco Battaglia Linear Interpolators and the Inverse
Correlation Function of Non-Stationary
Time Series . . . . . . . . . . . . . . 531--538
Valentina Corradi Nonlinear Transformations of Integrated
Time Series: A Reconsideration . . . . . 539--549
John N. Haddad The Recursive Property of the Inverse of
the Covariance Matrix of a
Moving-Average Process of General Order 551--554
Alastair Hall Residual Autocovariances and Unit Root
Tests Based on Instrumental Variable
Estimators from Time Series Regression
Models . . . . . . . . . . . . . . . . . 555--569
Peter Hall and
Rodney C. L. Wolff On the Strength of Dependence of a Time
Series Generated by a Chaotic Map . . . 571--583
Daniel Janas and
Rainer von Sachs Consistency for Non-Linear Functions of
the Periodogram of Tapered Data . . . . 585--606
A. I. McLeod Diagnostic Checking of Periodic
Autoregression Models with Application 647--648
James W. Miller Exact Maximum Likelihood Estimation in
Autoregressive Processes . . . . . . . . 607--615
D. S. Poskitt and
M. O. Salau On the Relationship Between Generalized
Least Squares and Gaussian Estimation of
Vector ARMA Models . . . . . . . . . . . 617--645
Ngai Hang Chan and
Ruey S. Tsay Asymptotic Inference for Non-Invertible
Moving-Average Time Series . . . . . . . 1--17
F. Comte Simulation and Estimation of Long Memory
Continuous Time Models . . . . . . . . . 19--36
Jesus Gonzalo and
Tae-Hwy Lee Relative Power of t Type Tests for
Stationary and Unit Root Processes . . . 37--47
Tae Yoon Kim and
Dennis D. Cox Bandwidth Selection in Kernel Smoothing
of Time Series . . . . . . . . . . . . . 49--63
Lei Li and
Zhongjie Xie Model Selection and Order Determination
for Time Series by Information Between
the Past and the Future . . . . . . . . 65--84
M. B. Priestley Wavelets and Time-Dependent Spectral
Analysis . . . . . . . . . . . . . . . . 85--103
Dong Wan Shin and
Jong Hyup Lee Distribution of Residual
Autocorrelations in Nonstationary
Autoregressive Processes . . . . . . . . 105--109
Ching-Fan Chung A Generalized Fractionally Integrated
Autoregressive Moving-Average Process 111--140
C. C. Heyde and
W. Dai On the Robustness to Small Trends of
Estimation Based on the Smoothed
Periodogram . . . . . . . . . . . . . . 141--150
Paul Newbold and
Dimitrios Vougas Beveridge--Nelson-Type Trends for $ {\rm
I}(2) $ and Some Seasonal Models . . . . 151--169
A. G. Rigas Spectral Analysis of a Stationary
Bivariate Point Process with
Applications to Neurophysiological
Problems . . . . . . . . . . . . . . . . 171--187
O. Stramer On the Approximation of Moments for
Continuous Time Threshold ARMA Processes 189--202
Chi-ming Wong and
Robert Kohn A Bayesian Approach to Estimating and
Forecasting Additive Nonparametric
Autoregressive Models . . . . . . . . . 203--220
H. Peter Boswijk and
Philip Hans Franses Unit Roots in Periodic Autoregressions 221--245
Peter Bühlmann Locally Adaptive Lag-Window Spectral
Estimation . . . . . . . . . . . . . . . 247--270
Miguel A. Delgado Testing Serial Independence Using the
Sample Distribution Function . . . . . . 271--285
Seisho Sato and
Naoto Kunitomo Some Properties of the Maximum
Likelihood Estimator in the Simultaneous
Switching Autoregressive Model . . . . . 287--307
Dong Wan Shin and
Sahadeb Sarkar Estimation of the Multi-Variate
Autoregressive Moving Average Having
Parameter Restrictions and an
Application to Rotational Sampling . . . 321--321
Dong Wan Shin and
Sahadeb Sarkar Testing for a Unit Root in an $ {\rm
AR}(1) $ Time Series Using Irregularly
Observed Data . . . . . . . . . . . . . 309--321
Oliver D. Anderson and
Zhao-Guo Chen Higher Order Moments of Sample
Autocovariances and Sample
Autocorrelations from an Independent
Time Series . . . . . . . . . . . . . . 323--331
Georgi N. Boshnakov Recursive Computation of the Parameters
of Periodic Autoregressive
Moving-Average Processes . . . . . . . . 333--349
Dawei Huang On Low and High Frequency Estimation . . 351--365
Yoshihide Kakizawa Third-Order Asymptotic Properties of
Estimators in Gaussian ARMA Processes
with Unknown Mean . . . . . . . . . . . 367--377
Serena Ng and
Pierre Perron The Exact Error in Estimating the
Spectral Density at the Origin . . . . . 379--408
Ralph D. Snyder and
Grant R. Saligari Initialization of the Kalman Filter with
Partially Diffuse Initial Conditions . . 409--424
D. Dehay and
V. Monsan Random Sampling Estimation for Almost
Periodically Correlated Processes . . . 425--445
F. Javier Fernández-Macho Spectral Maximum Likelihood Estimation
of a Signal-To-Noise Ratio Lying in the
Vicinity of Zero . . . . . . . . . . . . 447--459
M. Raimondo Testing Change-Points in the Explosive
Gaussian Autoregressive Processes . . . 461--480
Pentti Saikkonen and
Ritva Luukkonen Testing the Order of Differencing in
Time Series Regression . . . . . . . . . 481--496
W. Schmid An Outlier Test for Time Series Based on
a Two-Sided Predictor . . . . . . . . . 497--510
A. Svensson and
J. Holst and
R. Lindquist and
G. Lindgren Optimal Prediction of Catastrophes in
Autoregressive Moving-Average Processes 511--531
T. W. Anderson and
Linfeng You Adequacy of Asymptotic Theory for
Goodness-Of-Fit Criteria for Spectral
Distributions . . . . . . . . . . . . . 533--552
B. Lindoff and
J. Holst Bias and Covariance of the Recursive
Least Squares Estimator with Exponential
Forgetting in Vector Autoregressions . . 553--570
Elias Masry Multivariate Local Polynomial Regression
for Time Series:Uniform Strong
Consistency and Rates . . . . . . . . . 571--599
Michael H. Neumann Spectral Density Estimation Via
Nonlinear Wavelet Methods for Stationary
Non-Gaussian Time Series . . . . . . . . 601--633
R. Baragona and
F. Carlucci An Optimality Criterion for Aggregating
a Set of Time Series in a Composite
Index . . . . . . . . . . . . . . . . . 1--9
Glen Barnett and
Robert Kohn and
Simon Sheather Robust Bayesian Estimation of
Autoregressive--Moving-Average Models 11--28
Rafael Flores and
Alfonso Novales A General Test for Univariate
Seasonality . . . . . . . . . . . . . . 29--48
Liudas Giraitis and
Peter M. Robinson and
Alexander Samarov Rate Optimal Semiparametric Estimation
of the Memory Parameter of the Gaussian
Time Series with Long-Range Dependence 49--60
Daniel M. Keenan A Central Limit Theorem for m ( n )
Autocovariances . . . . . . . . . . . . 61--78
T. C. Sun and
Milton Chaika On Simulation of a Gaussian Stationary
Process . . . . . . . . . . . . . . . . 79--93
Javier Hidalgo Non-Parametric Estimation with Strongly
Dependent Multivariate Time Series . . . 95--122
Robert M. Kunst Testing for Cyclical Non-Stationarity in
Autoregressive Processes . . . . . . . . 123--135
Ignacio N. Lobato Consistency of the Averaged
Cross-Periodogram in Long Memory Series 137--155
Heather Mitchell and
Peter Brockwell Estimation of the Coefficients of a
Multivariate Linear Filter Using the
Innovations Algorithm . . . . . . . . . 157--179
Woon Wong Frequency Domain Tests of Multivariate
Gaussianity and Linearity . . . . . . . 181--194
Xichuan Zhang and
R. Deane Terrell Projection Modulus: a New Direction for
Selecting Subset Autoregressive Models 195--212
R. J. Bhansali Robustness of the autoregressive
spectral estimate for linear processes
with infinite variance . . . . . . . . . 213--229
Hong-Ye Gao Choice of thresholds for wavelet
shrinkage estimate of the spectrum . . . 231--251
Yongmiao Hong One-sided testing for conditional
heteroskedasticity in time series models 253--277
Vadim Teverovsky and
Murad Taqqu Testing for long-range dependence in the
presence of shifting means or a slowly
declining trend, using a variance-type
estimator . . . . . . . . . . . . . . . 279--304
K. F. Turkman and
M. A. Amaral Turkman Extremes of bilinear time series models 305--319
Anonymous Corrigendum . . . . . . . . . . . . . . 320--320
T. W. Anderson Goodness-of-fit tests for autoregressive
processes . . . . . . . . . . . . . . . 321--339
Nunzio Cappuccio and
Diego Lubian Spurious regressions between $ {\rm
I}(1) $ processes with long memory
errors . . . . . . . . . . . . . . . . . 341--354
Ximing Cheng and
Yougui Wu and
Jinguan Du and
Huowang Liu The zero-crossing rate of $p$ th-order
autoregressive processes . . . . . . . . 355--374
Somnath Datta A note on L 1 density estimation for
linear processes . . . . . . . . . . . . 375--383
R. S. Deo Asymptotic theory for certain regression
models with long memory errors . . . . . 385--393
B. P. M. McCabe and
S. J. Leybourne and
Y. Shin A Parametric approach to testing the
null of cointegration . . . . . . . . . 395--413
Hideaki Sakai and
Shyuichi Ohno On backward periodic autoregressive
processes . . . . . . . . . . . . . . . 415--427
Mike K. P. So and
W. K. Li and
K. Lam Multivariate modelling of the
autoregressive random variance process 429--446
Shiqing Ling and
W. K. Li Diagnostic checking of nonlinear
multivariate time series with
multivariate arch errors . . . . . . . . 447--464
Artur Lopes and
Selvia Lopes and
Rafael R. Souza On the spectral density of a class of
chaotic time series . . . . . . . . . . 465--474
Dong Wan Shin and
Yoon Dong Lee A study on misspecified nonstationary
autoregressive time series with a unit
root . . . . . . . . . . . . . . . . . . 475--484
Isao Shoji and
Tohru Ozaki Comparative study of estimation methods
for continuous time stochastic processes 485--506
Jeremy Smith and
Nick Taylor and
Sanjay Yadav Comparing the bias and misspecification
in ARFIMA models . . . . . . . . . . . . 507--527
Anonymous Book reviews . . . . . . . . . . . . . . 529--534
Alain Berlinet and
Christian Francq On Bartlett's Formula for Non-linear
Processes . . . . . . . . . . . . . . . 535--552
Christian Francq and
Michel Roussignol On White Noises Driven by Hidden Markov
Chains . . . . . . . . . . . . . . . . . 553--578
Daniel Muller and
William W. S. Wei Iterative Least Squares Estimation and
Identification of the Transfer Function
Model . . . . . . . . . . . . . . . . . 579--592
Peter Müller and
Mike West and
Steven MacEachern Bayesian Models for Non-linear
Autoregressions . . . . . . . . . . . . 593--614
Jean-Michel Poggi and
Bruno Portier A Test of Linearity for Functional
Autoregressive Models . . . . . . . . . 615--639
Ritei Shibata and
Mutsumi Takagiwa Consistency of Frequency Estimates Based
on the Wavelet Transform . . . . . . . . 641--662
Anonymous \booktitleJournal of Time Series
Analysis: Index to Volume 18 1997 . . . 663--664
Jan De Gooijer On threshold moving-average models . . . 1--18
Clifford M. Hurvich and
Rohit Deo and
Julia Brodsky The mean squared error of Geweke and
Porter-Hudak's estimator of the memory
parameter of a long-memory time series 19--46
Ta-Hsin Li Time-correlation analysis of
nonstationary time series . . . . . . . 47--67
Ta-Hsin Li and
Benjamin Kedem Tracking abrupt frequency changes . . . 69--82
Stephen Leybourne and
Paul Newbold and
Dimitrios Vougas Unit roots and smooth transitions . . . 83--97
Jeffrey S. Pai and
Nalini Ravishanker Bayesian analysis of autoregressive
fractionally integrated moving-average
processes . . . . . . . . . . . . . . . 99--112
C. S. Wong and
W. K. Li A note on the corrected Akaike
information criterion for threshold
autoregressive models . . . . . . . . . 113--124
K. F. Turkman Book Review . . . . . . . . . . . . . . 125--126
Prabir Burman and
Robert Shumway Semiparametric Modeling of Seasonal Time
Series . . . . . . . . . . . . . . . . . 127--145
Philip Hans Franses and
Michael McAleer Testing for unit roots and non-linear
transformations . . . . . . . . . . . . 147--164
R. J. Kulperger and
R. A. Lockhart Tests of Independence in Time Series . . 165--185
Raul P. Mentz and
Pedro A. Morettin and
Clélia Toloi On Residual Variance Estimation in
Autoregressive Models . . . . . . . . . 187--208
Anna Clara Monti A proposal for estimation of the
parameters of multivariate
moving-average models . . . . . . . . . 209--219
John-Michel Poggi and
Marie-Claude Viano An Estimate of the Fractal Index Using
Multiscale Aggregates . . . . . . . . . 221--233
Zuqiang Qiou and
Nalini Ravishanker Bayesian inference for time series with
stable innovations . . . . . . . . . . . 235--249
Iswar Basawa Book Review . . . . . . . . . . . . . . 251--252
Patrice Abry and
Darryl Veitch and
Patrick Flandrin Long-range dependence: revisiting
aggregation with wavelets . . . . . . . 253--266
Anindya Banerjee and
Juan Dolado and
Ricardo Mestre Error-correction mechanism tests for
cointegration in a single-equation
framework . . . . . . . . . . . . . . . 267--283
Bruce Cooil and
Luke Froeb A difference estimator for testing
equality of variances for paired time
series . . . . . . . . . . . . . . . . . 285--290
Vikram Krishnamurthy and
Tobias Ryden Consistent estimation of linear and
non-linear autoregressive models with
Markov regime . . . . . . . . . . . . . 291--307
Monnie McGee and
Katherine Ensor Tests for harmonic components in the
spectra of categorical time series . . . 309--323
Kosuke Oya and
Hiro Toda Dickey--Fuller, Lagrange Multiplier and
Combined Tests for a Unit Root in
Autoregressive Time Series . . . . . . . 325--347
A. M. Robert Taylor Testing for Unit Roots in Monthly Time
Series . . . . . . . . . . . . . . . . . 349--368
Jonathan H. Wright Testing for a structural break at
unknown date with long-memory
disturbances . . . . . . . . . . . . . . 369--376
Patric Laycock Book Review . . . . . . . . . . . . . . 377--378
Rohit S. Deo and
Clifford M. Hurvich Linear Trend with Fractionally
Integrated Errors . . . . . . . . . . . 379--397
Jaehee H. Kim and
Jeffrey D. Hart Tests for change in a mean function when
the data are dependent . . . . . . . . . 399--424
Rolf Larsson Bartlett corrections for unit root test
statistics . . . . . . . . . . . . . . . 425--438
Alain Latour Existence and stochastic structure of a
non-negative integer-valued
autoregressive process . . . . . . . . . 439--455
Xavier De Luna An Improvement of Akaike's FPE Criterion
to Reduce its Variability . . . . . . . 457--471
A. I. McLeod Hyperbolic Decay Time Series . . . . . . 473--483
Wayne A. Woodward and
Q. C. Cheng and
H. L. Gray A $k$-Factor GARMA Long-memory Model . . 485--504
Andrew Harvey and
Mariane Streibel Tests for Deterministic Versus
Indeterministic Cycles . . . . . . . . . 505--529
Lutz Kilian Accounting for lag order uncertainty in
autoregressions: the endogenous lag
order bootstrap algorithm . . . . . . . 531--548
Kathryn Prewitt Goodness-of-fit Test in Parametric Time
Series Models . . . . . . . . . . . . . 549--574
Anton Schick An adaptive estimator of the
autocorrelation coefficient in
regression models with autoregressive
errors . . . . . . . . . . . . . . . . . 575--589
Dong Wan Shin and
Wayne Fuller Unit root tests based on unconditional
maximum likelihood estimation for the
autoregressive moving average . . . . . 591--599
Dong Wan Shin and
Sahadeb Sarkar Testing for a unit root in
autoregressive moving-average models
with missing data . . . . . . . . . . . 601--608
Wing-kuen Tam and
Gregory Reinsel Seasonal moving-average unit root tests
in the presence of a linear trend . . . 609--625
Anonymous Book Review . . . . . . . . . . . . . . 627--628
Rainer Dahlhaus and
Liudas Giraitis On the optimal segment length for
parameter estimates for locally
stationary time series . . . . . . . . . 629--655
Yuqing Dai and
L. Billard A Space-Time Bilinear Model and its
Identification . . . . . . . . . . . . . 657--679
Jiin-Huarng Guo and
L. Billard Some inference results for causal
autoregressive processes on a plane . . 681--691
Chung-Ming Kuan and
Chih-Chiang Hsu Change-Point Estimation of Fractionally
Integrated Processes . . . . . . . . . . 693--708
Thimothy Oke Some Results on Specification Search and
Pre-testing in an $ {\rm ARMA}(1, 1) $
Process . . . . . . . . . . . . . . . . 709--722
Dong Wan Shin The limiting distribution of the
residual processes in nonstationary
autoregressive processes . . . . . . . . 723--736
Gy. Terdik and
J. Math A new test of linearity of time series
based on the bispectrum . . . . . . . . 737--753
Anonymous Index to Volume 19, 1998 . . . . . . . . 755--756
Kees Jan van Garderen Exact Geometry of Autoregressive Models 1--21
Changli He and
Timo Teräsvirta Properties of the Autocorrelation
Function of Squared Observations for
Second-order GARCH Processes Under Two
Sets of Parameter Constraints . . . . . 23--30
Fumiyasu Komaki An estimating method for parametric
spectral densities of Gaussian time
series . . . . . . . . . . . . . . . . . 31--50
Stephen Leybourne and
Paul Newbold On the size properties of
Phillips--Perron tests . . . . . . . . . 51--61
Michael K. Pitt and
Neil Shephard Analytic convergence rates and
parameterization issues for the Gibbs
sampler applied to state space models 63--85
Carlos Velasco Gaussian semiparametric estimation of
non-stationary time series . . . . . . . 87--127
Karim M. Abadir and
A. M. Robert Taylor On the Definitions of (Co-)integration 129--137
Marcus J. Chambers A note on modelling seasonal processes
in continuous time . . . . . . . . . . . 139--143
G. R. Dargahi-Noubary A Linear Discriminant for Gaussian Time
Series . . . . . . . . . . . . . . . . . 145--153
Luiz K. Hotta and
Klaus L. Vasconcellos Aggregation and Disaggregation of
Structural Time Series Models . . . . . 155--171
Kanchan Mukherjee Asymptotics of quantiles and rank scores
in nonlinear time series . . . . . . . . 173--192
Efstathios Paparoditis and
Dimitris N. Politis The Local Bootstrap for Periodogram
Statistics . . . . . . . . . . . . . . . 193--222
S. Rao Jammalamadaka and
Chengou Wu and
Weiqung Wang The Influence of Numerical and
Observational Errors on the Likelihood
of an ARMA Series . . . . . . . . . . . 223--235
Timothy J. Vogelsang Two simple procedures for testing for a
unit root when there are additive
outliers . . . . . . . . . . . . . . . . 237--252
Valentina Corradi and
Halbert White Specification tests for the variance of
a diffusion . . . . . . . . . . . . . . 253--270
Eva Ferreira and
Juan Manuel Rodriguez-Poo Variable Bandwidth Kernel Estimators of
the Spectral Density . . . . . . . . . . 271--287
Konstantinos Fokianos and
Benjamin Kedem A stochastic approximation algorithm for
the adaptive control of time series
following generalized linear models . . 289--308
Richard Gerlach and
Chris Carter and
Robert Kohn Diagnostics for Time Series Analysis . . 309--330
Clifford M. Hurvich and
Rohit S. Deo Plug-in selection of the number of
frequencies in regression estimates of
the memory parameter of a long-memory
time series . . . . . . . . . . . . . . 331--341
Yoshihide Kakizawa Valid Edgeworth expansions of some
estimators and bootstrap confidence
intervals in first-order autoregression 343--359
Anonymous Book Review . . . . . . . . . . . . . . 361--363
Michael Allen and
Somnath Datta A Note on Bootstrapping $M$-Estimators
in ARMA Models . . . . . . . . . . . . . 365--379
Marta Garcia Ben and
Elena J. Martinez and
Victor J. Yohai Robust Estimation in Vector
Autoregressive Moving-Average Models . . 381--399
Gabriel Huerta and
Mike West Bayesian inference on periodicities and
component spectral structure in time
series . . . . . . . . . . . . . . . . . 401--416
Huang Jian and
Yudi Pawitan Consistent estimation for non-Gaussian
non-causal autoregessive processes . . . 417--423
T. C. Lin and
M. Pourahmadi and
A. Schick Regression Models with Time Series
Errors . . . . . . . . . . . . . . . . . 425--433
Donald E. K. Martin Detection of periodic autocorrelation in
time series data via zero-crossings . . 435--452
Richard J. Smith and
A. M. Robert Taylor Likelihood Ratio Tests for Seasonal Unit
Roots . . . . . . . . . . . . . . . . . 453--476
Ryszard Zielinski A Median-Unbiased Estimator of the $
{\rm AR}(1) $ Coefficient . . . . . . . 477--481
Z. G. Chen and
O. D. Anderson Polyvariograms and their Asymptotes . . 387--512
A. E. Brockwell and
P. J. Brockwell A Class of Non-Embeddable ARMA Processes 483--486
S. D. Gilbert A Testing for the Onset of Trend, Using
Wavelets . . . . . . . . . . . . . . . . 513--526
Victor Gomez and
Jorg Breitung The Beveridge--Nelson decomposition: a
different perspective with new results 527--535
Gloria Icaza and
Richard Jones A State-Space EM Algorithm for
Longitudinal Data . . . . . . . . . . . 537--550
Yoshihide Kakizawa Note on the asymptotic efficiency of
sample covariances in Gaussian vector
stationary processes . . . . . . . . . . 551--558
Takeshi Kato and
Elias Masry On the spectral density of the wavelet
transform of fractional Brownian motion 559--563
Diego Lubian Long-Memory errors in time series
regressions with a unit root . . . . . . 565--577
Lijian Yang and
Wolfgang Härdle and
Jens Nielsen Nonparametric autoregression with
multiplicative volatility and additive
mean . . . . . . . . . . . . . . . . . . 579--604
Anonymous Corrigendum: testing for the onset of
trend, using wavelets . . . . . . . . . i--i
B. Abraham and
N. Balakrishna Inverse Gaussian Autoregressive Models 605--618
Hui Chen and
J. P. Romano Bootstrap-assisted goodness-of-fit tests
in the frequency domain . . . . . . . . 619--654
Paul Kabaila The Relevance Property For Prediction
Intervals . . . . . . . . . . . . . . . 655--662
Paul Kabaila and
Zhisong He On Assessing Prediction Error in
Autoregressive Models . . . . . . . . . 663--670
Robert Sollis and
Stephen Leybourne and
Paul Newbold Unit Roots and Asymmetric Smooth
Transitions . . . . . . . . . . . . . . 671--677
Y. K. Tse and
A. K. C. Tsui A Note on Diagnosing Multivariate
Conditional Heteroscedasticity Models 679--691
Xingcun Xia and
H. Z. An Projection Pursuit Autoregression in
Time Series . . . . . . . . . . . . . . 693--714
Anonymous Book Review . . . . . . . . . . . . . . 715--716
Anonymous \booktitleJournal of Time Series
Analysis: index to volume 20 1999 . . . 717--718
Josu Arteche and
Peter M. Robinson Semiparametric inference in seasonal and
cyclical long memory processes . . . . . 1--25
Uwe Hasseler Simple Regressions with Linear Time
Trends . . . . . . . . . . . . . . . . . 27--32
Marc Lavielle and
Eric Moulines Least-squares estimation of an unknown
number of shifts in a time series . . . 33--59
Remigijus Leipus and
Marie-Claude Viano Modelling long-memory time series with
finite or infinite variance: a general
approach . . . . . . . . . . . . . . . . 61--74
Robert Lund and
I. V. Basawa Recursive Prediction and Likelihood
Evaluation for Periodic ARMA Models . . 75--93
A. M. Walker Some results concerning the asymptotic
distribution of sample Fourier
transforms and periodograms for a
discrete-time stationary process with a
continuous spectrum . . . . . . . . . . 95--109
Anonymous Book Review . . . . . . . . . . . . . . 111--112
Zhao-Guo Chen and
Ka Ho Wu and
Rainer Dahlhaus Hidden Frequency Estimation with Data
Tapers . . . . . . . . . . . . . . . . . 113--142
Alessandro Fasso Residual Autocorrelation Distribution in
the Validation Data Set . . . . . . . . 143--153
Clifford M. Hurvich and
Willa W. Chen An efficient taper for potentially
overdifferenced long-memory time series 155--180
Tohru Kohda and
Akio Tsuneda and
Anthony J. Lawrance Correlational Properties of Chebyshev
Chaotic Sequences . . . . . . . . . . . 181--191
Eric Moulines and
Philippe Soulier Data driven order selection for
projection estimator of the spectral
density of time series with long range
dependence . . . . . . . . . . . . . . . 193--218
Benoit Quenneville and
Avinash C. Singh Bayesian prediction mean squared error
for state space models with estimated
parameters . . . . . . . . . . . . . . . 219--236
John Belcher and
Granville Tunnicliffe Wilson Time Scale Estimation by Tracking
Parameter Variation . . . . . . . . . . 237--248
Mithat Gonen and
Madan L. Puri and
Frits H. Ruymgaart and
Martien C. A. Van Zuijlen The limiting density of unit root test
statistics: a unifying technique . . . . 249--260
Hikaru Hasegawa and
Anoop Chaturvedi and
Tran Van Hoa Bayesian Unit Root Test in Nonnormal $
{\rm AR}(1) $ Model . . . . . . . . . . 261--280
S. J. Koopman and
J. Durbin Fast filtering and smoothing for
multivariate state space models . . . . 281--296
Mark M. Meerschaert and
Hans-Peter Scheffler Moving averages of random vectors with
regularly varying tails . . . . . . . . 297--328
Carlos Velasco Local Cross-validation for Spectrum
Bandwidth Choice . . . . . . . . . . . . 329--361
T. Ozaki and
J. C. Jimenez and
V. Haggan-Ozaki The role of the likelihood function in
the estimation of chaos models . . . . . 363--387
J. H. W. Penm and
T. J. Brailsford and
R. D. Terrell A Robust Algorithm in Sequentially
Selecting Subset Time Series Systems
Using Neural Networks . . . . . . . . . 389--412
Mohsen Pourahmadi and
E. S. Soofi Prediction variance and information
worth of observations in time series . . 413--434
Pentti Saikkonen and
Helmut Lütkepohl Trend adjustment prior to testing for
the cointegrating rank of a vector
autoregressive process . . . . . . . . . 435--456
Rolf Tschernig and
Lijian Yang Nonparametric Lag Selection for Time
Series . . . . . . . . . . . . . . . . . 457--487
T. W. Anderson and
M. A. Stephens Sign invariance in goodness-of-fit tests
for time series . . . . . . . . . . . . 489--496
Jean-Marc Bardet Testing for the presence of
self-similarity of Gaussian time series
having stationary increments . . . . . . 497--515
Jan Beran and
Sucharita Ghosh Estimation of the dominating frequency
for stationary and nonstationary
fractional autoregressive models . . . . 517--533
Fabienne Comte and
Offer Lieberman Second-Order Noncausality in
Multivariate GARCH Processes . . . . . . 535--557
Carlo Gaetan Subset ARMA Model Identification Using
Genetic Algorithms . . . . . . . . . . . 559--570
M. L. Tiku and
Wing-Keung Wong and
David C. Vaughan and
Guorui Bian Time series models in non-normal
situations: symmetric innovations . . . 571--596
Rainer Von Sachs and
Michael H. Neumann A Wavelet-Based Test for Stationarity 597--613
Ingolf Dittmann Residual-Based tests for fractional
cointegration: a Monte Carlo study . . . 615--647
Robert V. Foutz and
Hoonja Lee Adaptive Fourier series and the analysis
of periodicities in time series data . . 649--662
Yanyuan Ma and
Marc G. Genton Highly Robust Estimation of the
Autocovariance Function . . . . . . . . 663--684
D. Marinucci Spectral Regression For Cointegrated
Time Series With Long-Memory Innovations 685--705
B. G. Quinn On Kay's Frequency Estimator . . . . . . 707--712
J. Yuan Testing Linearity For Stationary Time
Series Using the Sample Interquartile
Range . . . . . . . . . . . . . . . . . 713--722
J. Yuan Testing Gaussianity and linearity for
random fields in the frequency domain 723--737
Anonymous Index to Volume 21, 2000 . . . . . . . . 739--740
D. Alpay and
A. Chevreuil and
Ph. Loubaton An Extension Problem For Discrete-Time
Periodically Correlated Stochastic
Processes . . . . . . . . . . . . . . . 1--11
Yves Rozenholc Nonparametric tests of change-points
with tapered data . . . . . . . . . . . 13--43
Ismael Sanchez and
Daniel Pena Properties of Predictors in
Overdifferenced Nearly Nonstationary
Autoregression . . . . . . . . . . . . . 45--66
Mattias Villani Fractional Bayesian Lag Length Inference
in Multivariate Autoregressive Processes 67--86
Zhijie Xiao Testing the null hypothesis of
stationarity against an autoregressive
unit root alternative . . . . . . . . . 87--105
Jing Zhang and
Robert A. Stine Autocovariance structure of Markov
regime switching models and model
selection . . . . . . . . . . . . . . . 107--124
Anonymous Book Review . . . . . . . . . . . . . . 125--126
Fabio Busetti and
Andrew Harvey Testing for the presence of a random
walk in series with structural breaks 127--150
Rong Chen and
Lon-Mu Liu Functional coefficient autoregressive
models: estimation and tests of
hypotheses . . . . . . . . . . . . . . . 151--173
Kokyo Choy and
Masanobu Taniguchi Stochastic Regression Model with
Dependent Disturbances . . . . . . . . . 175--196
Christian Francq and
Michel Roussignol and
Jean-Michel Zakoian Conditional heteroskedasticity driven by
hidden Markov chains . . . . . . . . . . 197--220
Clifford M. Hurvich and
Julia Brodsky Broadband semiparametric estimation of
the memory parameter of a long-memory
time series using fractional exponential
models . . . . . . . . . . . . . . . . . 221--249
Anonymous Book Review . . . . . . . . . . . . . . 251--252
Michael J. Daniels and
Noel Cressie A hierarchical approach to covariance
function estimation for time series . . 253--266
Jan G. De Gooijer Cross-validation Criteria for SETAR
Model Selection . . . . . . . . . . . . 267--281
Uwe Hassler The Effect of Linear Time Trends on the
KPSS Test for Cointegration . . . . . . 283--292
Marc Henry Robust Automatic Bandwidth for Long
Memory . . . . . . . . . . . . . . . . . 293--316
Piotr S. Kokoszka and
Murad S. Taqqu Can One Use the Durbin--Levinson
Algorithm to Generate Infinite Variance
Fractional ARIMA Time Series? . . . . . 317--337
M. Pawlak and
W. Schmid On the Distributional Properties of
GARCH Processes . . . . . . . . . . . . 339--352
Philipp Sibbertsen $S$-Estimation in the Linear Regression
Model with Long-memory Error Terms Under
Trend . . . . . . . . . . . . . . . . . 353--363
Frantisek Stulajter Predictions in time Series Using
Multivariate Regression Models . . . . . 365--373
Anonymous Book Reviews . . . . . . . . . . . . . . 375--377
Andre Berchtold Estimation in the Mixture Transition
Distribution Model . . . . . . . . . . . 379--397
Pascal Bondon Recursive relations for multistep
prediction of a stationary time series 399--410
L. A. Gil-Alana Testing Stochastic Cycles in
Macroeconomic Time Series . . . . . . . 411--430
Marc Henry Averaged periodogram spectral estimation
with long-memory conditional
heteroscedasticity . . . . . . . . . . . 431--459
Hongyi Li and
Zhijie Xiao Bootstrapping Time Series Regressions
with Integrated Processes . . . . . . . 461--480
Mark M. Meerschaert and
Hans-Peter Scheffler Sample cross-correlations for moving
averages with regularly varying tails 481--492
Martin Skold A bias correction for cross-validation
bandwidth selection when a kernel
estimate is based on dependent data . . 493--503
Eugene M. Cleur Maximum likelihood estimates of a class
of one-dimensional stochastic
differential equation models from
discrete data . . . . . . . . . . . . . 505--515
Jiti Gao and
Vo Anh and
Chris Heyde and
Quang Tieng Parameter estimation of stochastic
processes with long-range dependence and
intermittency . . . . . . . . . . . . . 517--535
Yuzo Hosoya Elimination of third-series effect and
defining partial measures of causality 537--554
Menelaos Karanasos Prediction in ARMA Models with GARCH in
Mean Effects . . . . . . . . . . . . . . 555--576
Zacharias Psaradakis Bootstrap tests for an autoregressive
unit root in the presence of weakly
dependent errors . . . . . . . . . . . . 577--594
Dong Wan Shin and
Beong Soo So Recursive Mean Adjustment for Unit Root
Tests . . . . . . . . . . . . . . . . . 595--612
Hao Zhang and
V. Mandrekar Estimation of Hidden Frequencies for
$2$D Stationary Processes . . . . . . . 613--629
Richard T. Baillie and
Huimin Chung Estimation of GARCH Models from the
Autocorrelations of the Squares of a
Process . . . . . . . . . . . . . . . . 631--650
I. V. Basawa and
Robert Lund Large Sample Properties of Parameter
Estimates for Periodic ARMA Models . . . 651--663
Christian Gourieroux and
Joann Jasiak State-space Models with Finite
Dimensional Dependence . . . . . . . . . 665--678
Clifford M. Hurvich Model selection for broadband
semiparametric estimation of long memory
in time series . . . . . . . . . . . . . 679--709
C. K. Ing A note on mean-squared prediction errors
of the least squares predictors in
random walk models . . . . . . . . . . . 711--724
Paul Kabaila and
Zhisong He On Prediction Intervals for
Conditionally Heteroscedastic Processes 725--731
George Kapetanios Model Selection in Threshold Models . . 733--754
Anonymous Index to Volume: 22 2001 . . . . . . . . 755--756
Henrik Hansen and
Anders Rahbek Approximate Conditional Unit Root
Inference . . . . . . . . . . . . . . . 1--28
Rafael A. Irizarry Weighted estimation of harmonic
components in a musical sound signal . . 29--48
Chunsheng Ma Exact Maximum Likelihood Estimation of
an ARMA(1, 1) Model with Incomplete Data 49--56
Katsumi Shimotsu and
Peter C. B. Phillips Pooled Log Periodogram Regression . . . 57--93
Paulo Teles and
William W. S. Wei The use of aggregate time series in
testing for Gaussianity . . . . . . . . 95--116
Y. K. Tse and
X. B. Zhang The Variance Ratio Test with Stable
Paretian Errors . . . . . . . . . . . . 117--126
Christian Gouriéroux and
Joann Jasiak Nonlinear Autocorrelograms: an
Application to Inter-Trade Durations . . 127--154
Niels Haldrup and
Peter Lildholdt On the robustness of unit root tests in
the presence of double unit roots . . . 155--171
Stephen J. Leybourne and
Paul Newbold and
Dimitrios Vougas and
Tae-Hwan Kim A direct test for cointegration between
a pair of time series . . . . . . . . . 173--191
Christophe Planas and
Raoul Depoutot Controlling Revisions in
ARIMA-Model-Based Seasonal Adjustment 193--213
Zhijie Xiao and
Oliver Linton A Nonparametric Prewhitened Covariance
Estimator . . . . . . . . . . . . . . . 215--250
Josu Arteche Semiparametric robust tests on seasonal
or cyclical long memory time series . . 251--285
Laurence Broze and
Christian Francq and
Jean-Michel Zakoïan Efficient use of higher-lag
autocorrelations for estimating
autoregressive processes . . . . . . . . 287--312
Peter Hall and
Liang Peng and
Qiwei Yao Prediction and nonparametric estimation
for time series with heavy tails . . . . 313--331
D. Levy Cointegration in frequency domain . . . 333--339
Nora Muler and
Victor J. Yohai Robust estimates for arch processes . . 341--375
Jesús Gonzalo and
Jean-Yves Pitarakis Lag length estimation in large
dimensional systems . . . . . . . . . . 401--423
Sylvia Kaufmann and
Sylvia Frühwirth-Schnatter Bayesian analysis of switching ARCH
models . . . . . . . . . . . . . . . . . 425--458
Peter A. W. Lewis and
Bonnie K. Ray Nonlinear modelling of periodic
threshold autoregressions using TSMARS 459--471
JosÉ Alberto Mauricio An algorithm for the exact likelihood of
a stationary vector
autoregressive-moving average model . . 473--486
Vladas Pipiras and
Murad S. Taqqu Deconvolution of fractional Brownian
motion . . . . . . . . . . . . . . . . . 487--501
Stefano Bertelli and
Massimiliano Caporin A note on calculating autocovariances of
long-memory processes . . . . . . . . . 503--508
Alvaro Escribano and
Santiago Mira Nonlinear error correction models . . . 509--522
Gilles Fay and
Eric Moulines and
Philippe Soulier Nonlinear functionals of the periodogram 523--553
J. Franke and
J.-P. Kreiss and
E. Mammen and
M. H. Neumann Properties of the nonparametric
autoregressive bootstrap . . . . . . . . 555--585
Jesús Miguel and
Pilar Olave Adjusting forecast intervals in ARCH-M
models . . . . . . . . . . . . . . . . . 587--598
Raquel Prado and
Gabriel Huerta Time-varying autoregressions with model
order uncertainty . . . . . . . . . . . 599--618
M. Zarepour and
D. Banjevic A note on maximum autoregressive
processes of order one . . . . . . . . . 619--626
P. Whittle The estimation and tracking of frequency 627--628
T. J. Brailsford and
Jack H. W. Penm and
R. D. Terrell Selecting the forgetting factor in
subset autoregressive modelling . . . . 629--649
JÖRg Breitung and
Norman R. Swanson Temporal aggregation and spurious
instantaneous causality in multiple time
series models . . . . . . . . . . . . . 651--665
Markku Lanne and
Helmut Lütkepohl and
Pentti Saikkonen Comparison of unit root tests for time
series with level shifts . . . . . . . . 667--685
Bonnie K. Ray and
Ruey S. Tsay Bayesian methods for change-point
detection in long-range dependent
processes . . . . . . . . . . . . . . . 687--705
B. Truong-van and
P. Varachaud Asymptotic laws of successive least
squares estimates for seasonal ARIMA
models and application . . . . . . . . . 707--731
Kent D. Wall and
David S. Stoffer A state space approach to bootstrapping
conditional forecasts in ARMA models . . 733--751
Anonymous \booktitleJournal of Time Series
Analysis: index to volume 23 2002 . . . 753--754
D. Blanke and
B. Pumo Optimal sampling for density estimation
in continuous time . . . . . . . . . . . 1--23
Yuqing Dai and
L. Billard Maximum likelihood estimation in space
time bilinear models . . . . . . . . . . 25--44
A. S. Hurn and
K. A. Lindsay and
V. L. Martin On the efficacy of simulated maximum
likelihood for estimating the parameters
of stochastic differential equations . . 45--63
Robert C. Jung and
A. R. Tremayne Testing for serial dependence in time
series models of counts . . . . . . . . 65--84
S. J. Koopman and
J. Durbin Filtering and smoothing of state vector
for diffuse state-space models . . . . . 85--98
Anders Rygh Swensen Bootstrapping unit root tests for
integrated processes . . . . . . . . . . 99--126
Arup Bose and
Kanchan Mukherjee Estimating the ARCH parameters by
solving linear equations . . . . . . . . 127--136
Fabio Busetti and
Andrew Harvey Further comments on stationarity tests
in series with structural breaks at
unknown points . . . . . . . . . . . . . 137--140
Piet De Jong and
Singfat Chu-Chun-Lin Smoothing with an unknown initial
condition . . . . . . . . . . . . . . . 141--148
Wensheng Guo Dynamic state-space models . . . . . . . 149--158
David I. Harvey and
Terence C. Mills A note on Busetti--Harvey tests for
stationarity in series with structural
breaks . . . . . . . . . . . . . . . . . 159--164
L. Kavalieris and
E. J. Hannan and
M. Salau Generalized least squares estimation of
ARMA models . . . . . . . . . . . . . . 165--172
U. Keich Stationary tangent: the discrete and
non-smooth case . . . . . . . . . . . . 173--192
Pierre Perron and
Gabriel Rodríguez Searching for additive outliers in
nonstationary time series . . . . . . . 193--220
Tommaso Proietti Leave-$k$-out diagnostics in state-space
models . . . . . . . . . . . . . . . . . 221--236
Zacharias Psaradakis and
Nicola Spagnolo On the determination of the number of
regimes in Markov-switching
autoregressive models . . . . . . . . . 237--252
Andrew P. Blake and
George Kapetanios Pure Significance Tests of the Unit Root
Hypothesis Against Nonlinear
Alternatives . . . . . . . . . . . . . . 253--267
Malay Ghosh and
Jungeun Heo Default Bayesian priors for regression
models with first-order autoregressive
residuals . . . . . . . . . . . . . . . 269--282
Joann Jasiak First-Order Autoregressive Processes
with Heterogeneous Persistence . . . . . 283--309
Dingding Li and
Thanasis Stengos Testing Serial Correlation in
Semiparametric Time Series Models . . . 311--335
B. Nielsen and
N. Shephard Likelihood analysis of a first-order
autoregressive model with exponential
innovations . . . . . . . . . . . . . . 337--344
Carlos Velasco Gaussian semi-parametric estimation of
fractional cointegration . . . . . . . . 345--378
Yoosoon Chang and
Joon Y. Park A Sieve Bootstrap for the Test of a Unit
Root . . . . . . . . . . . . . . . . . . 379--400
Ching-Kang Ing and
Shu-Hui Yu On Estimating Conditional Mean-Squared
Prediction Error in Autoregressive
Models . . . . . . . . . . . . . . . . . 401--422
Markku Lanne and
Pentti Saikkonen Reducing size distortions of parametric
stationarity tests . . . . . . . . . . . 423--439
Stephen Leybourne and
A. M. Robert Taylor Seasonal unit root tests based on
forward and reverse estimation . . . . . 441--460
Marcelo C. Medeiros and
Alvaro Veiga Diagnostic Checking in a Flexible
Nonlinear Time Series Model . . . . . . 461--482
Kenji Sakiyama and
Masanobu Taniguchi Testing Composite Hypotheses for Locally
Stationary Processes . . . . . . . . . . 483--504
Peter F. Craigmile Simulating a class of stationary
Gaussian processes using the
Davies-Harte algorithm, with application
to long memory processes . . . . . . . . 505--511
E. J. G. Odolphin and
S. E. Johnson Decomposition of Time Series Dynamic
Linear Models . . . . . . . . . . . . . 513--527
Tae-Hwan Kim and
Stephan Pfaffenzeller and
Tony Rayner and
Paul Newbold Testing for linear trend with
application to relative primary
commodity prices . . . . . . . . . . . . 539--551
Dinh Tuan Pham and
Roch Roy and
Lyne Cédras Tests for non-correlation of two
cointegrated ARMA time series . . . . . 553--577
M. G. Scotto and
K. F. Turkman and
C. W. Anderson Extremes of Some Sub-Sampled Time Series 579--590
A. M. Robert Taylor Locally Optimal Tests Against Unit Roots
in Seasonal Time Series Processes . . . 591--612
A. M. Walker A note on estimation by least squares
for harmonic component models . . . . . 613--629
M. Antunes and
M. A. Amaral Turkman and
K. F. Turkman A Bayesian Approach to Event Prediction 631--646
Stergios B. Fotopoulos and
Sung K. Ahn Rank Based Dickey--Fuller Test
Statistics . . . . . . . . . . . . . . . 647--662
Sòren Johansen The asymptotic variance of the estimated
roots in a cointegrated vector
autoregressive model . . . . . . . . . . 663--678
Takeshi Kato and
Elias Masry A time-domain semi-parametric estimate
for strongly dependent continuous-time
stationary processes . . . . . . . . . . 679--703
Dejian Lai and
Guanrong Chen Distribution of the estimated Lyapunov
exponents from noisy chaotic time series 705--720
Yuichi Nagahara Non-Gaussian filter and smoother based
on the Pearson distribution system . . . 721--738
B. Tarami and
M. Pourahmadi Multi-variate t autoregressions:
innovations, prediction variances and
exact likelihood equations . . . . . . . 739--754
Anonymous \booktitleJournal of Time Series
Analysis Index to Volume 24 2003 . . . . 755--756
Stelios Arvanitis and
Antonis Demos Time Dependence and Moments of a Family
of Time-Varying Parameter GARCH in Mean
Models . . . . . . . . . . . . . . . . . 1--25
Ingolf Dittmann Error Correction Models for Fractionally
Cointegrated Time Series . . . . . . . . 27--32
Uwe Hassler and
Paulo M. M. Rodrigues Seasonal Unit Root Tests Under
Structural Breaks . . . . . . . . . . . 33--53
Javier Hidalgo and
Philippe Soulier Estimation of the location and exponent
of the spectral singularity of a long
memory process . . . . . . . . . . . . . 55--81
Bernardo M. Lagos and
Pedro A. Morettin Improvement of the Likelihood Ratio Test
Statistic in ARMA Models . . . . . . . . 83--101
Wilfried Loges The Stationary Marginal Distribution of
a Threshold $ {\rm AR}(1) $ Process . . 103--125
Y. K. Tse and
K. W. Ng and
Xibin Zhang A small-sample overlapping
variance-ratio test . . . . . . . . . . 127--135
Paolo Vidoni Improved prediction intervals for
stochastic process models . . . . . . . 137--154
B. L. S. Prakasa Rao Book Reviews . . . . . . . . . . . . . . 155--157
M. B. Priestley Book Reviews . . . . . . . . . . . . . . 157--157
T. Subba Rao Book Reviews . . . . . . . . . . . . . . 157--158
Holger Dette and
Ingrid Spreckelsen Some comments on specification tests in
nonparametric absolutely regular
processes . . . . . . . . . . . . . . . 159--172
Konstantinos Fokianos and
Benjamin Kedem Partial Likelihood Inference For Time
Series Following Generalized Linear
Models . . . . . . . . . . . . . . . . . 173--197
Tae Yoon Kim and
Sun Young Hwang Kernel matching scheme for block
bootstrap of time series data . . . . . 199--216
Piotr Kokoszka and
Michael Wolf Subsampling the mean of heavy-tailed
dependent observations . . . . . . . . . 217--234
Alex S. Morton and
Granville Tunnicliffe-Wilson A class of modified high-order
autoregressive models with improved
resolution of low-frequency cycles . . . 235--250
Dimitris N. Politis and
Joseph P. Romano and
Michael Wolf Inference for autocorrelations in the
possible presence of a unit root . . . . 251--263
Menelaos Karanasos and
Zacharias Psaradakis and
Martin Sola On the Autocorrelation Properties of
Long-Memory GARCH Processes . . . . . . 265--282
Dong Wan Shin and
Oesook Lee $M$-Estimation for regressions with
integrated regressors and ARMA errors 283--299
Xibin Zhang Assessment of Local Influence in GARCH
Processes . . . . . . . . . . . . . . . 301--313
Terence C. Mills Book review . . . . . . . . . . . . . . 315--316
Maria Eduarda Da Silva and
Vera Lúcia Oliveira Difference Equations for the
Higher-Order Moments and Cumulants of
the $ {\rm INAR}(1) $ Model . . . . . . 317--333
Georges Oppenheim and
Marie-Claude Viano Aggregation of random parameters
Ornstein--Uhlenbeck or AR processes:
some convergence results . . . . . . . . 335--350
Paul Kabaila and
Zhisong He The adjustment of prediction intervals
to account for errors in parameter
estimation . . . . . . . . . . . . . . . 351--358
Qin Shao and
Robert Lund Computation and Characterization of
Autocorrelations and Partial
Autocorrelations in Periodic ARMA Models 359--372
Gilles R. Ducharme and
Pierre Lafaye de Micheaux Goodness-of-fit tests of normality for
the innovations in ARMA models . . . . . 373--395
S. Peiris and
A. Thavaneswaran A note on the filtering for some time
series models . . . . . . . . . . . . . 397--407
Robert Sollis Asymmetric adjustment and smooth
transitions: a combination of some unit
root tests . . . . . . . . . . . . . . . 409--417
P. W. Fong and
W. K. Li Some results on cointegration with
random coefficients in the error
correction form: estimation and testing 419--441
John N. Haddad On the closed form of the covariance
matrix and its inverse of the causal
ARMA process . . . . . . . . . . . . . . 443--448
Lorenzo Pascual and
Juan Romo and
Esther Ruiz Bootstrap predictive inference for ARIMA
processes . . . . . . . . . . . . . . . 449--465
Edward P. Campbell Bayesian selection of threshold
autoregressive models . . . . . . . . . 467--482
Dehui Wang and
Lixin Song and
Ningzhong Shi Estimation and testing for the
parameters of $ {\rm ARCH}(q) $ under
ordered restriction . . . . . . . . . . 483--499
Yasumasa Matsuda and
Yoshihiro Yajima On testing for separable correlations of
multivariate time series . . . . . . . . 501--528
Wilfredo Palma and
Mauricio Zevallos Analysis of the correlation structure of
square time series . . . . . . . . . . . 529--550
Taiyeong Lee and
David A. Dickey Limiting distributions of unconditional
maximum likelihood unit root test
statistics in seasonal time-series
models . . . . . . . . . . . . . . . . . 551--561
Fabienne Comte Kernel deconvolution of stochastic
volatility models . . . . . . . . . . . 563--582
Tae-Hwan Kim and
Stephen J. Leybourne and
Paul Newbold Asymptotic mean-squared forecast error
when an autoregression with linear trend
is fitted to data generated by an $ {\rm
I}(0) $ or $ {\rm I}(1) $ process . . . 583--602
William R. Bell and
Donald E. K. Martin Computation of asymmetric signal
extraction filters and mean squared
error for ARIMA component models . . . . 603--623
André Klein and
Guy Mélard An algorithm for computing the
asymptotic Fisher information matrix for
seasonal SISO models . . . . . . . . . . 627--648
C. W. Granger and
E. Maasoumi and
J. Racine A Dependence Metric for Possibly
Nonlinear Processes . . . . . . . . . . 649--669
N. K. Unnikrishnan Bayesian subset model selection for time
series . . . . . . . . . . . . . . . . . 671--690
Luis A. Gil-Alana A joint test of fractional integration
and structural breaks at a known period
of time . . . . . . . . . . . . . . . . 691--700
R. K. Freeland and
B. P. M. McCabe Analysis of low count time series data
by Poisson autoregression . . . . . . . 701--722
S. Perera Maximum quasi-likelihood estimation for
the $ {\rm NEAR}(2) $ model . . . . . . 723--732
Offer Lieberman and
Peter C. B. Phillips Error bounds and asymptotic expansions
for Toeplitz product functionals of
unbounded spectra . . . . . . . . . . . 733--753
Tae-Hwan Kim and
Stephen Leybourne and
Paul Newbold Behaviour of Dickey--Fuller Unit-Root
Tests Under Trend Misspecification . . . 755--764
Christian Francq and
Antony Gautier Large sample properties of parameter
least squares estimates for time-varying
ARMA models . . . . . . . . . . . . . . 765--783
J. Vermaak and
C. Andrieu and
A. Doucet and
S. J. Godsill Reversible jump Markov chain Monte Carlo
strategies for Bayesian model selection
in autoregressive processes . . . . . . 785--809
Yu-Pin Hu and
Rouh-Jane Chou On the Peña--Box model . . . . . . . . . 811--830
Vidar Hjellvik and
Rong Chen and
Dag Tjòstheim Nonparametric estimation and testing in
panels of intercorrelated time series 831--872
\`Oscar Jord\`a and
Massimiliano Marcellino Time-scale transformations of discrete
time processes . . . . . . . . . . . . . 873--894
Mark J. Jensen Semiparametric Bayesian Inference of
Long-Memory Stochastic Volatility Models 895--922
Peide Shi and
Chih-Ling Tsai A Joint Regression Variable and
Autoregressive Order Selection Criterion 923--941
Anonymous \booktitleJournal of Time Series
Analysis: index to volume 25 2004 . . . 943--945
Kamal C. Chanda Large sample properties of spectral
estimators for a class of stationary
nonlinear processes . . . . . . . . . . 1--16
Maria Eduarda Silva and
Vera Lúcia Oliveira Difference Equations for the Higher
Order Moments and Cumulants of the $
{\rm INAR}(p) $ Model . . . . . . . . . 17--36
Gonzalo Camba-Mendez and
George Kapetanios Estimating the Rank of the Spectral
Density Matrix . . . . . . . . . . . . . 37--48
Pierre Duchesne Robust and powerful serial correlation
tests with new robust estimates in ARX
models . . . . . . . . . . . . . . . . . 49--81
Marc Hallin and
Abdessamad Saidi Testing Non-Correlation and
Non-Causality between Multivariate ARMA
Time Series . . . . . . . . . . . . . . 83--105
Francesco Battaglia and
Lia Orfei Outlier Detection and Estimation in
Nonlinear Time Series . . . . . . . . . 107--121
George Kapetanios Unit-root testing against the
alternative hypothesis of up to m
structural breaks . . . . . . . . . . . 123--133
Masahito Kobayashi and
Xiuhong Shi Testing for EGARCH Against Stochastic
Volatility Models . . . . . . . . . . . 135--150
Barry Quinn Book Reviews 1 . . . . . . . . . . . . . 151--152
Anonymous Book Reviews 2 . . . . . . . . . . . . . 152--153
Anonymous Erratum . . . . . . . . . . . . . . . . 155--156
D. S. Poskitt A Note on the Specification and
Estimation of ARMAX Systems . . . . . . 157--183
Francesco Bravo Blockwise empirical entropy tests for
time series regressions . . . . . . . . 185--210
Stilian Stoev and
Murad S. Taqqu Asymptotic self-similarity and wavelet
estimation for long-range dependent
fractional autoregressive integrated
moving average time series with stable
innovations . . . . . . . . . . . . . . 211--249
Francesco Audrino Local Likelihood for non-parametric $
{\rm ARCH}(1) $ models . . . . . . . . . 251--278
Morten Òrregaard Nielsen Semiparametric estimation in time-series
regression with long-range dependence 279--304
B. P. M. McCabe and
G. M. Martin and
A. R. Tremayne Assessing Persistence In Discrete
Nonstationary Time-Series Models . . . . 305--317
Philip Hans Franses The Econometric Analysis of Seasonal
Time Series . . . . . . . . . . . . . . 319--321
Hwai-Chung Ho and
Nan-Jung Hsu Polynomial Trend Regression With
Long-memory Errors . . . . . . . . . . . 323--354
Stephen Leybourne and
Tae-Hwan Kim and
Paul Newbold Examination of some more powerful
modifications of the Dickey--Fuller test 355--369
R. J. Biscay and
Marc Lavielle and
Carenne Ludeña Estimation of Nonparametric
Autoregressive Time Series Models Under
Dynamical Constraints . . . . . . . . . 371--397
E. E. Ioannidis and
G. A. Chronis Extreme spectra of var models and orders
of near-cointegration . . . . . . . . . 399--421
Sophie Lambert-Lacroix Extension of Autocovariance Coefficients
Sequence for Periodically Correlated
Processes . . . . . . . . . . . . . . . 423--435
Gael M. Martin and
Catherine S. Forbes and
Vance L. Martin Implicit Bayesian Inference Using Option
Prices . . . . . . . . . . . . . . . . . 437--462
Yuzo Hosoya Fractional Invariance Principle . . . . 463--486
Paul Fearnhead Book Review . . . . . . . . . . . . . . 487--488
Paul L. Anderson and
Mark M. Meerschaert Parameter Estimation for Periodically
Stationary Time Series . . . . . . . . . 489--518
Pascal Bondon Influence of missing values on the
prediction of a stationary time series 519--525
Yue Fang The effect of the estimation on
goodness-of-fit tests in time series
models . . . . . . . . . . . . . . . . . 527--541
Efstathios Paparoditis Testing the Fit of a Vector
Autoregressive Moving Average Model . . 543--568
Heung Wong and
Shiqing Ling Mixed Portmanteau Tests for Time-Series
Models . . . . . . . . . . . . . . . . . 569--579
J. Arteche and
C. Velasco Trimming and Tapering Semi-Parametric
Estimates in Asymmetric Long Memory Time
Series . . . . . . . . . . . . . . . . . 581--611
Henghsiu Tsai and
K. S. Chan Temporal Aggregation of Stationary And
Nonstationary Discrete-Time Processes 613--624
P. Whittle Book review: \booktitleThe Estimation
and Tracking of Frequency . . . . . . . 625--626
G. Janacek Book review: \booktitleSeasonal
adjustment with the X-11 method . . . . 626--627
G. Janacek Book review: \booktitleMeasuring
Business Cycles in Economic Time Series 627--628
T. Subba Rao Book Review: \booktitleAdvanced Linear
Modelling . . . . . . . . . . . . . . . 628--629
Dietmar Bauer Comparing the CCA Subspace Method to
Pseudo Maximum Likelihood Methods in the
case of No Exogenous Inputs . . . . . . 631--668
Eckhard Liebscher Towards a unified approach for proving
geometric ergodicity and mixing
properties of nonlinear autoregressive
processes . . . . . . . . . . . . . . . 669--689
Henghsiu Tsai and
K. S. Chan Quasi-Maximum likelihood estimation for
a class of continuous-time long-memory
processes . . . . . . . . . . . . . . . 691--713
Arie Preminger and
David Wettstein Using the penalized likelihood method
for model selection with nuisance
parameters present only under the
alternative: an application to switching
regression models . . . . . . . . . . . 715--741
Hai-Bin Wang Parameter estimation and subset
selection for separable lower triangular
bilinear models . . . . . . . . . . . . 743--757
A. M. Robert Taylor On the use of sub-sample unit root tests
to detect changes in persistence . . . . 759--778
Robert H. Shumway Book Reviews . . . . . . . . . . . . . . 779--780
C. T. J. Dodson Book Reviews . . . . . . . . . . . . . . 780--782
Terence C. Mills Book Reviews . . . . . . . . . . . . . . 782--783
Richard E. Chandler Book Reviews . . . . . . . . . . . . . . 783--784
Mohsen Pourahmadi Book Reviews . . . . . . . . . . . . . . 784--785
Gyorgy Terdik Book Reviews . . . . . . . . . . . . . . 786--786
Anonymous Erratum: Book Review . . . . . . . . . . 787--787
Ramsés H. Mena and
Stephen G. Walker Stationary Autoregressive Models via a
Bayesian Nonparametric Approach . . . . 789--805
S. Y. Hwang and
I. V. Basawa Explosive Random-Coefficient $ {\rm
AR}(1) $ Processes and Related
Asymptotics for Least-Squares Estimation 807--824
J. Zhou and
I. V. Basawa Maximum likelihood estimation for a
first-order bifurcating autoregressive
process with exponential errors . . . . 825--842
Peter X.-K. Song and
Dingan Feng On Parameter Estimation for Exponential
Dispersion ARMA Models . . . . . . . . . 843--862
Wilfredo Palma and
Ngai Hang Chan Efficient Estimation of Seasonal
Long-Range-Dependent Processes . . . . . 863--892
Danny Pfeffermann and
Richard Tiller Bootstrap Approximation to Prediction
MSE for State-Space Models with
Estimated Parameters . . . . . . . . . . 893--916
Ansgar Steland Random walks with drift --- a sequential
approach . . . . . . . . . . . . . . . . 917--942
Anonymous Online Early Announcement . . . . . . . 943--943
Anonymous \booktitleJournal of Time Series
Analysis: index to volume 26 2005 . . . 945--946
Thomas M. Trimbur Properties of higher order stochastic
cycles . . . . . . . . . . . . . . . . . 1--17
S. Ajay Chandra and
Masanobu Taniguchi Minimum $ \alpha $-divergence estimation
for ARCH models . . . . . . . . . . . . 19--39
K. D. S. Young and
L. I. Pettit The effect of observations on Bayesian
choice of an autoregressive model . . . 41--50
Liudas Giraitis and
Peter C. B. Phillips Uniform Limit Theory for Stationary
Autoregression . . . . . . . . . . . . . 51--60
Alexander Aue and
Lajos Horváth and
Josef Steinebach Estimation in Random Coefficient
Autoregressive Models . . . . . . . . . 61--76
J. C. Jimenez and
T. Ozaki An Approximate Innovation Method for the
Estimation of Diffusion Processes from
Discrete Data . . . . . . . . . . . . . 77--97
Hedibert F. Lopes and
Esther Salazar Bayesian Model Uncertainty In Smooth
Transition Autoregressions . . . . . . . 99--117
Richard Luger Median-unbiased estimation and exact
inference methods for first-order
autoregressive models with conditional
heteroscedasticity of unknown form . . . 119--128
Heungsun Park and
Key-Il Shin A Shrinked Forecast in Stationary
Processes Favouring Percentage Error . . 129--139
Jukka Corander and
Mattias Villani A Bayesian Approach to Modelling
Graphical Vector Autoregressions . . . . 141--156
Y. Zhang and
A. I. McLeod Computer algebra derivation of the bias
of linear estimators of autoregressive
models . . . . . . . . . . . . . . . . . 157--165
E. J. Godolphin and
S. R. Bane On the evaluation of the information
matrix for multiplicative seasonal
time-series models . . . . . . . . . . . 167--190
Gabriel Pons Testing Monthly Seasonal Unit Roots With
Monthly and Quarterly Information . . . 191--209
Violetta Dalla and
Liudas Giraitis and
Javier Hidalgo Consistent estimation of the memory
parameter for nonlinear time series . . 211--251
Yoshihide Kakizawa Bernstein polynomial estimation of a
spectral density . . . . . . . . . . . . 253--287
Peter C. B. Phillips and
Ke-Li Xu Inference in Autoregression under
Heteroskedasticity . . . . . . . . . . . 289--308
Lei M. Li Some notes on mutual information between
past and future . . . . . . . . . . . . 309--322
Nunzio Cappuccio and
Diego Lubian Local Asymptotic Distributions of
Stationarity Tests . . . . . . . . . . . 323--345
Clive W. J. Granger and
Yongil Jeon Dynamics of Model Overfitting Measured
in terms of Autoregressive Roots . . . . 347--365
Zhengyuan Zhu and
Murad S. Taqqu Impact of the sampling rate on the
estimation of the parameters of
fractional Brownian motion . . . . . . . 367--380
Ralf Becker and
Walter Enders and
Junsoo Lee A stationarity test in the presence of
an unknown number of smooth breaks . . . 381--409
Haitao Zheng and
Ishwar V. Basawa and
Somnath Datta Inference for $p$ th-order random
coefficient integer-valued
autoregressive processes . . . . . . . . 411--440
Masayuki Hirukawa A Modified Nonparametric Prewhitened
Covariance Estimator . . . . . . . . . . 441--476
Serge Darolles and
Christian Gourieroux and
Joann Jasiak Structural Laplace Transform and
Compound Autoregressive Models . . . . . 477--503
Chafik Bouhaddioui and
Roch Roy A Generalized Portmanteau Test For
Independence Of Two Infinite-Order
Vector Autoregressive Series . . . . . . 505--544
Felipe Aparicio and
Alvaro Escribano and
Ana E. Sipols Range Unit-Root (RUR) Tests: Robust
against Nonlinearities, Error
Distributions, Structural Breaks and
Outliers . . . . . . . . . . . . . . . . 545--576
Zhiqiang Zhang and
Wai Keung Li and
Kam Chuen Yuen On a Mixture GARCH Time-Series Model . . 577--597
A. I. McLeod and
Y. Zhang Partial autocorrelation parameterization
for subset autoregression . . . . . . . 599--612
Giuseppe Cavaliere and
A. M. Robert Taylor Testing the null of co-integration in
the presence of variance breaks . . . . 613--636
Céline Lévy-Leduc Efficient frequency estimation from a
particular almost periodic function with
application to laser vibrometry . . . . 637--669
Antonio E. Noriega and
Daniel Ventosa-Santaul\`aria Spurious Regression Under Broken-Trend
Stationarity . . . . . . . . . . . . . . 671--684
Peter Burridge and
A. M. Robert Taylor Additive Outlier Detection Via
Extreme-Value Theory . . . . . . . . . . 685--701
Taku Yamamoto and
Eiji Kurozumi Tests for Long-Run Granger Non-Causality
in Cointegrated Systems . . . . . . . . 703--723
Rong Zhu and
Harry Joe Modelling count data time series with
Markov processes based on binomial
thinning . . . . . . . . . . . . . . . . 725--738
David I. Harvey and
Stephen J. Leybourne Power of a Unit-Root Test and the
Initial Condition . . . . . . . . . . . 739--752
Zacharias Psaradakis and
Nicola Spagnolo Joint determination of the state
dimension and autoregressive order for
models with Markov regime switching . . 753--766
Ana Mónica C. Antunes and
Tata Subba Rao On hypotheses testing for the selection
of spatio-temporal models . . . . . . . 767--791
Anonymous Corrigendum . . . . . . . . . . . . . . i--ii
Jelloul Allal and
Sa\"\id El Melhaoui Optimal detection of exponential
component in autoregressive models . . . 793--810
Chu-Ping C. Vijverberg Time deformation, continuous Euler
processes and forecasting . . . . . . . 811--829
A. R. Soltani and
M. Mohammadpour Moving Average Representations for
Multivariate Stationary Processes . . . 831--841
Ahmed El Ghini and
Christian Francq Asymptotic Relative Efficiency of
Goodness-Of-Fit Tests Based on Inverse
and Ordinary Autocorrelations . . . . . 843--855
Qiwei Yao and
Peter J. Brockwell Gaussian Maximum Likelihood Estimation
For ARMA Models. I. Time Series . . . . 857--875
Elisabeth Gassiat and
Céline Lévy-Leduc Efficient semiparametric estimation of
the periods in a superposition of
periodic functions with unknown shape 877--910
Wen-Den Chen An approximate likelihood function for
panel data with a mixed $ {\rm ARMA}(p,
q) $ remainder disturbance model . . . . 911--921
René Ferland and
Alain Latour and
Driss Oraichi Integer-Valued GARCH Process . . . . . . 923--942
Terence C. Mills Introductory econometrics: using Monte
Carlo simulation with Microsoft
Excel\reg . . . . . . . . . . . . . . . 943--944
Anonymous \booktitleJournal of Time Series
Analysis: index to volume 27 2006 . . . 945--946
Jean-Marc Bardet and
Pierre Bertrand Identification of the multiscale
fractional Brownian motion with
biomechanical applications . . . . . . . 1--52
Massimiliano Marcellino Pooling-Based Data Interpolation and
Backdating . . . . . . . . . . . . . . . 53--71
Hao Yu High Moment Partial Sum Processes of
Residuals in ARMA Models and their
Applications . . . . . . . . . . . . . . 72--91
Peter Neal and
T. Subba Rao MCMC for Integer-Valued ARMA processes 92--110
Elena Pesavento Residuals-based tests for the null of
no-cointegration: an Analytical
comparison . . . . . . . . . . . . . . . 111--137
Jan Beran On $M$-Estimation Under Long-Range
Dependence in Volatility . . . . . . . . 138--153
E. Moulines and
F. Roueff and
M. S. Taqqu On the spectral density of the wavelet
coefficients of long-memory time series
with application to the log-regression
estimation of the memory parameter . . . 155--187
Joakim Westerlund and
David L. Edgerton New improved tests for cointegration
with structural breaks . . . . . . . . . 188--224
A. R. Soltani and
M. Azimmohseni Simulation of real-valued discrete-time
periodically correlated Gaussian
processes with prescribed spectral
density matrices . . . . . . . . . . . . 225--240
Daren B. H. Cline Evaluating the Lyapounov Exponent and
Existence of Moments for Threshold
AR--ARCH Models . . . . . . . . . . . . 241--260
Pascal Bondon and
Wilfredo Palma A Class of Antipersistent Processes . . 261--273
Ana Bianco and
Graciela Boente Robust estimators under semi-parametric
partly linear autoregression: Asymptotic
behaviour and bandwidth selection . . . 274--306
Javier Hidalgo A nonparametric test for weak dependence
against strong cycles and its bootstrap
analogue . . . . . . . . . . . . . . . . 307--349
Henghsiu Tsai and
K. S. Chan A Note on Non-Negative ARMA Processes 350--360
Víctor Gómez Wiener-Kolmogorov filtering and
smoothing for multivariate series with
state-space structure . . . . . . . . . 361--385
A. E. Brockwell Likelihood-based analysis of a class of
generalized long-memory time series
models . . . . . . . . . . . . . . . . . 386--407
Stephen Leybourne and
Robert Taylor and
Tae-Hwan Kim CUSUM of Squares-Based Tests for a
Change in Persistence . . . . . . . . . 408--433
A. Canepa and
L. G. Godfrey Improvement of the quasi-likelihood
ratio test in ARMA models: some results
for bootstrap methods . . . . . . . . . 434--453
Christian Francq and
Hamdi Ra\"\issi Multivariate portmanteau test for
autoregressive models with uncorrelated
but nonindependent errors . . . . . . . 454--470
M. Angeles Carnero and
Daniel Peña and
Esther Ruiz Effects of outliers on the
identification and estimation of GARCH
models . . . . . . . . . . . . . . . . . 471--497
Mituaki Huzii Embedding a Gaussian discrete-time
autoregressive moving average process in
a Gaussian continuous-time
autoregressive moving average process 498--520
Paolo Zaffaroni Contemporaneous aggregation of GARCH
processes . . . . . . . . . . . . . . . 521--544
Eiji Kurozumi and
Yoichi Arai Efficient estimation and inference in
cointegrating regressions with
structural change . . . . . . . . . . . 545--575
Daniel J. Nordman and
Philipp Sibbertsen and
Soumendra N. Lahiri Empirical likelihood confidence
intervals for the mean of a long-range
dependent process . . . . . . . . . . . 576--599
Carlos Velasco The periodogram of fractional processes 600--627
Jeremy Penzer State space models for time series with
patches of unusual observations . . . . 629--645
Chstoph Bandt and
Faten Shiha Order Patterns in Time Series . . . . . 646--665
Konstantinos Metaxoglou and
Aaron Smith Maximum Likelihood Estimation of VARMA
Models Using a State-Space EM Algorithm 666--685
Amit Sen Joint hypothesis tests for a unit root
when there is a break in the innovation
variance . . . . . . . . . . . . . . . . 686--700
Leonardo Rocha Souza Temporal Aggregation and Bandwidth
selection in estimating long memory . . 701--722
Patrick Marsh Constructing Optimal tests on a Lagged
dependent variable . . . . . . . . . . . 723--743
O. Stramer and
G. O. Roberts On Bayesian analysis of nonlinear
continuous-time autoregression models 744--762
Mihaela Serban and
Anthony Brockwell and
John Lehoczky and
Sanjay Srivastava Modelling the Dynamic Dependence
Structure in Multivariate Financial Time
Series . . . . . . . . . . . . . . . . . 763--782
E. J. Godolphin and
J. D. Godolphin A note on the information matrix for
multiplicative seasonal autoregressive
moving-average models . . . . . . . . . 783--791
K. Drouiche A Test for Spectrum Flatness . . . . . . 793--806
Andrew P. Blake and
George Kapetanios Testing for Neglected Nonlinearity in
Cointegrating Relationships . . . . . . 807--826
Wen-Jen Tsay Using difference-based methods for
inference in regression with
fractionally integrated processes . . . 827--843
Valerie Girardin Relative entropy and spectral
constraints: some invariance properties
of the ARMA class . . . . . . . . . . . 844--866
Ginger M. Davis and
Katherine B. Ensor Multivariate time-series analysis with
categorical and continuous variables in
an lstr model . . . . . . . . . . . . . 867--885
Daniel Peña and
Ismael Sánchez Measuring the advantages of multivariate
vs. univariate forecasts . . . . . . . . 886--909
Tomas del Barrio Castro Using the HEGY Procedure When Not All
Roots Are Present . . . . . . . . . . . 910--922
Marco Avarucci and
Domenico Marinucci Polynomial Cointegration Between
Stationary Processes With Long Memory 923--942
Anonymous \booktitleJournal of Time Series
Analysis index to Volume 28 2007 . . . . 943--944
Agnieszka Wyloma\'nska Spectral measures of PARMA sequences . . 1--13
Péter Elek and
László Márkus A light-tailed conditionally
heteroscedastic model with applications
to river flows . . . . . . . . . . . . . 14--36
Monica Chiogna and
Carlo Gaetan and
Guido Masarotto Automatic identification of seasonal
transfer function models by means of
iterative stepwise and genetic
algorithms . . . . . . . . . . . . . . . 37--50
Beth Andrews Rank-based estimation for autoregressive
moving average time series models . . . 51--73
P. Gagliardini and
C. Gourieroux Duration time-series models with
proportional hazard . . . . . . . . . . 74--124
Jussi Klemelä Density estimation with locally
identically distributed data and with
locally stationary data . . . . . . . . 125--141
Nigar Hashimzade and
Timothy J. Vogelsang Fixed-$b$ asymptotic approximation of
the sampling behaviour of nonparametric
spectral density estimators . . . . . . 142--162
Luis A. Gil-Alana Fractional integration and structural
breaks at unknown periods of time . . . 163--185
Yuzhi Cai and
Julian Stander Quantile self-exciting threshold
autoregressive time series models . . . 186--202
Donald W. K. Andrews and
Patrik Guggenberger Asymptotics for stationary very nearly
unit root processes . . . . . . . . . . 203--212
Paul Kabaila and
Khreshna Syuhada Improved Prediction Limits For $ {\rm
AR}(p) $ and $ {\rm ARCH}(p) $ Processes 213--223
D. S. Poskitt Properties of the sieve bootstrap for
fractionally integrated and
non-invertible processes . . . . . . . . 224--250
Q. Shao Robust Estimation For Periodic
Autoregressive Time Series . . . . . . . 251--263
Marios Sergides and
Efstathios Paparoditis Bootstrapping the Local Periodogram of
Locally Stationary Processes . . . . . . 264--299
Giuseppe Cavaliere and
A. M. Robert Taylor Time-Transformed unit root tests for
models with non-stationary volatility 300--330
Carsten Trenkler and
Pentti Saikkonen and
Helmut Lütkepohl Testing for the Cointegrating Rank of a
VAR Process with Level Shift and Trend
Break . . . . . . . . . . . . . . . . . 331--358
Naoya Katayama An Improvement of the Portmanteau
Statistic . . . . . . . . . . . . . . . 359--370
Franz C. Palm and
Stephan Smeekes and
Jean-Pierre Urbain Bootstrap unit-root tests: comparison
and extensions . . . . . . . . . . . . . 371--401
Taslim S. Mallick and
Brajendra C. Sutradhar GQL Versus Conditional GQL Inferences
for Non-Stationary Time Series of Counts
with Overdispersion . . . . . . . . . . 402--420
Niklas Ahlgren and
Jukka Nyblom Tests against stationary and explosive
alternatives in vector autoregressive
models . . . . . . . . . . . . . . . . . 421--443
Fuyuhiko Tanaka and
Fumiyasu Komaki A superharmonic prior for the
autoregressive process of the
second-order . . . . . . . . . . . . . . 444--452
Mika Meitz and
Pentti Saikkonen Stability of nonlinear AR-GARCH models 453--475
Eiji Kurozumi and
Yoichi Arai Test for the null hypothesis of
cointegration with reduced size
distortion . . . . . . . . . . . . . . . 476--500
Seiichi Nakamori and
Aurora Hermoso-Carazo and
Josefa Linares-Pérez Design of quadratic estimators using
covariance information in linear
discrete-time stochastic systems . . . . 501--512
M. Rekkas and
Y. Sun and
A. Wong Improved inference for first-order
autocorrelation using likelihood
analysis . . . . . . . . . . . . . . . . 513--532
George Athanasopoulos and
Farshid Vahid A complete VARMA modelling methodology
based on scalar components . . . . . . . 533--554
Sergio G. Koreisha and
Yue Fang Using least squares to generate
forecasts in regressions with serial
correlation . . . . . . . . . . . . . . 555--580
Paolo Zaffaroni Large-scale volatility models:
theoretical properties of professionals'
practice . . . . . . . . . . . . . . . . 581--599
J.-W. Lin and
A. I. McLeod Portmanteau tests for ARMA models with
infinite variance . . . . . . . . . . . 600--617
Fukang Zhu and
Dehui Wang Estimation of Parameters in the $ {\rm
NLAR}(p) $ Model . . . . . . . . . . . . 619--628
Daniel R. Smith Evaluating Specification Tests for
Markov-Switching Time-Series Models . . 629--652
Mohamed Boutahar Identification of persistent cycles in
non-Gaussian long-memory time series . . 653--672
Suhasini Subba Rao Statistical analysis of a
spatio-temporal model with
location-dependent parameters and a test
for spatial stationarity . . . . . . . . 673--694
Peter Burridge and
Daniela Hristova Consistent estimation and order
selection for nonstationary
autoregressive processes with stable
innovations . . . . . . . . . . . . . . 695--718
Emma M. Iglesias and
Garry D. A. Phillips Finite Sample Theory of QMLE in ARCH
Models with Dynamics in the Mean
Equation . . . . . . . . . . . . . . . . 719--737
Joanne S. Ercolani Book Review . . . . . . . . . . . . . . 738--740
Ignacio Arbués An Extended Portmanteau Test for VARMA
Models With Mixing Nonlinear Constraints 741--761
Naâmane La\"\ib and
Mohamed Lemdani and
Elias Ould-Sa\"\id On residual empirical processes of
GARCH-SM models: application to
conditional symmetry tests . . . . . . . 762--782
Feike C. Drost and
Ramon Van Den Akker and
Bas J. M. Werker Local asymptotic normality and efficient
estimation for $ {\rm INAR}(p) $ models 783--801
Granville Tunnicliffe Wilson and
Marco Reale The sampling properties of conditional
independence graphs for $ {\rm I}(1) $
structural VAR models . . . . . . . . . 802--810
Jeongeun Kim and
David S. Stoffer Fitting Stochastic Volatility Models in
the Presence of Irregular Sampling via
Particle Methods and the EM Algorithm 811--833
Richard A. Davis and
Thomas C. M. Lee and
Gabriel A. Rodriguez-Yam Break detection for a class of nonlinear
time series models . . . . . . . . . . . 834--867
Piotr Fryzlewicz and
Guy P. Nason and
Rainer Von Sachs A wavelet-Fisz approach to spectrum
estimation . . . . . . . . . . . . . . . 868--880
Zacharias Psaradakis Assessing Time-Reversibility Under
Minimal Assumptions . . . . . . . . . . 881--905
Jean-Marc Bardet and
Paul Doukhan and
José Rafael León Uniform limit theorems for the
integrated periodogram of weakly
dependent time series and their
applications to Whittle's estimate . . . 906--945
Marie Husková and
Claudia Kirch Bootstrapping confidence intervals for
the change-point of time series . . . . 947--972
Ruijun Bu and
Brendan McCabe and
Kaddour Hadri Maximum likelihood estimation of
higher-order integer-valued
autoregressive processes . . . . . . . . 973--994
\Lukasz Lenart and
Jacek Le\'skow and
Rafa\l Synowiecki Subsampling in testing autocovariance
for periodically correlated time series 995--1018
Theodore Simos The exact discrete model of a system of
linear stochastic differential equations
driven by fractional noise . . . . . . . 1019--1031
Hai-Bin Wang Nonlinear ARMA models with functional MA
coefficients . . . . . . . . . . . . . . 1032--1056
Hamid Louni Outlier detection in ARMA models . . . . 1057--1065
Nikolaos Kourogenis and
Nikitas Pittis Testing for a unit root under errors
with just barely infinite variance . . . 1066--1087
Uwe Hassler and
Francesc Marmol and
Carlos Velasco Fractional cointegration in the presence
of linear trends . . . . . . . . . . . . 1088--1103
C. Lévy-Leduc and
E. Moulines and
F. Roueff Frequency estimation based on the
cumulated Lomb-Scargle periodogram . . . 1104--1131
Víctor Enciso-Mora and
Peter Neal and
T. Subba Rao Efficient order selection algorithms for
integer-valued ARMA processes . . . . . 1--18
Abdelhakim Aknouche and
Abdelouahab Bibi Quasi-maximum likelihood estimation of
periodic GARCH and periodic ARMA-GARCH
processes . . . . . . . . . . . . . . . 19--46
Tommaso Proietti and
Marco Riani Transformations and seasonal adjustment 47--69
Eugen Ursu and
Pierre Duchesne On modelling and diagnostic checking of
vector periodic autoregressive time
series models . . . . . . . . . . . . . 70--96
Víctor Gómez and
Félix Aparicio-Pérez A new state-space methodology to
disaggregate multivariate time series 97--124
Dennis Kristensen On stationarity and ergodicity of the
bilinear model with applications to
GARCH models . . . . . . . . . . . . . . 125--144
Kenichiro Tamaki Second-order properties of locally
stationary processes . . . . . . . . . . 145--166
Alejandro Rodriguez and
Esther Ruiz Bootstrap prediction intervals in
state-space models . . . . . . . . . . . 167--178
Xiao Wang Semiparametric inference on a class of
Wiener processes . . . . . . . . . . . . 179--207
George Kapetanios and
Massimiliano Marcellino A parametric estimation method for
dynamic factor models of large
dimensions . . . . . . . . . . . . . . . 208--238
Jiwon Kang and
Sangyeol Lee Parameter change test for random
coefficient integer-valued
autoregressive processes with
application to polio data analysis . . . 239--258
Anonymous Corrigendum . . . . . . . . . . . . . . 259--259
Ruijun Bu and
Brendan McCabe and
Kaddour Hadri Corrigendum . . . . . . . . . . . . . . 260--261
Philipp Sibbertsen and
Robinson Kruse Testing for a break in persistence under
long-range dependencies . . . . . . . . 263--285
Zhengyan Lin and
Degui Li and
Jiti Gao Local Linear $M$-estimation in
non-parametric spatial regression . . . 286--314
Arup Bose and
Kanchan Mukherjee Bootstrapping a weighted linear
estimator of the ARCH parameters . . . . 315--331
Robert Lund and
Hany Bassily and
Brani Vidakovic Testing equality of stationary
autocovariances . . . . . . . . . . . . 332--348
Georgi N. Boshnakov and
Bisher M. Iqelan Generation Of Time Series Models With
Given Spectral Properties . . . . . . . 349--368
Zacharias Psaradakis and
Martin Sola and
Fabio Spagnolo and
Nicola Spagnolo Selecting nonlinear time series models
using information criteria . . . . . . . 369--394
István Berkes and
Lajos Horváth and
Shiqing Ling Estimation in nonstationary random
coefficient autoregressive models . . . 395--416
M. Kachour and
J. F. Yao First-order rounded integer-valued
autoregressive (RINAR(1)) process . . . 417--448
Christian Francq and
Jean-Michel Zako\"\ian Bartlett's formula for a general class
of nonlinear processes . . . . . . . . . 449--465
Anonymous Call for papers . . . . . . . . . . . . 466--466
Georgi N. Boshnakov and
Sophie Lambert-Lacroix Maximum entropy for periodically
correlated processes from nonconsecutive
autocovariance coefficients . . . . . . 467--486
Naoya Katayama On multiple portmanteau tests . . . . . 487--504
Joseph Tadjuidje Kamgaing and
Hernando Ombao and
Richard A. Davis Autoregressive processes with
data-driven regime switching . . . . . . 505--533
F. Roueff and
M. S. Taqqu Asymptotic normality of wavelet
estimators of the memory parameter for
linear processes . . . . . . . . . . . . 534--558
Zhu Wang and
Wayne A. Woodward and
Henry L. Gray The application of the Kalman filter to
nonstationary time series through time
deformation . . . . . . . . . . . . . . 559--574
Willa W. Chen Book Review: \booktitleAnalysis of
Integrated and Cointegrated Time Series
with R, 2nd edition . . . . . . . . . . 575--575
Paolo Vidoni A simple procedure for computing
improved prediction intervals for
autoregressive models . . . . . . . . . 577--590
Josu Arteche and
Jesus Orbe Bootstrap-based bandwidth choice for
log-periodogram regression . . . . . . . 591--617
Willa W. Chen and
Rohit S. Deo The restricted likelihood ratio test at
the boundary in autoregressive series 618--630
Rebecca J. Sela and
Clifford M. Hurvich Computationally efficient methods for
two multivariate fractionally integrated
models . . . . . . . . . . . . . . . . . 631--651
Jan Mielniczuk and
Zhou Zhou and
Wei Biao Wu On nonparametric prediction of linear
processes . . . . . . . . . . . . . . . 652--673
Yoichi Nishiyama Goodness-of-fit test for a nonlinear
time series . . . . . . . . . . . . . . 674--681
John Haywood and
Granville Tunnicliffe Wilson A test for improved multi-step
forecasting . . . . . . . . . . . . . . 682--707
Georgi N. Boshnakov Book Review: \booktitleTime series
analysis with applications in R series:
Springer texts in statistics, 2nd
edition . . . . . . . . . . . . . . . . 708--709
Luigi Spezia Bayesian analysis of multivariate
Gaussian hidden Markov models with an
unknown number of regimes . . . . . . . 1--11
Jonas Andersson and
Dimitris Karlis Treating missing values in $ {\rm
INAR}(1) $ models: an application to
syndromic surveillance data . . . . . . 12--19
Valdério A. Reisen and
Eric Moulines and
Philippe Soulier and
Glaura C. Franco On the properties of the periodogram of
a stationary long-memory process over
different epochs with applications . . . 20--36
Fabrizio Iacone Local Whittle estimation of the memory
parameter in presence of deterministic
components . . . . . . . . . . . . . . . 37--49
Piotr Borkowski and
Jan Mielniczuk Postmodel selection estimators of
variance function for nonlinear
autoregression . . . . . . . . . . . . . 50--63
Suhasini Subba Rao Book Review: \booktitleHandbook of
Financial Time Series . . . . . . . . . 64--64
Yun Gong and
Zhouping Li and
Liang Peng Empirical likelihood intervals for
conditional Value-at-Risk in ARCH/GARCH
models . . . . . . . . . . . . . . . . . 65--75
Mariano Matilla-García and
José Miguel Rodríguez and
Manuel Ruiz Marín A symbolic test for testing independence
between time series . . . . . . . . . . 76--85
Lihong Wang and
Haiyan Cai Wavelet change-point estimation for long
memory non-parametric random design
models . . . . . . . . . . . . . . . . . 86--97
Rongning Wu and
Richard A. Davis Least absolute deviation estimation for
general autoregressive moving average
time-series models . . . . . . . . . . . 98--112
Abdelhakim Aknouche and
Nadia Rabehi On an independent and identically
distributed mixture bilinear time-series
model . . . . . . . . . . . . . . . . . 113--131
Francesco Bartolucci and
Alessio Farcomeni A note on the mixture transition
distribution and hidden Markov models 132--138
T. Subba Rao Time Series Analysis . . . . . . . . . . 139--139
Jean-Pierre Stockis and
Jürgen Franke and
Joseph Tadjuidje Kamgaing On geometric ergodicity of CHARME models 141--152
Evangelos E. Ioannidis Unit-root testing: on the asymptotic
equivalence of Dickey--Fuller with the
log--log slope of a fitted
autoregressive spectrum . . . . . . . . 153--166
Rajesh Selukar Estimability of the linear effects in
state space models with an unknown
initial condition . . . . . . . . . . . 167--168
Alessandra Luati and
Tommaso Proietti Hyper-spherical and elliptical
stochastic cycles . . . . . . . . . . . 169--181
Gustavo Didier and
Vladas Pipiras Adaptive wavelet decompositions of
stationary time series . . . . . . . . . 182--209
Konstantinos Fokianos and
Roland Fried Interventions in INGARCH processes . . . 210--225
T. Subba Rao Nonlinear time series: Semiparametric
and Nonparametric methods . . . . . . . 226--226
Anonymous Corrigendum . . . . . . . . . . . . . . 227--227
Yuzo Hosoya and
Taro Takimoto A numerical method for factorizing the
rational spectral density matrix . . . . 229--240
Jing Li and
Junsoo Lee ADL tests for threshold cointegration 241--254
J. Isaac Miller Cointegrating regressions with messy
regressors and an application to
mixed-frequency series . . . . . . . . . 255--277
Jonathan Dark and
Xibin Zhang and
Nan Qu Influence diagnostics for multivariate
GARCH processes . . . . . . . . . . . . 278--291
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor The impact of the initial condition on
robust tests for a linear trend . . . . 292--302
G. Janacek Time series analysis forecasting and
control . . . . . . . . . . . . . . . . 303--303
Mohitosh Kejriwal and
Pierre Perron A sequential procedure to determine the
number of breaks in trend with an
integrated or stationary noise component 305--328
Qiang Xia and
Jiazhu Pan and
Zhiqiang Zhang and
Jinshan Liu A Bayesian nonlinearity test for
threshold moving average models . . . . 329--336
Tae Yoon Kim and
Zhi-Ming Luo Central limit theorems for nonparametric
estimators with real-time random
variables . . . . . . . . . . . . . . . 337--347
Nazim Regnard and
Jean-Michel Zako\"\ian Structure and estimation of a class of
nonstationary yet nonexplosive GARCH
models . . . . . . . . . . . . . . . . . 348--364
Jaehee Kim and
Sooyoung Cheon A Bayesian regime-switching time-series
model . . . . . . . . . . . . . . . . . 365--378
David I. Harvey and
Stephen J. Leybourne and
Lisa Xiao Testing for nonlinear deterministic
components when the order of integration
is unknown . . . . . . . . . . . . . . . 379--391
Manuel Landajo and
María José Presno Stationarity testing under nonlinear
models. Some asymptotic results . . . . 392--405
Georgi N. Boshnakov Book Review: \booktitleIntroductory Time
Series with R . . . . . . . . . . . . . 406--406
Marc K. Francke and
Siem Jan Koopman and
Aart F. De Vos Likelihood functions for state space
models with diffuse initial conditions 407--414
Eiji Kurozumi and
Shinya Tanaka Reducing the size distortion of the KPSS
test . . . . . . . . . . . . . . . . . . 415--426
Werner Ploberger and
Erhard Reschenhofer Testing for cycles in multiple time
series . . . . . . . . . . . . . . . . . 427--434
Fabio Busetti and
Andrew Harvey Tests of strict stationarity based on
quantile indicators . . . . . . . . . . 435--450
Geoffrey Coke and
Min Tsao Random effects mixture models for
clustering electrical load series . . . 451--464
Qi Tang and
Danni Yan Autoregressive trending risk function
and exhaustion in random asset price
movement . . . . . . . . . . . . . . . . 465--470
Timothy L. McMurry and
Dimitris N. Politis Banded and tapered estimates for
autocovariance matrices and the linear
process bootstrap . . . . . . . . . . . 471--482
Federica Giummol\`e and
Paolo Vidoni Improved prediction limits for a general
class of Gaussian models . . . . . . . . 483--493
Konstantinos Fokianos Antedependence Models for Longitudinal
Data . . . . . . . . . . . . . . . . . . 494--494
Yongmiao Hong and
Yoon-Jin Lee Detecting misspecifications in
autoregressive conditional duration
models and non-negative time-series
processes . . . . . . . . . . . . . . . 1--32
Patrik Wahlberg and
Peter J. Schreier Locally stationary harmonizable complex
improper stochastic processes . . . . . 33--46
Steve Mauget Time series analysis based on running
Mann-Whitney Z Statistics . . . . . . . 47--53
Fukang Zhu A negative binomial integer-valued GARCH
model . . . . . . . . . . . . . . . . . 54--67
Yogesh Dwivedi and
Suhasini Subba Rao A test for second-order stationarity of
a time series based on the discrete
Fourier transform . . . . . . . . . . . 68--91
György Terdik Optimal statistical inference in
financial engineering . . . . . . . . . 92--92
K. Triantafyllopoulos Real-time covariance estimation for the
local level model . . . . . . . . . . . 93--107
Luis C. Nunes and
Paulo M. M. Rodrigues On LM-type tests for seasonal unit roots
in the presence of a break in trend . . 108--134
Céline Lévy-Leduc and
Hél\`ene Boistard and
Eric Moulines and
Murad S. Taqqu and
Valderio A. Reisen Robust estimation of the scale and of
the autocovariance function of Gaussian
short- and long-range dependent
processes . . . . . . . . . . . . . . . 135--156
Yonas Gebeyehu Tesfaye and
Paul L. Anderson and
Mark M. Meerschaert Asymptotic results for Fourier-PARMA
time series . . . . . . . . . . . . . . 157--174
Masaki Narukawa and
Yasumasa Matsuda Broadband semi-parametric estimation of
long-memory time series by fractional
exponential models . . . . . . . . . . . 175--193
T. Subba Rao Classification, parameter estimation and
state estimation --- an engineering
approach using MATLAB . . . . . . . . . 194--194
Haixiang Zhang and
Dehui Wang and
Fukang Zhu Empirical likelihood inference for
random coefficient $ {\rm INAR}(p) $
process . . . . . . . . . . . . . . . . 195--203
Nikos S. Thomaidis and
George D. Dounias On detecting the optimal structure of a
neural network under strong statistical
features in errors . . . . . . . . . . . 204--222
M. Kachour and
L. Truquet A $p$-Order signed integer-valued
autoregressive $ ({\rm SINAR}(p))$ model 223--236
Francesco Battaglia and
Mattheos K. Protopapas Time-varying multi-regime models fitting
by genetic algorithms . . . . . . . . . 237--252
Antonio F. Galvao, Jr. and
Gabriel Montes-Rojas and
Jose Olmo Threshold quantile autoregressive models 253--267
Robert C. Jung and
A. R. Tremayne Convolution-closed models for count time
series with applications . . . . . . . . 268--280
Helmut Herwartz and
Helmut Lütkepohl Generalized least squares estimation for
cointegration parameters under
conditional heteroskedasticity . . . . . 281--291
Eunju Hwang and
Dong Wan Shin Stationary bootstrapping for
non-parametric estimator of nonlinear
autoregressive model . . . . . . . . . . 292--303
Keiko Yamaguchi Estimating a change point in the long
memory parameter . . . . . . . . . . . . 304--314
Giacomo Sbrana Structural time series models and
aggregation: some analytical results . . 315--316
Frank S. Nielsen Local Whittle estimation of
multi-variate fractionally integrated
processes . . . . . . . . . . . . . . . 317--335
Maria Antonia Amaral Turkman Book Review: \booktitleIntroduction to
Time Series Modeling . . . . . . . . . . 336--336
Noel Cressie and
Scott H. Holan Editorial: Special issue on time series
in the environmental sciences . . . . . 337--338
Christopher K. Wikle and
Scott H. Holan Polynomial nonlinear spatio-temporal
integro-difference equation models . . . 339--350
Pepa Ramírez-Cobo and
Kichun Sky Lee and
Annalisa Molini and
Amilcare Porporato and
Gabriel Katul and
Brani Vidakovic A wavelet-based spectral method for
extracting self-similarity measures in
time-varying two-dimensional rainfall
maps . . . . . . . . . . . . . . . . . . 351--363
Wenying Huang and
Ke Wang and
F. Jay Breidt and
Richard A. Davis A class of stochastic volatility models
for environmental applications . . . . . 364--377
Peter F. Craigmile and
Peter Guttorp Space-time modelling of trends in
temperature series . . . . . . . . . . . 378--395
Jean Vaillant and
Gavino Puggioni and
Lance A. Waller and
Jean Daugrois A spatio-temporal analysis of the spread
of sugarcane yellow leaf virus . . . . . 396--406
Zhiyun Gong and
Peter Kiessler and
Robert Lund A prediction-residual approach for
identifying rare events in periodic time
series . . . . . . . . . . . . . . . . . 407--419
Kevin Nichols and
Frederic Paik Schoenberg and
Jon E. Keeley and
Andrew Bray and
David Diez The application of prototype point
processes for the summary and
description of California wildfires . . 420--429
Matthias Katzfuss and
Noel Cressie Spatio-temporal smoothing and EM
estimation for massive remote-sensing
data sets . . . . . . . . . . . . . . . 430--446
Holger Dette and
Tatjana Kinsvater and
Mathias Vetter Testing non-parametric hypotheses for
stationary processes by estimating
minimal distances . . . . . . . . . . . 447--461
Alfredo García-Hiernaux Forecasting linear dynamical systems
using subspace methods . . . . . . . . . 462--468
Byungsoo Kim and
Sangyeol Lee Robust estimation for the covariance
matrix of multi-variate time series . . 469--481
George A. Christodoulakis and
Stephen E. Satchell Stability conditions for heteroscedastic
factor models with conditionally
autoregressive betas . . . . . . . . . . 482--497
Michael Robbins and
Colin Gallagher and
Robert Lund and
Alexander Aue Mean shift testing in correlated data 498--511
Joanne S. Ercolani On the asymptotic properties of a
feasible estimator of the continuous
time long memory parameter . . . . . . . 512--517
Weiming Li and
Z. D. Bai Analysis of accumulated rounding errors
in autoregressive processes . . . . . . 518--530
Weitian Chen and
Brian D. O. Anderson and
Manfred Deistler and
Alexander Filler Solutions of Yule--Walker equations for
singular AR processes . . . . . . . . . 531--538
Cheng Wang and
Baisuo Jin and
Baiqi Miao On limiting spectral distribution of
large sample covariance matrices by $
{\rm VARMA}(p, q) $ . . . . . . . . . . 539--546
István Berkes and
Lajos Horváth and
Shiqing Ling and
Johannes Schauer Testing for structural change of AR
model to threshold AR model . . . . . . 547--565
Yuzhi Cai Multi-variate time-series simulation . . 566--579
Lukasz Debowski On processes with hyperbolically
decaying autocorrelations . . . . . . . 580--584
Konstantinos Fokianos Modeling Ordered Choices, A Primer . . . 585--585
Q. Shao and
L. J. Yang Autoregressive coefficient estimation in
nonparametric analysis . . . . . . . . . 587--597
Xiaofeng Shao A simple test of changes in mean in the
possible presence of long-range
dependence . . . . . . . . . . . . . . . 598--606
Swarup De and
Álvaro E. Faria Dynamic spatial Bayesian models for
radioactivity deposition . . . . . . . . 607--617
Evangelos E. Ioannidis Akaike's information criterion
correction for the least-squares
autoregressive spectral estimator . . . 618--630
Zhiping Lu and
Dominique Guegan Testing unit roots and long range
dependence of foreign exchange . . . . . 631--638
Chao Wang and
Wai Keung Li On the autopersistence functions and the
autopersistence graphs of binary
autoregressive time series . . . . . . . 639--646
Rehim Kiliç Testing for co-integration and nonlinear
adjustment in a smooth transition error
correction model . . . . . . . . . . . . 647--660
Esther Salazar and
Marco A. R. Ferreira Temporal Aggregation of Lognormal AR
processes . . . . . . . . . . . . . . . 661--671
Takamitsu Kurita Local power of likelihood-based tests
for cointegrating rank: Comparative
analysis of full and partial systems . . 672--679
Francesco Bravo Improved generalized method of moments
estimators for weakly dependent
observations . . . . . . . . . . . . . . 680--698
Christian Francq and
Roch Roy and
Abdessamad Saidi Asymptotic Properties of Weighted Least
Squares Estimation in Weak PARMA Models 699--723
Ba Chu Limit theorems for the discount sums of
moving averages . . . . . . . . . . . . 1--12
Konstantinos Paraschakis and
Rainer Dahlhaus Frequency and phase estimation in time
series with quasi periodic components 13--31
Marta Moreno and
Juan Romo Unit root bootstrap tests under infinite
variance . . . . . . . . . . . . . . . . 32--47
K. Triantafyllopoulos Multi-variate stochastic volatility
modelling using Wishart autoregressive
processes . . . . . . . . . . . . . . . 48--60
Tsuyoshi Kunihama and
Yasuhiro Omori and
Zhengjun Zhang Efficient estimation and particle filter
for max-stable processes . . . . . . . . 61--80
Lingyu Zheng and
William W. S. Wei Weighted scatter estimation method of
the GO-GARCH models . . . . . . . . . . 81--95
Agnieszka Jach and
Tucker McElroy and
Dimitris N. Politis Subsampling inference for the mean of
heavy-tailed long-memory time series . . 96--111
Georgi N. Boshnakov and
Bisher M. Iqelan Maximum entropy models for general lag
patterns . . . . . . . . . . . . . . . . 112--120
Y. Boubacar Ma\"\inassara Selection of weak VARMA models by
modified Akaike's information criteria 121--130
Changryong Baek and
Vladas Pipiras Statistical tests for a single change in
mean against long-range dependence . . . 131--151
Peter J. Brockwell and
Vincenzo Ferrazzano and
Claudia Klüppelberg High-frequency sampling of a
continuous-time ARMA process . . . . . . 152--160
Rong-Mao Zhang and
Zheng-Yan Lin Limit theory for a general class of
GARCH models with just barely infinite
variance . . . . . . . . . . . . . . . . 161--174
Piotr S. Kokoszka Non-Parametric Econometrics . . . . . . 175--175
Tata Subba Rao Statistical methods for trend detection
and analysis in the environmental
sciences . . . . . . . . . . . . . . . . 176--176
Carsten Jentsch A new frequency domain approach of
testing for covariance stationarity and
for periodic stationarity in
multivariate linear processes . . . . . 177--192
Thomas Mazzoni Fast continuous-discrete DAF-filters . . 193--210
Esam Mahdi and
A. Ian McLeod Improved multivariate portmanteau test 211--222
Ke Zhu and
Shiqing Ling Likelihood ratio tests for the
structural change of an $ {\rm AR}(p) $
model to a Threshold $ {\rm AR}(p) $
model . . . . . . . . . . . . . . . . . 223--232
Luca Bagnato and
Antonio Punzo and
Orietta Nicolis The autodependogram: a graphical device
to investigate serial dependences . . . 233--254
Qiuzi H. Wen and
Augustine Wong and
Xiaolan L. Wang Overlapped grouping periodogram test for
detecting multiple hidden periodicities
in mixed spectra . . . . . . . . . . . . 255--268
Chun Yip Yau Empirical likelihood in long-memory time
series models . . . . . . . . . . . . . 269--275
Shu-Hui Yu and
Chien-Chih Lin and
Hung-Wen Cheng A note on mean squared prediction error
under the unit root model with
deterministic trend . . . . . . . . . . 276--286
Masanobu Taniguchi and
Junichi Hirukawa Generalized information criterion . . . 287--297
Ta-Hsin Li On robust spectral analysis by least
absolute deviations . . . . . . . . . . 298--303
Ross S. Bowden and
Brenton R. Clarke A single series representation of
multiple independent ARMA processes . . 304--311
Jaechoul Lee and
Robert Lund A refined efficiency rate for ordinary
least squares and generalized least
squares estimators for a linear trend
with autoregressive errors . . . . . . . 312--324
Willa W. Chen and
Rohit S. Deo The restricted likelihood ratio test for
autoregressive processes . . . . . . . . 325--339
Rebecca J. Sela and
Clifford M. Hurvich The averaged periodogram estimator for a
power law in coherency . . . . . . . . . 340--363
Claudia Kirch and
Joseph Tadjuidje Kamgaing Testing for parameter stability in
nonlinear autoregressive models . . . . 365--385
Efstathios Paparoditis and
Dimitris N. Politis Nonlinear spectral density estimation:
thresholding the correlogram . . . . . . 386--397
Eugen Ursu and
Kamil Feridun Turkman Periodic autoregressive model
identification using genetic algorithms 398--405
Jan Beran and
Bikramjit Das and
Dieter Schell On robust tail index estimation for
linear long-memory processes . . . . . . 406--423
Tomás del Barrio Castro and
Denise R. Osborn Non-parametric testing for seasonally
and periodically integrated processes 424--437
Zhou Zhou Measuring nonlinear dependence in
time-series, a distance correlation
approach . . . . . . . . . . . . . . . . 438--457
J. C. Loredo-Osti and
Brajendra C. Sutradhar Estimation of regression and dynamic
dependence parameters for non-stationary
multinomial time series . . . . . . . . 458--467
Rafa\l Kulik and
Cornelia Wichelhaus Conditional variance estimation in
regression models with long memory . . . 468--483
Offer Lieberman A similarity-based approach to
time-varying coefficient non-stationary
autoregression . . . . . . . . . . . . . 484--502
William Charky Kengne Testing for parameter constancy in
general causal time-series models . . . 503--518
Javier Hualde Weak convergence to a modified
fractional Brownian motion . . . . . . . 519--529
Alastair R. Hall Book Review: \booktitleThe Oxford
Handbook of Economic Forecasts . . . . . 530--531
Ryota Yabe Limiting distribution of the score
statistic under moderate deviation from
a unit root in MA(1) . . . . . . . . . . 533--541
Rong-Mao Zhang and
Ngai Hang Chan Maximum likelihood estimation for nearly
non-stationary stable autoregressive
processes . . . . . . . . . . . . . . . 542--553
Okyoung Na and
Jiyeon Lee and
Sangyeol Lee Change point detection in copula
ARMA--GARCH Models . . . . . . . . . . . 554--569
Bernd Vollenbröker Strictly stationary solutions of ARMA
equations with fractional noise . . . . 570--582
Rodney A. Martin Extreme value analysis of optimal
level-crossing prediction for linear
Gaussian processes . . . . . . . . . . . 583--607
Marcio Valk and
Aluísio Pinheiro Time-series clustering via quasi
$U$-statistics . . . . . . . . . . . . . 608--619
Macro Di Marzio and
Agnese Panzera and
Charles C. Taylor Non-parametric smoothing and prediction
for nonlinear circular time series . . . 620--630
Lajos Horváth and
Marie Husková Change-point detection in panel data . . 631--648
Chun Yip Yau and
Richard A. Davis Likelihood inference for discriminating
between long-memory and change-point
models . . . . . . . . . . . . . . . . . 649--664
Prosper Dovonon and
Alastair R. Hall and
Kalidas Jana Inference about long run canonical
correlations . . . . . . . . . . . . . . 665--683
Yuzhi Cai and
Julian Stander and
Neville Davies A new Bayesian approach to quantile
autoregressive time series model
estimation and forecasting . . . . . . . 684--698
T. Subba Rao Statistics for Spatio-Temporal Data . . 699--700
David S. Stoffer and
Hernando Ombao Editorial: Special issue on time series
analysis in the biological sciences . . 701--703
F. Jay Breidt and
Andreea Erciulescu and
Mark van der Woerd Autocovariance structures for radial
averages in small-angle X-ray scattering
experiments . . . . . . . . . . . . . . 704--717
David R. Brillinger The Nicholson blowfly experiments: some
history and EDA . . . . . . . . . . . . 718--723
Gustavo Didier and
Scott A. McKinley and
David B. Hill and
John Fricks Statistical challenges in microrheology 724--743
Konstantinos Fokianos and
Vasilis J. Promponas Biological applications of time series
frequency domain clustering . . . . . . 744--756
Jürgen Franke and
Claudia Kirch and
Joseph Tadjuidje Kamgaing Changepoints in times series of counts 757--770
Cristina Gorrostieta and
Hernando Ombao and
Raquel Prado and
Shaun Patel and
Emad Eskandar Exploring dependence between brain
signals in a monkey during learning . . 771--778
Daniel M. Keenan and
Xin Wang and
Steven M. Pincus and
Johannes D. Veldhuis Modelling the nonlinear time dynamics of
multidimensional hormonal systems . . . 779--796
Robert T. Krafty and
Shuangyan Xiong and
David S. Stoffer and
Daniel J. Buysse and
Martica Hall Enveloping spectral surfaces: covariate
dependent spectral analysis of
categorical time series . . . . . . . . 797--806
Christopher F. H. Nam and
John A. D. Aston and
Adam M. Johansen Quantifying the uncertainty in change
points . . . . . . . . . . . . . . . . . 807--823
Victor Solo and
Ahmed Pasha A test for independence between a point
process and an analogue signal . . . . . 824--840
Jiabin Wang and
Hua Liang and
Rong Chen A state space model approach for HIV
infection dynamics . . . . . . . . . . . 841--849
Lai Wei and
Peter F. Craigmile and
Wayne M. King Spectral-based non-central F mixed
effect models, with application to
otoacoustic emissions . . . . . . . . . 850--862
Naoya Katayama Chi-squared portmanteau tests for
structural VARMA models with
uncorrelated errors . . . . . . . . . . 863--872
Dong Li A note on moving-average models with
feedback . . . . . . . . . . . . . . . . 873--879
Pascal Bondon and
Natalia Bahamonde Least squares estimation of ARCH models
with missing observations . . . . . . . 880--891
Ji-Chun Liu A Family of Markov-Switching GARCH
Processes . . . . . . . . . . . . . . . 892--902
Miroslav M. Risti\'c and
Aleksandar S. Nasti\'c A mixed $ {\rm INAR}(p) $ model . . . . 903--915
Ngai Hang Chan and
Rongmao Zhang Non-stationary autoregressive processes
with infinite variance . . . . . . . . . 916--934
Tucker McElroy and
Agnieszka Jach Subsampling inference for the
autocovariances and autocorrelations of
long-memory heavy-tailed linear time
series . . . . . . . . . . . . . . . . . 935--953
Mansour Aghababaei Jazi and
Geoff Jones and
Chin-Diew Lai First-order integer valued AR processes
with zero inflated Poisson innovations 954--963
K. F. Turkman Book Review . . . . . . . . . . . . . . 964--964
Alexander Aue and
Lajos Horváth Structural breaks in time series . . . . 1--16
Lu Han and
Brendan McCabe Testing for parameter constancy in
non-Gaussian time series . . . . . . . . 17--29
Yuanhua Feng and
Jan Beran Optimal convergence rates in
non-parametric regression with
fractional time series errors . . . . . 30--39
Matei Demetrescu and
Robinson Kruse The power of unit root tests against
nonlinear local alternatives . . . . . . 40--61
Paulo M. M. Rodrigues Recursive adjustment, unit root tests
and structural breaks . . . . . . . . . 62--82
Christian Bayer and
Christoph Hanck Combining non-cointegration tests . . . 83--95
A. Bartlett and
W. P. McCormick Estimation for non-negative time series
with heavy-tail innovations . . . . . . 96--115
Piotr Kokoszka and
Matthew Reimherr Determining the order of the functional
autoregressive model . . . . . . . . . . 116--129
Sugata Sen Roy and
Sankha Bhattacharya Rate of convergence in the central limit
theorem for parameter estimation in a
causal, invertible $ {\rm ARMA}(p, q) $
model . . . . . . . . . . . . . . . . . 130--137
Plotr S. Kokoszka Book Review . . . . . . . . . . . . . . 138--138
Robert Taylor Editorial . . . . . . . . . . . . . . . 139--140
Md Atikur Rahman Khan and
D. S. Poskitt Moment tests for window length selection
in singular spectrum analysis of short-
and long-memory processes . . . . . . . 141--155
Peter Brockwell and
Alexander Lindner Integration of CARMA processes and spot
volatility modelling . . . . . . . . . . 156--167
Jonathan B. Hill Least tail-trimmed squares for infinite
variance autoregressions . . . . . . . . 168--186
Paul L. Anderson and
Mark M. Meerschaert and
Kai Zhang Forecasting with prediction intervals
for periodic autoregressive moving
average models . . . . . . . . . . . . . 187--193
Byeongchan Seong and
Sung K. Ahn and
Peter A. Zadrozny Estimation of vector error correction
models with mixed-frequency data . . . . 194--205
Xanthi Pedeli and
Dimitris Karlis On composite likelihood estimation of a
multivariate $ {\rm INAR}(1) $ model . . 206--220
Dominik Wied CUSUM-type testing for changing
parameters in a spatial autoregressive
model for stock returns . . . . . . . . 221--229
Ke. Zhu A mixed portmanteau test for ARMA-GARCH
models by the quasi-maximum exponential
likelihood estimation approach . . . . . 230--237
Florian Heinen and
Stefanie Michael and
Philipp Sibbertsen Weak identification in the ESTAR model
and a new model . . . . . . . . . . . . 238--261
D. Dehay and
H. L. Hurd Empirical determination of the
frequencies of an almost periodic time
series . . . . . . . . . . . . . . . . . 262--279
T Subba Rao Spatial statistics and spatio-temporal
data . . . . . . . . . . . . . . . . . . 280--280
Andrew C. Parnell Climate time series analysis: classical
statistical and bootstrap methods . . . 281--281
Alastair R. Hall Economic time series: modeling and
seasonality . . . . . . . . . . . . . . 282--283
Adam McCloskey Estimation of the long-memory stochastic
volatility model parameters that is
robust to level shifts and deterministic
trends . . . . . . . . . . . . . . . . . 285--301
Byungsoo Kim and
Sangyeol Lee Robust estimation for copula parameter
in SCOMDY models . . . . . . . . . . . . 302--314
Jiajing Sun and
Brendan P. McCabe Score statistics for testing serial
dependence in count data . . . . . . . . 315--329
Maria Caterina Bramati A class of optimal tests for
contemporaneous non-causality in VAR
models . . . . . . . . . . . . . . . . . 330--344
José E. Figueroa-López and
Michael Levine Nonparametric regression with rescaled
time series errors . . . . . . . . . . . 345--361
Natalie Neumeyer and
Leonie Selk A note on non-parametric testing for
Gaussian innovations in AR--ARCH models 362--367
Sebastian Fossati Unit root testing with stationary
covariates and a structural break in the
trend function . . . . . . . . . . . . . 368--384
Peter J. Brockwell and
Vincenzo Ferrazzano and
Claudia Klüppelberg High-frequency sampling and kernel
estimation for continuous-time moving
average processes . . . . . . . . . . . 385--404
Guglielmo Maria Caporale and
Juncal Cuñado and
Luis A. Gil-Alana Modelling long-run trends and cycles in
financial time series data . . . . . . . 405--421
Tusheng Zhang Book Review: \booktitleStatistical
Methods for Stochastic Differential
Equations. Edited By, Mathieu Kessler,
Alexander Lindner and Michael Sòrensen.
Publishers CRC Press, Taylor and Francis
Group. London, ISBN 978-1-4398-4940-8.
483 Pages . . . . . . . . . . . . . . . 422--422
Venkata Jandhyala and
Stergios Fotopoulos and
Ian MacNeill and
Pengyu Liu Inference for single and multiple
change-points in time series . . . . . . 423--446
Jhih-Gang Chen and
Biing-Shen Kuo Gaussian inference in general AR(1)
models based on difference . . . . . . . 447--453
Sam Astill and
David I. Harvey and
A. M. Robert Taylor A bootstrap test for additive outliers
in non-stationary time series . . . . . 454--465
Miroslav M. Risti\'c and
Aleksandar S. Nasti\'c and
Ana V. Mileti\'c Ili\'c A geometric time series model with
dependent Bernoulli counting series . . 466--476
Joakim Westerlund A computationally convenient unit root
test with covariates, conditional
heteroskedasticity and efficient
detrending . . . . . . . . . . . . . . . 477--495
Pierre Duchesne and
Pierre Lafaye de Micheaux Distributions for residual
autocovariances in parsimonious periodic
vector autoregressive models with
applications . . . . . . . . . . . . . . 496--507
Zhou Zhou Inference for non-stationary time-series
autoregression . . . . . . . . . . . . . 508--516
Daniel F. Schmidt and
Enes Makalic Estimation of stationary autoregressive
models with the Bayesian LASSO . . . . . 517--531
Vicky Fasen and
Florian Fuchs Spectral estimates for high-frequency
sampled continuous-time autoregressive
moving average processes . . . . . . . . 532--551
Michael A. Thornton and
Marcus J. Chambers Continuous-time autoregressive moving
average processes in discrete time:
representation and embeddability . . . . 552--561
Uwe Hassler Effect of temporal aggregation on
multiple time series in the frequency
domain . . . . . . . . . . . . . . . . . 562--573
Joseph Guinness and
Michael L. Stein Transformation to approximate
independence for locally stationary
Gaussian processes . . . . . . . . . . . 574--590
Mirza Troki\'c Regulated fractionally integrated
processes . . . . . . . . . . . . . . . 591--601
Nikolai Leonenko Book Review: Domenico Marinucci and
Giovanni Peccati, \booktitleRandom
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 \pounds 40.00, ISBN
978-0-521-17561-6 . . . . . . . . . . . 602--603
Robert Taylor Editorial Announcement . . . . . . . . . 605--605
Muyi Li and
Wai Keung Li and
Guodong Li On mixture memory GARCH models . . . . . 606--624
Dani Gamerman and
Thiago Rezende dos Santos and
Glaura C. Franco A non-Gaussian family of state-space
models with exact marginal likelihood 625--645
Thorsten Fink and
Jens-Peter Kreiss Bootstrap for random coefficient
autoregressive models . . . . . . . . . 646--667
Habib Esmaeili and
Claudia Klüppelberg Two-step estimation of a multi-variate
Lévy process . . . . . . . . . . . . . . 668--690
Yoshihide Kakizawa Frequency domain generalized empirical
likelihood method . . . . . . . . . . . 691--716
Shuyang Bai and
Murad S. Taqqu Multivariate limit theorems in the
context of long-range dependence . . . . 717--743
Peter Neal Book Review: \booktitleBayesian 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
978-0-19-969560-7 . . . . . . . . . . . 744--744
Hernando Ombao Book Review: \booktitleTime 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} . . . . 745--746
T. Subba Rao and
Granville Tunnicliffe-Wilson Obituary: Maurice Bertram Priestley, MA,
PhD, 1933--2013 . . . . . . . . . . . . 1--3
Zhibiao Zhao and
Yiyun Zhang and
Runze Li Non-parametric estimation under strong
dependence . . . . . . . . . . . . . . . 4--15
Anne Philippe and
Donata Puplinskaite and
Donatas Surgailis Contemporaneous aggregation of
triangular array of random-coefficient $
{\rm AR}(1) $ processes . . . . . . . . 16--39
Fabrizio Iacone and
Stephen J. Leybourne and
A. M. Robert Taylor A fixed-$b$ test for a break in level at
an unknown time under fractional
integration . . . . . . . . . . . . . . 40--54
Vasiliki Christou and
Konstantinos Fokianos Quasi-likelihood inference for negative
binomial time series models . . . . . . 55--78
Hang Qian A flexible state space model and its
applications . . . . . . . . . . . . . . 79--88
Anna E. Dudek and
Jacek Le\'skow and
Efstathios Paparoditis and
Dimitris N. Politis A generalized block bootstrap for
seasonal time series . . . . . . . . . . 89--114
Christian H. Weiß and
Philip K. Pollett Binomial autoregressive processes with
density-dependent thinning . . . . . . . 115--132
Tianxiao Pang and
Danna Zhang and
Terence Tai-Leung Chong asymptotic inferences for an $ {\rm
AR}(1) $ model with a change point:
stationary and nearly non-stationary
cases . . . . . . . . . . . . . . . . . 133--150
Violetta Dalla and
Liudas Giraitis and
Hira L. Koul Studentizing weighted sums of linear
processes . . . . . . . . . . . . . . . 151--172
Maddalena Cavicchioli Determining the number of regimes in
Markov switching VAR and VMA models . . 173--186
Alastair R. Hall Book Review: \booktitleDynamic 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} 187--188
Min Chen and
Dong Li and
Shiqing Ling Non-stationarity and quasi-maximum
likelihood estimation on a double
autoregressive model . . . . . . . . . . 189--202
David Harris and
Hsein Kew Portmanteau autocorrelation tests under
$q$-dependence and heteroskedasticity 203--217
Francisco Blasques Transformed polynomials for nonlinear
autoregressive models of the conditional
mean . . . . . . . . . . . . . . . . . . 218--238
Christopher Dienes and
Alexander Aue On-line monitoring of pollution
concentrations with autoregressive
moving average time series . . . . . . . 239--261
Monika Bhattacharjee and
Arup Bose Estimation of autocovariance matrices
for infinite dimensional vector linear
process . . . . . . . . . . . . . . . . 262--281
Jonathan Hill and
Liang Peng Unified interval estimation for random
coefficient autoregressive models . . . 282--297
Guodong Li and
Chenlei Leng and
Chih-Ling Tsai A hybrid bootstrap approach to unit root
tests . . . . . . . . . . . . . . . . . 299--321
Ta-Hsin Li Quantile periodogram and time-dependent
variance . . . . . . . . . . . . . . . . 322--340
Kei Nanamiya Modelling for the wavelet coefficients
of ARFIMA processes . . . . . . . . . . 341--356
Tata Subba Rao and
Sourav Das and
Georgi N. Boshnakov A frequency domain approach for the
estimation of parameters of
spatio-temporal stationary random
processes . . . . . . . . . . . . . . . 357--377
L. Tang and
Q. Shao Efficient estimation for periodic
autoregressive coefficients via
residuals . . . . . . . . . . . . . . . 378--389
Gy Terdik Book Review: \booktitleLong-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) . . . . . . . 390--392
Matei Demetrescu and
Christoph Hanck and
Adina I. Tarcolea IV-based cointegration testing in
dependent panels with time-varying
variance . . . . . . . . . . . . . . . . 393--406
Sam Efromovich Efficient non-parametric estimation of
the spectral density in the presence of
missing observations . . . . . . . . . . 407--427
Andreas Noack Jensen and
Morten Òrregaard Nielsen A fast fractional difference algorithm 428--436
Yiguo Sun Semi-parametric estimation of linear
cointegrating models with nonlinear
contemporaneous endogeneity . . . . . . 437--461
Rongning Wu and
Yunwei Cui A parameter-driven logit regression
model for binary time series . . . . . . 462--477
Degao Li and
Guodong Li and
Jinhong You Significant variable selection and
autoregressive order determination for
time-series partially linear models . . 478--490
Vance L. Martin and
Andrew R. Tremayne and
Robert C. Jung Efficient method of moments estimators
for integer time series models . . . . . 491--516
Hanan Elsaied and
Roland Fried Robust fitting of INARCH models . . . . 517--535
Stelios Arvanitis A simple example of an indirect
estimator with discontinuous limit
theory in the MA(1) model . . . . . . . 536--557
Michele Caivano and
Andrew Harvey Time-series models with an EGB2
conditional distribution . . . . . . . . 558--571
Chao Yu and
Yue Fang and
Zeng Li and
Bo Zhang and
Xujie Zhao Non-parametric estimation of
high-frequency spot volatility for
Brownian semimartingale with jumps . . . 572--591
Offer Lieberman and
Peter C. B. Phillips Norming rates and limit theory for some
time-varying coefficient autoregressions 592--623
Maddalena Cavicchioli Analysis of the likelihood function for
Markov-switching VAR(CH) models . . . . 624--639
T Subba Rao Book Review: Randall Douc, Eric Moulines
and David S. Stoffer (2014)
\booktitleNonlinear Time Series-Theory,
Methods and Applications with R
Examples. CRC Press, UK (A Chapman and
Hall Book). Texts in Statistical
Science. ISBN: 978-1-4665-0225-3 pages
531 . . . . . . . . . . . . . . . . . . 640--641
Stefanos Kechagias and
Vladas Pipiras Definitions and representations of
multivariate long-range dependent time
series . . . . . . . . . . . . . . . . . 1--25
Seonjin Kim Hypothesis testing for ARCH models: a
multiple quantile regressions approach 26--38
Carlos Velasco and
Xuexin Wang A joint portmanteau test for conditional
mean and variance time-series models . . 39--60
Shiqing Ling and
Liang Peng and
Fukang Zhu Inference for a special bilinear
time-series model . . . . . . . . . . . 61--66
Colin M. Gallagher and
Thomas J. Fisher On weighted portmanteau tests for
time-series goodness-of-fit . . . . . . 67--83
Lajos Horváth and
Gregory Rice Testing equality of means when the
observations are from functional time
series . . . . . . . . . . . . . . . . . 84--108
Yinxiao Huang and
Stanislav Volgushev and
Xiaofeng Shao On self-normalization for censored
dependent data . . . . . . . . . . . . . 109--124
Brendan McCabe Book Review: \booktitleDiscrete Time
Series, Processes, and Applications in
Finance, by Gilles Zumbach. Springer
Finance Series. Published by Springer,
Heidelberg, Berlin, 2013. Total Number
of Pages: 315. ISBN: 978-3-642-31741-5 125--125
Taewook Lee and
Moosup Kim and
Changryong Baek Tests for Volatility Shifts in GARCH
Against Long-Range Dependence . . . . . 127--153
Morten Òrregaard Nielsen Asymptotics for the
Conditional-Sum-of-Squares Estimator in
Multivariate Fractional Time-Series
Models . . . . . . . . . . . . . . . . . 154--188
Jonathan Decowski and
Linyuan Li Wavelet-Based tests for comparing two
time series with unequal lengths . . . . 189--208
Tucker McElroy and
Thomas Trimbur Signal extraction for non-stationary
multivariate time series with
illustrations for trend inflation . . . 209--227
Brendan K. Beare and
Juwon Seo Vine copula specifications for
stationary multivariate Markov chains 228--246
Leena Kalliovirta and
Mika Meitz and
Pentti Saikkonen A Gaussian Mixture Autoregressive Model
for Univariate Time Series . . . . . . . 247--266
Barry G. Quinn Book Review: \booktitleTime Series with
Mixed Spectra, by Ta-Hsin Li. Published
by CRC Press, 2014. Total number of
pages: 680. ISBN: 978-1-58488-176-6
(hard cover), 978-1-42001-006-0 (e-book) 267--268
Giuseppe Cavaliere and
Dimitris N. Politis and
Anders Rahbek Recent developments in bootstrap methods
for dependent data . . . . . . . . . . . 269--271
Giuseppe Cavaliere and
Anders Rahbek and
A. M. Robert Taylor Bootstrap Determination of the
Co-Integration Rank in VAR Models with
Unrestricted Deterministic Components 272--289
Paul Doukhan and
Gabriel Lang and
Anne Leucht and
Michael H. Neumann Dependent Wild Bootstrap for the
Empirical Process . . . . . . . . . . . 290--314
Srijan Sengupta and
Xiaofeng Shao and
Yingchuan Wang The Dependent Random Weighting . . . . . 315--326
Dominique Dehay and
Anna E. Dudek Block Bootstrap for Poisson-Sampled
Almost Periodic Processes . . . . . . . 327--351
Michael Wolf and
Dan Wunderli Bootstrap Joint Prediction Regions . . . 352--376
Marco Meyer and
Jens-Peter Kreiss On the Vector Autoregressive Sieve
Bootstrap . . . . . . . . . . . . . . . 377--397
Stephan Smeekes Bootstrap sequential tests to determine
the order of integration of individual
units in a time series panel . . . . . . 398--415
Carsten Jentsch and
Dimitris N. Politis and
Efstathios Paparoditis Block bootstrap theory for multivariate
integrated and cointegrated processes 416--441
Karl B. Gregory and
Soumendra N. Lahiri and
Daniel J. Nordman A smooth block bootstrap for statistical
functionals and time series . . . . . . 442--461
Patrice Bertail and
Stéphan Clémençon and
Jessica Tressou Bootstrapping Robust Statistics for
Markovian Data Applications to
Regenerative $R$-Statistics and
$L$-Statistics . . . . . . . . . . . . . 462--480
Antoine Djogbenou and
Sílvia Gonçalves and
Benoit Perron Bootstrap inference in regressions with
estimated factors and serial correlation 481--502
E. Gonçalves and
N. Mendes-Lopes and
F. Silva Infinitely Divisible Distributions in
Integer-Valued GARCH Models . . . . . . 503--527
Javier Hualde and
Fabrizio Iacone Small-$b$ and fixed-$b$ asymptotics for
weighted covariance estimation in
fractional cointegration . . . . . . . . 528--540
Siegfried Hörmann and
Lukasz Kidzi\'nski and
Piotr Kokoszka Estimation in Functional Lagged
Regression . . . . . . . . . . . . . . . 541--561
Marcus J. Chambers The Calculation of Some Limiting
Distributions Arising in Near-Integrated
Models with GLS Detrending . . . . . . . 562--586
Zacharias Psaradakis and
Marián Vávra A quantile-based test for symmetry of
weakly dependent processes . . . . . . . 587--598
Alexander J. Mcneil Book Review: \booktitleDependence
Modeling with Copulas, by Harry Joe.
Monographs on Statistics and Applied
probability 134, Published by CRC Press,
2015. Total number of pages: 18 + 462.
ISBN: 978-1-4665-8322-1 (Hardback) . . . 599--600
Neil Kellard and
Denise Osborn and
Jerry Coakley Introduction to the JTSA John Nankervis
Memorial Issue . . . . . . . . . . . . . 601--602
Giuseppe Cavaliere and
David I. Harvey and
Stephen J. Leybourne and
A. M. Robert Taylor Testing for unit roots under multiple
possible trend breaks and non-stationary
volatility using bootstrap minimum
Dickey--Fuller statistics . . . . . . . 603--629
Marcus J. Chambers Testing for a unit root in a
near-integrated model with skip-sampled
data . . . . . . . . . . . . . . . . . . 630--649
Frank Rodriguez and
Soterios Soteri and
Leticia Veruete-McKay Papers with John on the demand for mail 650--652
Dimitris K. Chronopoulos and
Claudia Girardone and
John C. Nankervis Double Bootstrap Confidence Intervals in
the Two-Stage DEA Approach . . . . . . . 653--662
Nathan E. (Gene) Savin Papers with John . . . . . . . . . . . . 663--671
Imanol Arrieta-ibarra and
Ignacio N. Lobato Testing for Predictability in Financial
Returns Using Statistical Learning
Procedures . . . . . . . . . . . . . . . 672--686
John C. Nankervis and
Periklis Kougoulis and
Jerry Coakley Generalized variance-ratio tests in the
presence of statistical dependence . . . 687--705
Christian Conrad and
Menelaos Karanasos On the Transmission of Memory in
GARCH-in-Mean Models . . . . . . . . . . 706--720
Simone D. Grose and
Gael M. Martin and
Donald S. Poskitt Bias correction of persistence measures
in fractionally integrated models . . . 721--740
Alastair R. Hall and
Denise R. Osborn and
Nikolaos Sakkas Structural break inference using
information criteria in models estimated
by two-stage least squares . . . . . . . 741--762
Isabel Figuerola-Ferretti and
Christopher L. Gilbert and
J. Roderick McCrorie Testing for Mild Explosivity and Bubbles
in LME Non-Ferrous Metals Prices . . . . 763--782
M. Azimmohseni and
A. R. Soltani and
M. Khalafi Simulation of real discrete time
Gaussian multivariate stationary
processes with given spectral densities 783--796
Eric Ghysels and
J. Isaac Miller Testing for cointegration with
temporally aggregated and
mixed-frequency time series . . . . . . 797--816
Marcel Carcea and
Robert Serfling A Gini Autocovariance Function for Time
Series Modelling . . . . . . . . . . . . 817--838
Wagner Barreto-Souza Zero-Modified Geometric $ {\rm INAR}(1)
$ Process for Modelling Count Time
Series with Deflation or Inflation of
Zeros . . . . . . . . . . . . . . . . . 839--852
Raymond Cheng and
Charles B. Harris Mixed-Norm Spaces and Prediction of $ S
\alpha S $ Moving Averages . . . . . . . 853--875
Christian Gouriéroux and
Jean-Michel Zako\"\ian On Uniqueness of Moving Average
Representations of Heavy-tailed
Stationary Processes . . . . . . . . . . 876--887
Anonymous Issue information --- TOC . . . . . . . 1--1
Anonymous Issue information --- Info Page . . . . 2--2
Ruprecht Puchstein and
Philip Preuß Testing for Stationarity in Multivariate
Locally Stationary Processes . . . . . . 3--29
Holger Fink Conditional Distributions of
Mandelbrot--van Ness Fractional Lévy
Processes and Continuous-Time
ARMA--GARCH-Type Models with Long Memory 30--45
Mohamed El Ghourabi and
Christian Francq and
Fedya Telmoudi Consistent estimation of the value at
risk when the error distribution of the
volatility model is misspecified . . . . 46--76
Sebastian Schweer A Goodness-of-Fit Test for
Integer-Valued Autoregressive Processes 77--98
Pentti Saikkonen and
Rickard Sandberg Testing for a Unit Root in Noncausal
Autoregressive Models . . . . . . . . . 99--125
Isadora Antoniano-Villalobos and
Stephen G. Walker A Nonparametric Model for Stationary
Time Series . . . . . . . . . . . . . . 126--142
Y. Karavias Book Review: \booktitleAlmost All About
Unit Roots: Foundations, Developments,
and Applications, by In Choi. Published
by Cambridge University Press,
Cambridge, 2015. Total number of pages:
295. ISBN: 978-1-107-48250-0
(paperback), price: 24.99\pounds;
(US\$39.99) ISBN: 978-1-107-09733-9
(hardback), price: 60.00\pounds
(US\$95.00) . . . . . . . . . . . . . . 143--144
Anonymous Issue information --- TOC . . . . . . . 145--145
Anonymous Issue information --- Info Page . . . . 146--146
Fangfang Wang An unbiased measure of integrated
volatility in the frequency domain . . . 147--164
Josep Lluís Carrion-I-Silvestre and
María Dolores Gadea Bounds, Breaks and Unit Root Tests . . . 165--181
Efstathios Paparoditis and
Dimitris N. Politis A note on the behaviour of nonparametric
density and spectral density estimators
at zero points of their support . . . . 182--194
Yaeji Lim and
Hee-Seok Oh Composite Quantile Periodogram for
Spectral Analysis . . . . . . . . . . . 195--221
Yiannis Karavias and
Elias Tzavalis Local power of fixed-$t$ panel unit root
tests with serially correlated errors
and incidental trends . . . . . . . . . 222--239
Maria Fragkeskou and
Efstathios Paparoditis Inference for the Fourth-Order
Innovation Cumulant in Linear Time
Series . . . . . . . . . . . . . . . . . 240--266
Aleksandar S. Nasti\'c and
Petra N. Laketa and
Miroslav M. Risti\'c Random environment integer-valued
autoregressive process . . . . . . . . . 267--287
T. Subba Rao Book Review: \booktitleStatistics for
Spatial Data, Revised Edition, by Noel
Cressie. Published by Wiley Classics
Library, John Wiley, 2015. Total number
of pages: 928. ISBN: 978-1-119-11518-2 288--288
Anonymous Issue information --- Info Page . . . . 289--290
Ali Ahmad and
Christian Francq Poisson QMLE of Count Time Series Models 291--314
Roberto Baragona and
Francesco Battaglia and
Domenico Cucina Empirical likelihood for outlier
detection and estimation in
autoregressive time series . . . . . . . 315--336
Jari Miettinen and
Katrin Illner and
Klaus Nordhausen and
Hannu Oja and
Sara Taskinen and
Fabian J. Theis Separation of Uncorrelated Stationary
time series using Autocovariance
Matrices . . . . . . . . . . . . . . . . 337--354
Lei Jin and
Suojin Wang A new test for checking the equality of
the correlation structures of two time
series . . . . . . . . . . . . . . . . . 355--368
Lukasz Lenart Generalized resampling scheme with
application to spectral density matrix
in almost periodically correlated class
of time series . . . . . . . . . . . . . 369--404
Christian Gourieroux and
Joann Jasiak Filtering, prediction and simulation
methods for noncausal processes . . . . 405--430
Johanna G. Ne\vsLehová Book Review: \booktitleQuantitative Risk
Management: Concepts, Techniques and
Tools, by Alexander J. McNeil, Rüdiger
Frey and Paul Embrechts. Revised
edition. Published by Princeton
University Press, 2015. Total number of
pages: 720. ISBN: 978-0-691-16627-8
(Hardback) . . . . . . . . . . . . . . . 431--432
Anonymous Issue information --- Info Page . . . . 433--434
Robert T. Krafty Discriminant Analysis of Time Series in
the Presence of Within-Group Spectral
Variability . . . . . . . . . . . . . . 435--450
Dong Jin Lee Parametric and Semi-Parametric Efficient
Tests for Parameter Instability . . . . 451--475
Sophie Achard and
Ir\`ene Gannaz Multivariate wavelet Whittle estimation
in long-range dependence . . . . . . . . 476--512
Donggyu Kim Statistical Inference for Unified
GARCH--Itô Models with High-Frequency
Financial Data . . . . . . . . . . . . . 513--532
Mehdi Hosseinkouchack and
Uwe Hassler Powerful Unit Root Tests Free of
Nuisance Parameters . . . . . . . . . . 533--554
Seong Yeon Chang and
Pierre Perron Inference on a structural break in trend
with fractionally integrated errors . . 555--574
Mohsen Pourahmadi Book Review: \booktitleTime Series
Modelling with Unobserved Components, by
Matteo M. Pelagatti. Published by CRC
Press, 2015, pages: 257. ISBN-13:
978-1-4822-2500-6 . . . . . . . . . . . 575--576
Anonymous Issue information --- Info Page . . . . 577--578
Esmeralda Gonçalves and
Joana Leite and
NazarÉ Mendes-Lopes On the Distribution Estimation of Power
Threshold GARCH Processes . . . . . . . 579--602
Seokwoo Jake Choi and
Stephen Portnoy Quantile Autoregression for Censored
Data . . . . . . . . . . . . . . . . . . 603--623
Kun Chen and
Ngai Hang Chan and
Chun Yip Yau Bartlett correction of empirical
likelihood for non-Gaussian short-memory
time series . . . . . . . . . . . . . . 624--649
Luis Filipe Martins and
Pierre Perron Improved tests for forecast comparisons
in the presence of instabilities . . . . 650--659
Rehim Kiliç Tests for Linearity in Star Models:
Supwald and LM-Type Tests . . . . . . . 660--674
Luis E. Nieto-Barajas and
Fernando A. Quintana A Bayesian Non-Parametric Dynamic AR
Model for Multiple Time Series Analysis 675--689
Francesco Bravo Local Information Theoretic Methods for
smooth Coefficients Dynamic Panel Data
Models . . . . . . . . . . . . . . . . . 690--708
Granville Tunnicliffe Wilson Book Review: \booktitleTime Series
Analysis: Forecasting and Control, 5th
Edition, by George E. P. Box, Gwilym M.
Jenkins, Gregory C. Reinsel and Greta M.
Ljung, 2015. Published by John Wiley and
Sons Inc., Hoboken, New Jersey, pp. 712.
ISBN: 978-1-118-67502-1 . . . . . . . . 709--711
B. L. S. Prakasa Rao Book Review: \booktitleAn Introduction
to Stochastic Orders, by Félix Belzunce,
Carolina Martínez and Julio Mulero.
Academic Press, Elsevier Ltd. 2016.
Total number of pages: 157. ISBN:
978-0-12-803768-3 (Paperback) . . . . . 712--712
Agnieszka Jach and
Tucker S. McElroy and
Dimitris N. Politis Corrigendum to `Subsampling Inference
for the Mean of Heavy-Tailed Long-Memory
Time Series' by A. Jach, T. S. McElroy
and D. N. Politis . . . . . . . . . . . 713--720
Anonymous Issue information --- Info Page . . . . 721--722
Timothy J. Vogelsang and
Jingjing Yang Exactly\slash nearly unbiased estimation
of autocovariances of a univariate time
series with unknown mean . . . . . . . . 723--740
Mitra Ghanbarzadeh and
Mina Aminghafari A wavelet characterization of
continuous-time periodically correlated
processes with application to simulation 741--762
Christoph P. Kustosz and
Anne Leucht and
Christine H. Müller Tests Based on Simplicial Depth for $
{\rm AR}(1) $ Models With Explosion . . 763--784
Annika Betken Testing for change-points in long-range
dependent time series by means of a
self-normalized Wilcoxon test . . . . . 785--809
J. Isaac Miller and
Xi Wang Implementing Residual-Based KPSS Tests
for Cointegration with Data Subject to
Temporal Aggregation and Mixed Sampling
Frequencies . . . . . . . . . . . . . . 810--824
Moritz Jirak Optimal rate of convergence for
empirical quantiles and distribution
functions for time series . . . . . . . 825--836
Ming Lin and
Eric A. Suess and
Robert H. Shumway and
Rong Chen Bayesian deconvolution of signals
observed on arrays . . . . . . . . . . . 837--850
Gordon Chavez Conditional and marginal mutual
information in Gaussian and hyperbolic
decay time series . . . . . . . . . . . 851--861
Marcus J. Chambers Book Review: \booktitleUnobserved
Components and Time Series Econometrics,
edited by Siem Jan Koopman and Neil
Shephard. Published by Oxford University
Press, Oxford, 2015. Total number of
pages: 400. ISBN: 978-0-19-968366-6 . . 862--863
Georgi N. Boshnakov Book Review: \booktitleIntroduction to
Time Series Analysis and Forecasting,
2nd Edition, Wiley Series in Probability
and Statistics, by Douglas C.
Montgomery, Cheryl L. Jennings and Murat
Kulahci (eds). Published by John Wiley
and Sons, Hoboken, NJ, USA, 2015. Total
number of pages: 672 Hardcover: ISBN:
978-1-118-74511-3, e-book: ISBN:
978-1-118-74515-1, etext: ISBN:
978-1-118-74495-6 . . . . . . . . . . . 864--864
Anonymous Issue Information . . . . . . . . . . . 1--2
Alexander Aue and
Lajos Horváth and
Daniel F. Pellatt Functional Generalized Autoregressive
Conditional Heteroskedasticity . . . . . 3--21
Xingwu Zhou and
Martin Solberger A Lagrange multiplier-type test for
idiosyncratic unit roots in the exact
factor model . . . . . . . . . . . . . . 22--50
Virginia Lacal and
Dag TjÒstheim Local Gaussian autocorrelation and tests
for serial independence . . . . . . . . 51--71
Gabe Chandler and
Wolfgang Polonik Residual empirical processes and
weighted sums for time-varying processes
with applications to testing for
homoscedasticity . . . . . . . . . . . . 72--98
Chung-Ming Kuan and
Christos Michalopoulos and
Zhijie Xiao Quantile regression on quantile ranges
--- a threshold approach . . . . . . . . 99--119
William Dunsmuir and
Jieyi He Marginal Estimation of Parameter Driven
Binomial Time Series Models . . . . . . 120--144
T. Subba Rao Book Review: \booktitleSpatial 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 978-1-118-32655-8 145--146
Anonymous Issue Information . . . . . . . . . . . 147--148
Tata Subba Rao and
Granville Tunnicliffe Wilson Editorial: Special Issue to Honor the
Memory of Maurice B. Priestley,
1933--2013 . . . . . . . . . . . . . . . 149--150
Alessandro Cardinali and
Guy P. Nason Locally Stationary Wavelet Packet
Processes: Basis Selection and Model
Fitting . . . . . . . . . . . . . . . . 151--174
Andrew Harvey and
Rutger-Jan Lange Volatility modeling with a generalized t
distribution . . . . . . . . . . . . . . 175--190
P. M. Robinson and
L. Taylor Adaptive Estimation in Multiple Time
Series With Independent Component Errors 191--203
Joao Jesus and
Richard E. Chandler Inference with the Whittle Likelihood: A
Tractable Approach Using Estimating
Functions . . . . . . . . . . . . . . . 204--224
Michael Eichler and
Rainer Dahlhaus and
Johannes Dueck Graphical modeling for multivariate
Hawkes processes with nonparametric link
functions . . . . . . . . . . . . . . . 225--242
Shiu Fung Wong and
Howell Tong and
Tak Kuen Siu and
Zudi Lu A New Multivariate Nonlinear Time Series
Model for Portfolio Risk Measurement:
The Threshold Copula-Based TAR Approach 243--265
Wei Gao and
Wicher Bergsma and
Qiwei Yao Estimation for dynamic and static panel
probit models with large individual
effects . . . . . . . . . . . . . . . . 266--284
Ngai Hang Chan and
Ye Lu and
Chun Yip Yau Factor modelling for high-dimensional
time series: inference and model
selection . . . . . . . . . . . . . . . 285--307
Tata Subba Rao and
Gyorgy Terdik On the frequency variogram and on
frequency domain methods for the
analysis of spatio-temporal data . . . . 308--325
Soutir Bandyopadhyay and
Carsten Jentsch and
Suhasini Subba Rao A spectral domain test for stationarity
of spatio-temporal data . . . . . . . . 326--351
Geir Drage Berentsen and
Ricardo Cao and
Mario Francisco-Fernández and
Dag TjÒstheim Some properties of local Gaussian
correlation and other nonlinear
dependence measures . . . . . . . . . . 352--380
Granville Tunnicliffe Wilson Spectral Estimation of the Multivariate
Impulse Response . . . . . . . . . . . . 381--391
Anonymous Issue Information . . . . . . . . . . . 393--394
Gustavo Didier and
Kui Zhang The asymptotic distribution of the
pathwise mean squared displacement in
single particle tracking experiments . . 395--416
Abdelhamid Ouakasse and
Guy Mélard A New Recursive Estimation Method for
Single Input Single Output Models . . . 417--457
Marco Bazzi and
Francisco Blasques and
Siem Jan Koopman and
Andre Lucas Time-Varying Transition Probabilities
for Markov Regime Switching Models . . . 458--478
Mihai C. Giurcanu Oracle $M$-Estimation for Time Series
Models . . . . . . . . . . . . . . . . . 479--504
A. I. McLeod Book Review: \booktitleModels 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 . . . . . . . . . . . 505--507
Alain Latour Book Review: \booktitleHandbook 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: 978-1-4665-7773-2 508--509
Anonymous Issue Information . . . . . . . . . . . 511--512
Giuseppe Cavaliere and
Heino Bohn Nielsen and
Anders Rahbek On the consistency of bootstrap testing
for a parameter on the boundary of the
parameter space . . . . . . . . . . . . 513--534
Ieva Grublyte and
Donatas Surgailis and
Andrius Skarnulis QMLE for Quadratic ARCH Model with Long
Memory . . . . . . . . . . . . . . . . . 535--551
Lajos Horváth and
William Pouliot and
Shixuan Wang Detecting at-most-m changes in linear
regression models . . . . . . . . . . . 552--590
Gregory Rice and
Han Lin Shang A plug-in bandwidth selection procedure
for long-run covariance estimation with
stationary functional time series . . . 591--609
Anindya Banerjee and
Josep Lluís Carrion-i-Silvestre Testing for Panel Cointegration Using
Common Correlated Effects Estimators . . 610--636
Anonymous Issue Information . . . . . . . . . . . 637--638
Pierre Perron and
Eduardo Zorita Time Series Methods Applied to Climate
Change . . . . . . . . . . . . . . . . . 639--639
Timothy J. Vogelsang and
Nasreen Nawaz Estimation and inference of linear trend
slope ratios with an application to
global temperature data . . . . . . . . 640--667
Arthur P. Guillaumin and
Adam M. Sykulski and
Sofia C. Olhede and
Jeffrey J. Early and
Jonathan M. Lilly Analysis of non-stationary modulated
time series with applications to
oceanographic surface flow measurements 668--710
Francisco Estrada and
Pierre Perron Extracting and analyzing the warming
trend in global and hemispheric
temperatures . . . . . . . . . . . . . . 711--732
Iliyan Georgiev and
Paulo M. M. Rodrigues and
A. M. Robert Taylor Unit Root Tests and Heavy-Tailed
Innovations . . . . . . . . . . . . . . 733--768
Wen Cao and
Clifford Hurvich and
Philippe Soulier Drift in Transaction-Level Asset Price
Models . . . . . . . . . . . . . . . . . 769--790
Eiji Kurozumi Monitoring Parameter Constancy with
Endogenous Regressors . . . . . . . . . 791--805
Mohsen Pourahmadi Book Review: \booktitleState-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: 1-4822-1959-X . . . . . . . . . . 806--806
Anonymous Issue Information . . . . . . . . . . . 807--808
Lisandro Javier Fermin and
Ricardo Rios and
Luis Angel Rodriguez A Robbins--Monro Algorithm for
Non-Parametric Estimation of NAR Process
with Markov Switching: Consistency . . . 809--837
Andrew J. Grant and
Barry G. Quinn Parametric Spectral Discrimination . . . 838--864
Christian M. Hafner and
Arie Preminger On Asymptotic Theory for $ {\rm
ARCH}(\infty) $ Models . . . . . . . . . 865--879
Mamadou Lamine Diop and
William Kengne Testing Parameter Change in General
Integer-Valued Time Series . . . . . . . 880--894
Franziska Häfner and
Claudia Kirch Moving Fourier analysis for locally
stationary processes with the bootstrap
in view . . . . . . . . . . . . . . . . 895--922
Sigrunn Holbek Sòrbye and
Håvard Rue Penalised Complexity Priors for
Stationary Autoregressive Processes . . 923--935
T. Subba Rao and
Gyorgy Terdik A new covariance function and
spatio-temporal prediction (kriging) for
a stationary spatio-temporal random
process . . . . . . . . . . . . . . . . 936--959
Martin Wagner and
Dominik Wied Consistent Monitoring of Cointegrating
Relationships: The US Housing Market and
the Subprime Crisis . . . . . . . . . . 960--980
Qiang Xia and
Kejun He and
Cuizhen Niu A Model-Adaptive Test for Parametric
Single-Index Time Series Models . . . . 981--999
Rickard Sandberg Sample moments and weak convergence to
multivariate stochastic power integrals 1000--1009
Brendan K. Beare and
Juwon Seo and
Won-Ki Seo Cointegrated Linear Processes in Hilbert
Space . . . . . . . . . . . . . . . . . 1010--1027
Stefan Albert and
Michael Messer and
Julia Schiemann and
Jochen Roeper and
Gaby Schneider Multi-Scale detection of variance
changes in renewal processes in the
presence of rate change points . . . . . 1028--1052
Anonymous Issue Information . . . . . . . . . . . 1--2
Robert Taylor Editorial, January 2018 . . . . . . . . 3--3
Linyuan Li and
Kewei Lu Tests for the equality of two processes'
spectral densities with unequal lengths
using wavelet methods . . . . . . . . . 4--27
Johannes Tewes Block bootstrap for the empirical
process of long-range dependent data . . 28--53
Pramita Bagchi and
Vaidotas Characiejus and
Holger Dette A simple test for white noise in
functional time series . . . . . . . . . 54--74
Ria Van Hecke and
Stanislav Volgushev and
Holger Dette Fourier analysis of serial dependence
measures . . . . . . . . . . . . . . . . 75--89
Carina Gerstenberger Robust Wilcoxon-Type Estimation of
Change-Point Location Under Short-Range
Dependence . . . . . . . . . . . . . . . 90--104
Zudi Lu Book Review: \booktitleHidden Markov
Models for Time Series: An Introduction
Using R, 2nd Edition, by Walter
Zucchini, Iain L. Macdonald, and Roland
Langrock. Monographs on Statistics and
Applied Probability 150, Published by
CRC Press, 2016. Total number of pages:
28 + 370. ISBN: 978-1-4822-5383-2
(Hardback) . . . . . . . . . . . . . . . 105--106
Rebecca Killick Book Review: \booktitleApplied Time
Series Analysis With R, Second Edition
by Wayne A. Woodward, Henry L. Gray, and
Alan C. Elliott (eds). Published by CRC
Press, 2017. Total number of pages: 618.
ISBN: 978-1-4987-3422-6 . . . . . . . . 107--107
Anonymous Issue Information . . . . . . . . . . . 109--110
Francesco Audrino and
Lorenzo Camponovo Oracle Properties, Bias Correction, and
Bootstrap Inference for Adaptive Lasso
for Time Series $M$-Estimators . . . . . 111--128
Liudas Giraitis and
George Kapetanios and
Tony Yates Inference on Multivariate
Heteroscedastic Time Varying Random
Coefficient Models . . . . . . . . . . . 129--149
Paolo Gorgi Integer-Valued Autoregressive Models
With Survival Probability Driven By A
Stochastic Recurrence Equation . . . . . 150--171
Tucker McElroy and
Anindya Roy The inverse Kullback--Leibler method for
fitting vector moving averages . . . . . 172--191
Abdelhakim Aknouche and
Sara Bendjeddou and
Nassim Touche Negative Binomial Quasi-Likelihood
Inference for General Integer-Valued
Time Series Models . . . . . . . . . . . 192--211
Fang Xie and
Zhijie Xiao Square-Root LASSO for High-Dimensional
Sparse Linear Systems with Weakly
Dependent Errors . . . . . . . . . . . . 212--238
Anonymous Issue Information . . . . . . . . . . . 239--240
Soumendra N. Lahiri and
Dimitris N. Politis and
Peter M. Robinson Editorial . . . . . . . . . . . . . . . 241--241
Stefan Birr and
Holger Dette and
Marc Hallin and
Tobias Kley and
Stanislav Volgushev On Wigner--Ville Spectra and the
Uniqueness of Time-Varying Copula-Based
Spectral Densities . . . . . . . . . . . 242--250
Richard A. Davis and
Jing Zhang Semi-Parametric Estimation for
Non-Gaussian Non-Minimum Phase ARMA
Models . . . . . . . . . . . . . . . . . 251--272
Hira L. Koul and
Donatas Surgailis Asymptotic distributions of some scale
estimators in nonlinear models with long
memory errors having infinite variance 273--298
Tucker McElroy Recursive Computation for Block-Nested
Covariance Matrices . . . . . . . . . . 299--312
Suhasini Subba Rao Orthogonal samples for estimators in
time series . . . . . . . . . . . . . . 313--337
Raanju Ragavendar Sundararajan and
Mohsen Pourahmadi Stationary subspace analysis of
nonstationary processes . . . . . . . . 338--355
Maria Fragkeskou and
Efstathios Paparoditis Extending the range of validity of the
autoregressive (sieve) bootstrap . . . . 356--379
Young Min Kim and
Soumendra N. Lahiri and
Daniel J. Nordman Non-Parametric Spectral Density
Estimation Under Long-Range Dependence 380--401
Yan Liu and
Yurie Tamura and
Masanobu Taniguchi Asymptotic theory of test statistic for
sphericity of high-dimensional time
series . . . . . . . . . . . . . . . . . 402--416
Fumiya Akashi and
Shuyang Bai and
Murad S. Taqqu Robust regression on stationary time
series: a self-normalized resampling
approach . . . . . . . . . . . . . . . . 417--432
Timothy L. McMurry and
Dimitris N. Politis Estimating MA Parameters through
Factorization of the Autocovariance
Matrix and an MA-Sieve Bootstrap . . . . 433--446
Wei-Cheng Hsiao and
Hao-Yun Huang and
Ching-Kang Ing Interval Estimation for a First-Order
Positive Autoregressive Process . . . . 447--467
Anonymous Issue Information . . . . . . . . . . . 469--470
Tomasz Górecki and
Siegfried Hörmann and
Lajos Horváth and
Piotr Kokoszka Testing Normality of Functional Time
Series . . . . . . . . . . . . . . . . . 471--487
Jilin Wu and
Zhijie Xiao A powerful test for changing trends in
time series models . . . . . . . . . . . 488--501
Lukasz Kidzi\'nski and
Piotr Kokoszka and
Neda Mohammadi Jouzdani Principal Components Analysis of
Periodically Correlated Functional Time
Series . . . . . . . . . . . . . . . . . 502--522
Anna Bykhovskaya and
Peter C. B. Phillips Boundary limit theory for functional
local to unity regression . . . . . . . 523--562
Hailin Sang and
Yongli Sang and
Fangjun Xu Kernel Entropy Estimation for Linear
Processes . . . . . . . . . . . . . . . 563--591
Jan Beran and
Britta Steffens and
Sucharita Ghosh On Local Trigonometric Regression Under
Dependence . . . . . . . . . . . . . . . 592--617
Lei Jin A frequency-domain test to check
equality in spectral densities of
multiple time series with unequal
lengths . . . . . . . . . . . . . . . . 618--633
Maria Antónia Amaral Turkman Book Review: \booktitleStatistical
Intervals: A Guide for Practitioners and
Researchers, Second Edition, by William
Q. Meeker, Gerald J. Hahn, and Louis A.
Escobar. Wiley Series in Probability and
Statistics, Published by John Wiley and
Sons, 2017. Total number of pages: 35 +
592. ISBN: 978-0-4716-8717-7 . . . . . . 634--635
Anonymous Issue Information . . . . . . . . . . . 637--638
Robert Taylor Editorial, September 2018 . . . . . . . 639--639
Granville Tunnicliffe Wilson Tata Subba Rao, 1942--2018 . . . . . . . 640--640
Stefan Bruder and
Michael Wolf Balanced Bootstrap Joint Confidence
Bands for Structural Impulse Response
Functions . . . . . . . . . . . . . . . 641--664
Yannick Hoga Detecting Tail Risk Differences in
Multivariate Time Series . . . . . . . . 665--689
Juanjuan Kong and
Lijie Gu and
Lijian Yang Prediction interval for autoregressive
time series via oracally efficient
estimation of multi-step-ahead
innovation distribution function . . . . 690--708
Shibin Zhang and
Xin M. Tu Tests for comparing time-invariant and
time-varying spectra based on the
Pearson statistic . . . . . . . . . . . 709--730
Panayiotis Constantinou and
Piotr Kokoszka and
Matthew Reimherr Testing Separability of Functional Time
Series . . . . . . . . . . . . . . . . . 731--747
Liliya Lavitas and
Ting Zhang A time-symmetric self-normalization
approach for inference of time series 748--762
Fumiya Akashi and
Holger Dette and
Yan Liu Change-Point detection in autoregressive
models with no moment assumptions . . . 763--786
Stefano M. Iacus and
Lorenzo Mercuri and
Edit Rroji Discrete-Time Approximation of a $ {\rm
Cogarch}(p, q) $ Model and its
Estimation . . . . . . . . . . . . . . . 787--809
Anonymous Issue Information . . . . . . . . . . . 811--812
Robert Taylor Editorial Announcement . . . . . . . . . 813--813
Stephen Leybourne and
Robert Taylor Special issue of the \booktitleJournal
of Time Series Analysis in honour of
Professor Paul Newbold: Guest Editors'
introduction . . . . . . . . . . . . . . 814--815
Brendan K. Beare Unit Root Testing with Unstable
Volatility . . . . . . . . . . . . . . . 816--835
Sòren Johansen and
Morten Òrregaard Nielsen Testing the CVAR in the Fractional CVAR
Model . . . . . . . . . . . . . . . . . 836--849
Eiji Kurozumi Confidence sets for the date of a
structural change at the end of a sample 850--862
Sam Astill and
David I. Harvey and
Stephen J. Leybourne and
Robert Sollis and
A. M. Robert Taylor Real-Time Monitoring for Explosive
Financial Bubbles . . . . . . . . . . . 863--891
Stelios Arvanitis and
Tassos Magdalinos Mildly Explosive Autoregression Under
Stationary Conditional
Heteroskedasticity . . . . . . . . . . . 892--908
Andrew Harvey and
Rutger-Jan Lange Modeling the interactions between
volatility and returns using EGARCH-M 909--919
Giuseppe Cavaliere and
Rasmus Sòndergaard Pedersen and
Anders Rahbek The Fixed Volatility Bootstrap for a
Class of $ {\rm Arch}(q) $ Models . . . 920--941
Rickard Sandberg Unit root testing in multiple smooth
break models with nonlinear dynamics . . 942--952
Ross Askanazi and
Francis X. Diebold and
Frank Schorfheide and
Minchul Shin On the Comparison of Interval Forecasts 953--965
Shuping Shi and
Peter C. B. Phillips and
Stan Hurn Change detection and the causal impact
of the yield curve . . . . . . . . . . . 966--987
Anonymous Issue Information . . . . . . . . . . . 1--2
Cristina Gorrostieta and
Hernando Ombao and
Rainer Von Sachs Time-Dependent Dual-Frequency Coherence
in Multivariate Non-Stationary Time
Series . . . . . . . . . . . . . . . . . 3--22
Marian Z. Stoykov Least squares bias in time series with
moderate deviations from a unit root . . 23--42
Xiaohui Liu and
Liang Peng Asymptotic theory and unified confidence
region for an autoregressive model . . . 43--65
Yuping Song and
Ying Chen and
Zhouwei Wang Bias correction estimation for a
continuous-time asset return model with
jumps . . . . . . . . . . . . . . . . . 66--101
Brian D. O. Anderson and
Manfred Deistler and
Jean-Marie Dufour On the Sensitivity of Granger Causality
to Errors-In-Variables, Linear
Transformations and Subsampling . . . . 102--123
Axel Bücher and
Jean-David Fermanian and
Ivan Kojadinovic Combining cumulative sum change-point
detection tests for assessing the
stationarity of univariate time series 124--150
Katerina Petrova Quasi-Bayesian Estimation of
Time-Varying Volatility in DSGE Models 151--157
Jiguo Cao Book Review: \booktitleDynamic Data
Analysis, by James Ramsay and Giles
Hooker. Published by Springer, New York,
USA, 2017. Total number of pages: 230.
ISSN: 0172-7397 . . . . . . . . . . . . 158--159
Anonymous Issue Information . . . . . . . . . . . 161--162
Peter J. Brockwell and
Alexander Lindner Sampling, Embedding and Inference for
CARMA Processes . . . . . . . . . . . . 163--181
Yongning Wang and
Ruey S. Tsay Clustering Multiple Time Series with
Structural Breaks . . . . . . . . . . . 182--202
Sam Efromovich On two-stage estimation of the spectral
density with assigned risk in presence
of missing data . . . . . . . . . . . . 203--224
Christian Gouriéroux and
Yang Lu Negative Binomial Autoregressive Process
with Stochastic Intensity . . . . . . . 225--247
Joakim Westerlund Common Breaks in Means for
Cross-Correlated Fixed-$T$ Panel Data 248--255
Kung-Sik Chan and
Greta Goracci On the Ergodicity of First-Order
Threshold Autoregressive Moving-Average
Processes . . . . . . . . . . . . . . . 256--264
Anonymous Issue Information . . . . . . . . . . . 265--266
Christopher K. Wikle and
Scott H. Holan Recent Advances in Spatio-Temporal
Methodology . . . . . . . . . . . . . . 267--268
Shinichiro Shirota and
Sudipto Banerjee Scalable inference for space--time
Gaussian Cox processes . . . . . . . . . 269--287
Bohai Zhang and
Noel Cressie Estimating Spatial Changes Over Time of
Arctic Sea Ice using Hidden $ 2 \times 2
$ Tables . . . . . . . . . . . . . . . . 288--311
Felipe Tagle and
Stefano Castruccio and
Paola Crippa and
Marc G. Genton A Non-Gaussian Spatio-Temporal Model for
Daily Wind Speeds Based on a
Multi-Variate Skew-$t$ Distribution . . 312--326
Dawlah Al-Sulami and
Zhenyu Jiang and
Zudi Lu and
Jun Zhu On a Semiparametric Data-Driven
Nonlinear Model with Penalized
Spatio-Temporal Lag Interactions . . . . 327--342
Zhaoxing Gao and
Ruey S. Tsay A Structural-Factor Approach to Modeling
High-Dimensional Time Series and
Space-Time Data . . . . . . . . . . . . 343--362
Jonathan R. Bradley and
Christopher K. Wikle and
Scott H. Holan Spatio-temporal models for big
multinomial data using the conditional
multivariate logit-beta distribution . . 363--382
Anonymous Issue Information . . . . . . . . . . . 383--384
Robert Taylor Editorial Announcement . . . . . . . . . 385--385
Morten Òrregaard Nielsen and
Javier Hualde Special Issue of the \booktitleJournal
of Time Series Analysis in Honour of the
35th Anniversary of the Publication of
Geweke and Porter-Hudak (1983): Guest
Editors' Introduction . . . . . . . . . 386--387
Garland Durham and
John Geweke and
Susan Porter-Hudak and
Fallaw Sowell Bayesian Inference for ARFIMA Models . . 388--410
Murad S. Taqqu and
Ting Zhang A Self-Normalized Semi-Parametric Test
to Detect Changes in the Long Memory
Parameter . . . . . . . . . . . . . . . 411--424
Abhimanyu Gupta and
Javier Hidalgo Order Selection and Inference with Long
Memory Dependent Data . . . . . . . . . 425--446
Soumendra N. Lahiri and
Ujjwal Das and
Daniel J. Nordman Empirical Likelihood for a Long Range
Dependent Process Subordinated to a
Gaussian Process . . . . . . . . . . . . 447--466
George Kapetanios and
Fotis Papailias and
A. M. Robert Taylor A Generalised Fractional Differencing
Bootstrap for Long Memory Processes . . 467--492
Hira L. Koul and
Donatas Surgailis Asymptotic Distribution of the Bias
Corrected Least Squares Estimators in
Measurement Error Linear Regression
Models Under Long Memory . . . . . . . . 493--518
Sòren Johansen and
Morten Òrregaard Nielsen Nonstationary Cointegration in the
Fractionally Cointegrated VAR Model . . 519--543
Javier Hualde and
Fabrizio Iacone Fixed Bandwidth Inference for Fractional
Cointegration . . . . . . . . . . . . . 544--572
Yunus Emre Ergemen and
Carlos Velasco Persistence Heterogeneity Testing in
Panels with Interactive Fixed Effects 573--589
Jun Liu and
Rohit Deo and
Clifford Hurvich The Slow Convergence of Ordinary Least
Squares Estimators of $ \alpha $, $
\beta $ and Portfolio Weights under
Long-Memory Stochastic Volatility . . . 590--608
Richard T. Baillie and
Fabio Calonaci and
Dooyeon Cho and
Seunghwa Rho Long Memory, Realized Volatility and
Heterogeneous Autoregressive Models . . 609--628
Anonymous Issue Information . . . . . . . . . . . 629--630
Maria Eduarda Silva and
Isabel Pereira and
Brendan McCabe Bayesian Outlier Detection in
Non-Gaussian Autoregressive Time Series 631--648
Helmut Herwartz and
Simone Maxand and
Yabibal M. Walle Heteroskedasticity-Robust Unit Root
Testing for Trending Panels . . . . . . 649--664
Gregory Rice and
Marco Shum Inference for the Lagged
Cross-Covariance Operator Between
Functional Time Series . . . . . . . . . 665--692
Fabrizio Iacone and
Stepána Lazarová Semiparametric Detection of Changes in
Long Range Dependence . . . . . . . . . 693--706
Annika Betken and
Rafa\l Kulik Testing for Change in Long-Memory
Stochastic Volatility Time Series . . . 707--738
Gabriel Montes-Rojas Multivariate Quantile Impulse Response
Functions . . . . . . . . . . . . . . . 739--752
Weiyi Liu and
Mingjin Wang Volatility Estimation and Jump Testing
via Realized Information Variation . . . 753--787
Rodrigo B. Silva and
Wagner Barreto-Souza Flexible and Robust Mixed Poisson
INGARCH Models . . . . . . . . . . . . . 788--814
Yuichi Goto and
Masanobu Taniguchi Robustness of Zero Crossing Estimator 815--830
Ting Zhang and
Liliya Lavitas and
Qiao Pan Asymptotic Behavior of Optimal Weighting
in Generalized Self-Normalization for
Time Series . . . . . . . . . . . . . . 831--851
Joakim Westerlund On Estimation and Inference in
Heterogeneous Panel Regressions with
Interactive Effects . . . . . . . . . . 852--857
Yannick Hoga Extending the Limits of Backtesting via
the `Vanishing $p$'-Approach . . . . . . 858--866
Anonymous Issue Information . . . . . . . . . . . 867--868
Marcus J. Chambers and
Peter A. Zadrozny Econometric Modelling with Mixed
Frequency and Temporally Aggregated Data 869--871
Tomás del Barrio Castro and
Paulo M. M. Rodrigues and
A. M. Robert Taylor Temporal Aggregation of Seasonally
Near-Integrated Processes . . . . . . . 872--886
Marcus J. Chambers Frequency Domain Estimation of
Continuous Time Cointegrated Models with
Mixed Frequency and Mixed Sample Data 887--913
Thomas B. Götz and
Alain W. Hecq Granger Causality Testing in
Mixed-Frequency VARs with Possibly
(Co)Integrated Processes . . . . . . . . 914--935
J. Isaac Miller Testing Cointegrating Relationships
Using Irregular and Non-Contemporaneous
Series with an Application to
Paleoclimate Data . . . . . . . . . . . 936--950
Michael A. Thornton Exact Discrete Representations of Linear
Continuous Time Models with Mixed
Frequency Data . . . . . . . . . . . . . 951--967
Peter A. Zadrozny and
Baoline Chen Weighted-Covariance Factor Decomposition
of Varma Models Applied to Forecasting
Quarterly U.S. Real GDP at Monthly
Intervals . . . . . . . . . . . . . . . 968--986
Anonymous Issue Information . . . . . . . . . . . 1--2
Tingyi Zhu and
Dimitris N. Politis Higher-Order Accurate Spectral Density
Estimation of Functional Time Series . . 3--20
Qianqian Zhu and
Ruochen Zeng and
Guodong Li Bootstrap Inference for Garch Models by
the Least Absolute Deviation Estimation 21--40
Uwe Hassler and
Mehdi Hosseinkouchack Harmonically Weighted Processes . . . . 41--66
Donald S. Poskitt On Singular Spectrum Analysis And
Stepwise Time Series Reconstruction . . 67--94
Hao Sun and
Bo Yu Volatility asymmetry in functional
threshold GARCH model . . . . . . . . . 95--109
Carsten Jentsch and
Anne Leucht and
Marco Meyer and
Carina Beering Empirical Characteristic Functions-Based
Estimation and Distance Correlation for
Locally Stationary Processes . . . . . . 110--133
Marcus J. Chambers and
A. M. Robert Taylor Deterministic Parameter Change Models in
Continuous and Discrete Time . . . . . . 134--145
Patrick Marsh Properties of the Power Envelope for
Tests Against Both Stationary and
Explosive Alternatives: The Effect of
Trends . . . . . . . . . . . . . . . . . 146--153
Dong Li and
Ke Zhu Inference for asymmetric exponentially
weighted moving average models . . . . . 154--162
Yaxing Yang and
Dong Li Self-Weighted Lad-Based Inference for
Heavy-Tailed Continuous Threshold
Autoregressive Models . . . . . . . . . 163--172
Jianfeng Yao Book Review: \booktitleLarge Covariance
and Autocovariance Matrices, By Arup
Bose and Monika Bhattacharjee. Published
by Taylor and Francis Group, LLC, Boca
Raton, London, New York, 2019. ISBN:
978-1-138-30386-7 (hardback) . . . . . . 173--174
Anonymous Issue Information . . . . . . . . . . . 175--176
Sondre Hòlleland and
Hans Arnfinn Karlsen A Stationary Spatio-Temporal GARCH Model 177--209
Jan Beran and
Sucharita Ghosh Estimating the Mean Direction of
Strongly Dependent Circular Time Series 210--228
Yan Liu and
Yujie Xue and
Masanobu Taniguchi Robust Linear Interpolation and
Extrapolation of Stationary Time Series
in $ L^p $ . . . . . . . . . . . . . . . 229--248
Milena Hoyos Mixed First- and Second-Order
Cointegrated Continuous Time Models with
Mixed Stock and Flow Data . . . . . . . 249--267
Stefanos Kechagias and
Vladas Pipiras Modeling bivariate long-range dependence
with general phase . . . . . . . . . . . 268--292
Jari Miettinen and
Markus Matilainen and
Klaus Nordhausen and
Sara Taskinen Extracting Conditionally Heteroskedastic
Components using Independent Component
Analysis . . . . . . . . . . . . . . . . 293--311
Zhelin Huang and
Ngai Hang Chan Walsh Fourier Transform of Locally
Stationary Time Series . . . . . . . . . 312--340
Stelios Arvanitis and
Sofia Anyfantaki On the limit theory of the Gaussian
SQMLE in the EGARCH(1,1) model . . . . . 341--350
Jon Michel The Limiting Distribution of a
Non-Stationary Integer Valued GARCH(1,1)
Process . . . . . . . . . . . . . . . . 351--356
Emma M. Iglesias and
Garry D. A. Phillips Further Results on Pseudo-Maximum
Likelihood Estimation and Testing in the
Constant Elasticity of Variance
Continuous Time Model . . . . . . . . . 357--364
Anonymous Issue Information . . . . . . . . . . . 365--366
Degui Li and
Jiraroj Tosasukul and
Wenyang Zhang Nonlinear Factor-Augmented Predictive
Regression Models with Functional
Coefficients . . . . . . . . . . . . . . 367--386
Qian Li Location Multiplicative Error Models
with Quasi Maximum Likelihood Estimation 387--405
Soumya Das and
Marc G. Genton On the Stationary Marginal Distributions
of Subclasses of Multivariate SETAR
Processes of Order One . . . . . . . . . 406--420
Mihyun Kim and
Piotr Kokoszka Consistency of the Hill Estimator for
Time Series Observed with Measurement
Errors . . . . . . . . . . . . . . . . . 421--435
Kimberly F. Sellers and
Stephen J. Peng and
Ali Arab A Flexible Univariate Autoregressive
Time-Series Model for Dispersed Count
Data . . . . . . . . . . . . . . . . . . 436--453
Aleksandra Grzesiek and
Grzegorz Sikora and
Marek Teuerle and
Agnieszka Wy\loma\'nska Spatio-Temporal Dependence Measures for
Bivariate AR(1) Models with $ \alpha
$-Stable Noise . . . . . . . . . . . . . 454--475
Dong Li and
Jiaming Qiu The Marginal Density of a TMA(1) Process 476--484
Matthew Nunes Book Review: \booktitleTime Series: a
Data Analysis Approach Using R By Robert
H. Shumway and David S. Stoffer.
Published by Taylor and Francis Group,
LLC, Boca Raton, London, New York, 2019.
ISBN: 978-0-367-22109-6 (Hardback) . . . 485--486
Anonymous Issue Information . . . . . . . . . . . 487--488
Robert Taylor Editorial Announcement:
\booktitleJournal of Time Series
Analysis Distinguished Authors . . . . . 489--490
Anonymous Publish your next paper open access in
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Analysis . . . . . . . . . . . . . . . . 491--491
Yan Sun and
Guanghua Lian and
Zudi Lu and
Jennifer Loveland and
Isaac Blackhurst Modeling the Variance of Return
Intervals Toward Volatility Prediction 492--519
Remigijus Leipus and
Anne Philippe and
Vytaute Pilipauskaite and
Donatas Surgailis Estimating Long Memory in Panel
Random-Coefficient AR(1) Data . . . . . 520--535
Xuexin Wang and
Yixiao Sun An Asymptotic $F$ Test for
Uncorrelatedness in the Presence of Time
Series Dependence . . . . . . . . . . . 536--550
Yuanyuan Zhang and
Rong Liu and
Qin Shao and
Lijian Yang Two-Step Estimation for Time Varying
Arch Models . . . . . . . . . . . . . . 551--570
Dimitrios Pilavakis and
Efstathios Paparoditis and
Theofanis Sapatinas Testing equality of autocovariance
operators for functional time series . . 571--589
Valerie Girardin and
Rachid Senoussi Filling the gap between Continuous and
Discrete Time Dynamics of Autoregressive
Processes . . . . . . . . . . . . . . . 590--602
Anonymous Issue Information . . . . . . . . . . . 603--604
Zaichao Du and
Pei Pei Backtesting portfolio value-at-risk with
estimated portfolio weights . . . . . . 605--619
Vicky Fasen-Hartmann and
Sebastian Kimmig Robust estimation of stationary
continuous-time ARMA models via indirect
inference . . . . . . . . . . . . . . . 620--651
Sam Efromovich Missing not at random and the
nonparametric estimation of the spectral
density . . . . . . . . . . . . . . . . 652--675
Mohitosh Kejriwal and
Xuewen Yu and
Pierre Perron Bootstrap procedures for detecting
multiple persistence shifts in
heteroskedastic time series . . . . . . 676--690
Tevfik Aktekin and
Nicholas G. Polson and
Refik Soyer A family of multivariate non-Gaussian
time series models . . . . . . . . . . . 691--721
Qiang Xia and
Zhiqiang Zhang and
Wai Keung Li A Portmanteau Test for Smooth Transition
Autoregressive Models . . . . . . . . . 722--730
Anonymous Issue Information . . . . . . . . . . . 731--732
Gregory Rice and
Tony Wirjanto and
Yuqian Zhao Tests for conditional heteroscedasticity
of functional data . . . . . . . . . . . 733--758
Wenjie Zhao and
Raquel Prado Efficient Bayesian PARCOR approaches for
dynamic modeling of multivariate time
series . . . . . . . . . . . . . . . . . 759--784
Aleksandra Grzesiek and
Prashant Giri and
S. Sundar and
Agnieszka WyLoma\'nska Measures of Cross-Dependence for
Bidimensional Periodic AR(1) Model with
$ \alpha $-Stable Distribution . . . . . 785--807
Masanobu Taniguchi and
Shogo Kato and
Hiroaki Ogata and
Arthur Pewsey Models for circular data from time
series spectra . . . . . . . . . . . . . 808--829
Moizes Melo and
Airlane Alencar Conway--Maxwell--Poisson Autoregressive
Moving Average Model for Equidispersed,
Underdispersed, and Overdispersed Count
Data . . . . . . . . . . . . . . . . . . 830--857
Tomás Rubín and
Victor M. Panaretos Functional lagged regression with sparse
noisy observations . . . . . . . . . . . 858--882
Huan Gong and
Dong Li On the three-step non-Gaussian
quasi-maximum likelihood estimation of
heavy-tailed double autoregressive
models . . . . . . . . . . . . . . . . . 883--891
Ovidijus Stauskas On the limit theory of mixed to unity
VARs: Panel setting with weakly
dependent errors . . . . . . . . . . . . 892--898
Paul D. Feigin Correction to: Random Coefficient
Autoregressive Processes: a Markov Chain
Analysis of Stationarity and Finiteness
of Moments by Paul D. Feigin and Richard
L. Tweedie J. Time Series Anal., Vol. 6,
No. 1 (1985) . . . . . . . . . . . . . . 899--900
Anonymous Issue Information . . . . . . . . . . . 1--2
Robert Taylor Editorial announcement:
\booktitleJournal of Time Series
Analysis Distinguished Authors 2020 . . 3--3
Kun Chen and
Rui Huang Robust empirical likelihood for time
series . . . . . . . . . . . . . . . . . 4--18
Florencia Leonardi and
Matías Lopez-Rosenfeld and
Daniela Rodriguez and
Magno T. F. Severino and
Mariela Sued Independent block identification in
multivariate time series . . . . . . . . 19--33
Carina Gerstenberger Robust discrimination between long-range
dependence and a change in mean . . . . 34--62
Josua Gösmann and
Tobias Kley and
Holger Dette A new approach for open-end sequential
change point monitoring . . . . . . . . 63--84
Sven Otto Unit root testing with slowly varying
trends . . . . . . . . . . . . . . . . . 85--106
Paul Doukhan and
Konstantinos Fokianos and
Joseph Rynkiewicz Mixtures of Nonlinear Poisson
Autoregressions . . . . . . . . . . . . 107--135
Anonymous Issue Information . . . . . . . . . . . 137--138
Robert Taylor Editorial Announcement . . . . . . . . . 139--139
Randal Douc and
François Roueff and
Tepmony Sim Necessary and sufficient conditions for
the identifiability of
observation-driven models . . . . . . . 140--160
Vitalii Makogin and
Marco Oesting and
Albert Rapp and
Evgeny Spodarev Long range dependence for stable random
processes . . . . . . . . . . . . . . . 161--185
Chen Gong and
David S. Stoffer A Note on Efficient Fitting of
Stochastic Volatility Models . . . . . . 186--200
Jonas Krampe and
Timothy L. McMurry Estimating Wold matrices and vector
moving average processes . . . . . . . . 201--221
Mo Zhou and
Liang Peng and
Rongmao Zhang Empirical likelihood test for the
application of SWQMELE in fitting an
ARMA--GARCH model . . . . . . . . . . . 222--239
Yifan Li and
Yao Rao A simple nearly unbiased estimator of
cross-covariances . . . . . . . . . . . 240--266
Anonymous Correction to: Quasi-Bayesian Estimation
of Time-Varying Volatility in DSGE
Models by Katerina Petrova J. Time
Series Anal, Vol. 40, No. 1 (2019) . . . 267--267
Anonymous Issue Information . . . . . . . . . . . 269--270
Manabu Asai and
Mike K. P. So Quasi-maximum likelihood estimation of
conditional autoregressive Wishart
models . . . . . . . . . . . . . . . . . 271--294
Siegfried Hörmann and
Gilles Nisol Prediction of Singular VARs and an
Application to Generalized Dynamic
Factor Models . . . . . . . . . . . . . 295--313
Eiji Kurozumi Asymptotic Behavior of Delay Times of
Bubble Monitoring Tests . . . . . . . . 314--337
Morten Òrregaard Nielsen and
Antoine L. Noël To infinity and beyond: Efficient
computation of ARCH($ \infty $) models 338--354
Adrian Pizzinga and
Marcelo Fernandes Extensions to the invariance property of
maximum likelihood estimation for
affine-transformed state-space models 355--371
Weining Wang Book Review: \booktitleStatistical
foundations of data science, by Jianqing
Fan, Runze Li, Chun-Hui Zhang, Hui Zou.
Published by Taylor and Francis Group.
Total number of pages: 729. ISBN:
978-1-466-51084-5 . . . . . . . . . . . 372--373
Anonymous Issue Information . . . . . . . . . . . 375--376
Paulo M. D. C. Parente and
Richard J. Smith Quasi-maximum likelihood and the kernel
block bootstrap for nonlinear dynamic
models . . . . . . . . . . . . . . . . . 377--405
Lixiong Yang and
Chingnun Lee and
I-Po Chen Threshold model with a time-varying
threshold based on Fourier approximation 406--430
Bernd Funovits and
Alexander Braumann Identifiability of structural singular
vector autoregressive models . . . . . . 431--441
Paul L. Anderson and
Farzad Sabzikar and
Mark M. Meerschaert Parsimonious time series modeling for
high frequency climate data . . . . . . 442--470
Nan Li and
Simon S. Kwok Jointly determining the state dimension
and lag order for Markov-switching
vector autoregressive models . . . . . . 471--491
George Kapetanios and
Fotis Papailias and
A. M. Robert Taylor Corrigendum to ``A Generalised
Fractional Differencing Bootstrap for
Long Memory Processes'' Journal of Time
Series Analysis \bf 40: 467--492 (2019)
DOI: 10.1111/jtsa.12460 . . . . . . . . 492--492
Anonymous Issue Information . . . . . . . . . . . 493--494
Richard C. Bradley and
Richard A. Davis and
Dimitris N. Politis Preface to the Murray Rosenblatt
memorial special issue of \booktitleJTSA 495--498
Richard C. Bradley On some basic features of strictly
stationary, reversible Markov chains . . 499--533
Alexander Braumann and
Jens-Peter Kreiss and
Marco Meyer Simultaneous inference for
autocovariances based on autoregressive
sieve bootstrap . . . . . . . . . . . . 534--553
Jonas Krampe and
Efstathios Paparoditis Sparsity concepts and estimation
procedures for high-dimensional vector
autoregressive models . . . . . . . . . 554--579
Jiang Wang and
Dimitris N. Politis Consistent autoregressive spectral
estimates: Nonlinear time series and
large autocovariance matrices . . . . . 580--596
Sourav Das and
Suhasini Subba Rao and
Junho Yang Spectral methods for small sample time
series: a complete periodogram approach 597--621
Nikolay M. Babayan and
Mamikon S. Ginovyan and
Murad S. Taqqu Extensions of Rosenblatt's results on
the asymptotic behavior of the
prediction error for deterministic
stationary sequences . . . . . . . . . . 622--652
Richard A. Davis and
Thiago do Rêgo Sousa and
Claudia Klüppelberg Indirect inference for time series using
the empirical characteristic function
and control variates . . . . . . . . . . 653--684
Degui Li and
Peter M. Robinson and
Han Lin Shang Local Whittle estimation of long-range
dependence for functional time series 685--695
Timothy Fortune and
Magda Peligrad and
Hailin Sang A local limit theorem for linear random
fields . . . . . . . . . . . . . . . . . 696--710
Rodrigo Saul Gaitan and
Keh-Shin Lii On the Estimation of Periodicity or
Almost Periodicity in Inhomogeneous
Gamma Point-Process Data . . . . . . . . 711--736
Xiaofei Hu and
Beth Andrews Integer-valued asymmetric GARCH modeling 737--751
Ekaterina Smetanina and
Wei Biao Wu Asymptotic theory for QMLE for the
real-time GARCH(1,1) model . . . . . . . 752--776
Peter J. Brockwell and
Alexander Lindner Aspects of non-causal and non-invertible
CARMA processes . . . . . . . . . . . . 777--790
Anonymous Issue Information . . . . . . . . . . . 1--2
Robert Taylor Editorial Announcement: Professor
Michael McAleer [obituary] . . . . . . . 3--3
Robert Taylor Editorial Announcement:
\booktitleJournal of Time Series
Analysis Distinguished Authors 2021 . . 4--4
Abdelhakim Aknouche and
Bader Almohaimeed and
Stefanos Dimitrakopoulos Periodic autoregressive conditional
duration . . . . . . . . . . . . . . . . 5--29
Chao Zhang and
Piotr Kokoszka and
Alexander Petersen Wasserstein autoregressive models for
density time series . . . . . . . . . . 30--52
Yuping Song and
Weijie Hou and
Zhengyan Lin Double Smoothed Volatility Estimation of
Potentially Non-stationary
Jump-diffusion Model of Shibor . . . . . 53--82
Karsten Schweikert Oracle Efficient Estimation of
Structural Breaks in Cointegrating
Regressions . . . . . . . . . . . . . . 83--104
Dohyun Chun and
Donggyu Kim State Heterogeneity Analysis of
Financial Volatility using
high-frequency Financial Data . . . . . 105--124
Tingguo Zheng and
Han Xiao and
Rong Chen Generalized autoregressive moving
average models with GARCH errors . . . . 125--146
Víctor Peña and
Kaoru Irie On the Relationship between Uhlig
Extended and beta-Bartlett Processes . . 147--153
Efstathios Paparoditis Review of the book \booktitleStochastic
Models for Time Series by Paul Doukhan 154--154
Anonymous Issue Information . . . . . . . . . . . 155--156
Matthew Heiner and
Athanasios Kottas Autoregressive density modeling with the
Gaussian process mixture transition
distribution . . . . . . . . . . . . . . 157--177
Anders Rygh Swensen On causal and non-causal cointegrated
vector autoregressive time series . . . 178--196
Atefeh Zamani and
Hossein Haghbin and
Maryam Hashemi and
Rob J. Hyndman Seasonal functional autoregressive
models . . . . . . . . . . . . . . . . . 197--218
Mohitosh Kejriwal and
Pierre Perron and
Xuewen Yu A two-step procedure for testing partial
parameter stability in cointegrated
regression models . . . . . . . . . . . 219--237
Danijel Krizmani\'c Maxima of linear processes with
heavy-tailed innovations and random
coefficients . . . . . . . . . . . . . . 238--262
Tamás Szabados Regular multidimensional stationary time
series . . . . . . . . . . . . . . . . . 263--284
Carsten Jentsch and
Lena Reichmann Generalized binary vector autoregressive
processes . . . . . . . . . . . . . . . 285--311
Adriano Zanin Zambom and
Seonjin Kim and
Nancy Lopes Garcia Variable length Markov chain with
exogenous covariates . . . . . . . . . . 312--328
Matei Demetrescu and
Mehdi Hosseinkouchack Autoregressive spectral estimates under
ignored changes in the mean . . . . . . 329--340
Alexander Aue Book Review: \booktitleTime Series: a
First Course with Bootstrap Starter, by
McElroy, Tucker S. and Politis, Dimitris
N.. Published by CRC Press, 2020. 586
pp. ISBN: 978-1-4398-7651-0 . . . . . . 341--342
Anonymous Issue Information . . . . . . . . . . . 343--344
Huiling Yuan and
Yulei Sun and
Lu Xu and
Yong Zhou and
Xiangyu Cui A new volatility model: GQARCH--Itô model 345--370
Songhua Tan and
Qianqian Zhu Asymmetric linear double autoregression 371--388
Pierre Perron and
Yohei Yamamoto Structural change tests under
heteroskedasticity: Joint estimation
versus two-steps methods . . . . . . . . 389--411
Tomás del Barrio Castro and
Gianluca Cubadda and
Denise R. Osborn On cointegration for processes
integrated at different frequencies . . 412--435
Abdelhakim Aknouche and
Christian Francq Stationarity and ergodicity of Markov
switching positive conditional mean
models . . . . . . . . . . . . . . . . . 436--459
Mengya Liu and
Fukang Zhu and
Ke Zhu Modeling normalcy-dominant ordinal time
series: an application to air quality
level . . . . . . . . . . . . . . . . . 460--478
Neslihan Sakarya and
Robert M. de Jong The spectral analysis of the
Hodrick-Prescott filter . . . . . . . . 479--489
Yue Xu and
Fukang Zhu A new GJR--GARCH model for $Z$-valued
time series . . . . . . . . . . . . . . 490--500
Joakim Westerlund and
Milda Norkute and
Ovidijus Stauskas The factor analytical approach in
trending near unit root panels . . . . . 501--508
Anonymous Issue Information . . . . . . . . . . . 509--510
Ngai Hang Chan and
Linhao Gao and
Wilfredo Palma Simultaneous variable selection and
structural identification for
time-varying coefficient models . . . . 511--531
Ricardo P. Masini and
Marcelo C. Medeiros and
Eduardo F. Mendes Regularized estimation of
high-dimensional vector autoregressions
with weakly dependent innovations . . . 532--557
Francesco Bravo Misspecified semiparametric model
selection with weakly dependent
observations . . . . . . . . . . . . . . 558--586
Sayar Karmakar and
Marek Chudý and
Wei Biao Wu Long-term prediction intervals with many
covariates . . . . . . . . . . . . . . . 587--609
Yanfeng Wu and
Jianqiang Hu and
Xiangyu Yang Moment estimators for parameters of
Lévy-driven Ornstein--Uhlenbeck processes 610--639
Donggyu Kim and
Minseog Oh and
Yazhen Wang Conditional quantile analysis for
realized GARCH models . . . . . . . . . 640--665
Anonymous Issue Information . . . . . . . . . . . 667--668
Guangying Liu and
Meiyao Liu and
Jinguan Lin Testing the volatility jumps based on
the high frequency data . . . . . . . . 669--694
Guili Liao and
Qimeng Liu and
Rongmao Zhang and
Shifang Zhang Rank test of unit-root hypothesis with
AR-GARCH errors . . . . . . . . . . . . 695--719
Alexander Mayer Estimation and inference in adaptive
learning models with slowly decreasing
gains . . . . . . . . . . . . . . . . . 720--749
Sebastian Mentemeier and
Olivier Wintenberger Asymptotic independence ex machina:
Extreme value theory for the diagonal
SRE model . . . . . . . . . . . . . . . 750--780
Joseph P. Romano and
Marius A. Tirlea Permutation testing for dependence in
time series . . . . . . . . . . . . . . 781--807
Evangelos E. Ioannidis A new non-parametric cross-spectrum
estimator . . . . . . . . . . . . . . . 808--827
Razvan Pascalau and
Junsoo Lee and
Saban Nazlioglu and
Yan (Olivia) Lu Johansen-type cointegration tests with a
Fourier function . . . . . . . . . . . . 828--852
Anonymous Issue Information . . . . . . . . . . . 853--854
Anonymous New associate editors . . . . . . . . . 855--855
Erhua Zhang and
Xiaojun Song and
Jilin Wu A non-parametric test for multi-variate
trend functions . . . . . . . . . . . . 856--871
Lajos Horváth and
Piotr Kokoszka and
Jeremy VanderDoes and
Shixuan Wang Inference in functional factor models
with applications to yield curves . . . 872--894
Euan T. McGonigle and
Rebecca Killick and
Matthew A. Nunes Trend locally stationary wavelet
processes . . . . . . . . . . . . . . . 895--917
Benny Ren and
Ian Barnett Autoregressive mixture models for
clustering time series . . . . . . . . . 918--937
Xuanling Yang and
Dong Li Estimation of the empirical risk-return
relation: a generalized-risk-in-mean
model . . . . . . . . . . . . . . . . . 938--963
Yacouba Boubacar Ma\"\inassara and
Othman Kadmiri and
Bruno Saussereau Portmanteau test for a class of
multivariate asymmetric power GARCH
model . . . . . . . . . . . . . . . . . 964--1002
Anonymous Issue Information . . . . . . . . . . . 1--2
Robert Taylor Editorial Announcement:
\booktitleJournal of Time Series
Analysis Distinguished Authors 2022 . . 3--3
Benjamin Poignard and
Manabu Asai High-dimensional sparse multivariate
stochastic volatility models . . . . . . 4--22
Suhasini Subba Rao and
Junho Yang A prediction perspective on the
Wiener--Hopf equations for time series 23--42
Tommaso Proietti Peaks, gaps, and time-reversibility of
economic time series . . . . . . . . . . 43--68
Cleiton Guollo Taufemback Non-parametric short- and long-run
Granger causality testing in the
frequency domain . . . . . . . . . . . . 69--92
Jiajie Kong and
Robert Lund Seasonal count time series . . . . . . . 93--124
Raanju R. Sundararajan and
Wagner Barreto-Souza Student-$t$ stochastic volatility model
with composite likelihood EM-algorithm 125--147
Anonymous Issue Information . . . . . . . . . . . 149--150
Christian Gourieroux and
Joann Jasiak Dynamic deconvolution and identification
of independent autoregressive sources 151--180
David I. Harvey and
Stephen J. Leybourne and
Yang Zu Estimation of the variance function in
structural break autoregressive models
with non-stationary and explosive
segments . . . . . . . . . . . . . . . . 181--205
Luiza S. C. Piancastelli and
Wagner Barreto-Souza and
Hernando Ombao Flexible bivariate INGARCH process with
a broad range of contemporaneous
correlation . . . . . . . . . . . . . . 206--222
Dominik Bertsche and
Ralf Brüggemann and
Christian Kascha Directed graphs and variable selection
in large vector autoregressive models 223--246
Xiaofei Xu and
Yan Liu and
Masanobu Taniguchi Higher-order asymptotics of minimax
estimators for time series . . . . . . . 247--257
Anonymous Issue Information . . . . . . . . . . . 259--260
Anonymous Editorial announcement . . . . . . . . . 261--261
Donggyu Kim and
Minseok Shin Volatility models for stylized facts of
high-frequency financial data . . . . . 262--279
Farzad Sabzikar and
Piotr Kokoszka Tempered functional time series . . . . 280--293
Jose Olmo A nonparametric predictive regression
model using partitioning estimators
based on Taylor expansions . . . . . . . 294--318
Christos Merkatas and
Simo Särkkä System identification using
autoregressive Bayesian neural networks
with nonparametric noise models . . . . 319--330
Tamás Szabados Corrigendum to the article ``Regular
multidimensional stationary time
series'' . . . . . . . . . . . . . . . . 331--332
Anonymous Issue Information . . . . . . . . . . . 333--334
Robert Taylor Editorial announcement . . . . . . . . . 335--335
Torben Andersen and
Kim Christensen and
Ingmar Nolte Announcement: Call for Papers for
Special Issue in Honour of Stephen J.
Taylor . . . . . . . . . . . . . . . . . 336--336
Harry Pavlopoulos and
George Chronis On highly skewed fractional log-stable
noise sequences and their application 337--358
Eiji Kurozumi and
Anton Skrobotov On the asymptotic behavior of bubble
date estimators . . . . . . . . . . . . 359--373
Andrew Harvey and
Dario Palumbo Regime switching models for circular and
linear time series . . . . . . . . . . . 374--392
Abdelhakim Aknouche and
Stefanos Dimitrakopoulos Autoregressive conditional proportion: a
multiplicative-error model for $ (0,
1)$-valued time series . . . . . . . . . 393--417
Xiaoyan Li and
Jiazhu Pan and
Anchao Song Geometric ergodicity and conditional
self-weighted $M$-estimator of a
GRCAR($p$) model with heavy-tailed
errors . . . . . . . . . . . . . . . . . 418--436
Anonymous Issue Information . . . . . . . . . . . 437--438
Robert Taylor Editorial Announcement . . . . . . . . . 439--439
Marc Hallin and
Yoshihide Kakizawa and
Hira Koul Special Issue of the \booktitleJournal
of Time Series Analysis in Honor of
Professor Masanobu Taniguchi . . . . . . 440--441
Monika Bhattacharjee and
Nilanjan Chakraborty and
Hira L. Koul Weighted $ l_1$-Penalized Corrected
Quantile Regression for High-Dimensional
Temporally Dependent Measurement Errors 442--473
Shan Dai and
Ngai Hang Chan Testing of Constant Parameters for
Semi-Parametric Functional Coefficient
Models with Integrated Covariates . . . 474--486
Richard A. Davis and
Leon Fernandes and
Konstantinos Fokianos Clustering multivariate time series
using energy distance . . . . . . . . . 487--504
Holger Dette and
Pascal Quanz Detecting relevant changes in the
spatiotemporal mean function . . . . . . 505--532
Christian Francq and
Jean-Michel Zako\"\ian Optimal estimating function for weak
location-scale dynamic models . . . . . 533--555
Liudas Giraitis and
Fulvia Marotta Estimation on unevenly spaced time
series . . . . . . . . . . . . . . . . . 556--577
Marc Hallin and
Gilles Nisol and
Shahin Tavakoli Factor models for high-dimensional
functional time series I: Representation
results . . . . . . . . . . . . . . . . 578--600
Shahin Tavakoli and
Gilles Nisol and
Marc Hallin Factor models for high-dimensional
functional time series II: Estimation
and forecasting . . . . . . . . . . . . 601--621
Nan-Jung Hsu and
Lai Heng Sim and
Ruey S. Tsay Testing for symmetric correlation
matrices with applications to factor
models . . . . . . . . . . . . . . . . . 622--643
Sangyeol Lee and
Minyoung Jo Bivariate random coefficient
integer-valued autoregressive models:
Parameter estimation and change point
test . . . . . . . . . . . . . . . . . . 644--666
Daniel Peña and
Ruey S. Tsay A testing approach to clustering scalar
time series . . . . . . . . . . . . . . 667--685
Dag Tjòstheim and
Martin Jullum and
Anders Lòland Some recent trends in embeddings of time
series and dynamic networks . . . . . . 686--709
Anonymous Issue Information . . . . . . . . . . . 1--2
Robert Taylor Editorial announcement:
\booktitleJournal of Time Series
Analysis Distinguished Authors 2023 . . 3--3
Abdelhakim Aknouche and
Manuel G. Scotto A multiplicative thinning-based
integer-valued GARCH model . . . . . . . 4--26
Mark Holmes and
Ivan Kojadinovic and
Alex Verhoijsen Multi-purpose open-end monitoring
procedures for multivariate observations
based on the empirical distribution
function . . . . . . . . . . . . . . . . 27--56
Milena Hoyos A first order continuous time VAR with
random coefficients . . . . . . . . . . 57--77
Jiaqi Xia and
Yu Chen and
Xiao Guo Inference for high-dimensional linear
models with locally stationary error
processes . . . . . . . . . . . . . . . 78--102
Jean-Marc Bardet A new estimator for LARCH processes . . 103--132
Mikihito Nishi and
Eiji Kurozumi Stochastic local and moderate departures
from a unit root and its application to
unit root testing . . . . . . . . . . . 133--157
Tetsuya Takabatake Corrigendum: Error bounds and asymptotic
expansions for Toeplitz product
functionals of unbounded spectra . . . . 158--160
Anonymous Issue Information . . . . . . . . . . . 161--162
Robert Taylor Call for Papers: Special Issue on Recent
Developments in Time Series Methods for
Detecting Bubbles and Crashes . . . . . 163--163
Y. Boubacar Ma\"\inassara and
A. Ilmi Amir Portmanteau tests for periodic ARMA
models with dependent errors . . . . . . 164--188
Tao Wang Nonlinear kernel mode-based regression
for dependent data . . . . . . . . . . . 189--213
Yifan Li Correcting the bias of the sample
cross-covariance estimator . . . . . . . 214--247
Sòren Johansen and
Anders Rygh Swensen Adjustment coefficients and exact
rational expectations in cointegrated
vector autoregressive models . . . . . . 248--268
Lin Zhang and
Harry Joe and
Natalia Nolde Margin-closed vector autoregressive time
series models . . . . . . . . . . . . . 269--297
Simos Meintanis and
Bojana Milosevi\'c and
Marko Obradovi\'c and
Mirjana Veljovi\'c Goodness-of-fit tests for the
multivariate Student-$t$ distribution
based on i.i.d. data, and for GARCH
observations . . . . . . . . . . . . . . 298--319
Won-Ki Seo Functional principal component analysis
for cointegrated functional time series 320--330
Anonymous Issue Information . . . . . . . . . . . 331--332
Weilian Zhou and
Soumendra Lahiri Stationary Jackknife . . . . . . . . . . 333--360
Andreas Anastasiou and
Tobias Kley Wasserstein distance bounds on the
normal approximation of empirical
autocovariances and cross-covariances
under non-stationarity and stationarity 361--375
Yuchang Lin and
Qianqian Zhu On vector linear double autoregression 376--397
Hong-Fan Zhang Additive autoregressive models for
matrix valued time series . . . . . . . 398--420
Sophie Achard and
Ir\`ene Gannaz Local Whittle estimation with
(quasi-)analytic wavelets . . . . . . . 421--443
Neng-Fang Tseng and
Ying-Chao Hung and
Junji Nakano Granger causality tests based on reduced
variable information . . . . . . . . . . 444--462
Xinyu Zhang and
Dong Li Smooth transition moving average models:
Estimation, testing, and computation . . 463--478
Haeran Cho and
Piotr Fryzlewicz Multiple change point detection under
serial dependence: Wild contrast
maximisation and gappy Schwarz algorithm 479--494
Anonymous Issue Information . . . . . . . . . . . 495--496
Changryong Baek and
Piotr Kokoszka and
Xiangdong Meng Test of change point versus long-range
dependence in functional time series . . 497--512
Rong Jiang and
Siu Kai Choy and
Keming Yu Non-crossing quantile
double-autoregression for the analysis
of streaming time series data . . . . . 513--532
Huiling Yuan and
Kexin Lu and
Guodong Li and
Junhui Wang High-Frequency-Based Volatility Model
with Network Structure . . . . . . . . . 533--557
Yuping Song and
Min Zhu and
Jiawei Qiu Asymptotic Normality of Bias Reduction
Estimation for Jump Intensity Function
in Financial Markets . . . . . . . . . . 558--583
Mirko Armillotta and
Konstantinos Fokianos Count network autoregression . . . . . . 584--612
Jin Yu Fu and
Jin Guan Lin and
Guangying Liu and
Hong Xia Hao Statistical inference for
GQARCH--Itô-jumps model based on the
realized range volatility . . . . . . . 613--638
Hiroshi Shiraishi and
Tomoshige Nakamura and
Ryotato Shibuki Time Series Quantile Regression Using
Random Forests . . . . . . . . . . . . . 639--659
Vladimir Andric and
Sanja Nenadovic A note on the embeddability conditions
in the case of integrated $ {\rm
CARMA}(2, 1) $ stochastic process with
single and double zero roots . . . . . . 660--668
Anonymous Issue Information . . . . . . . . . . . 669--670
Nehali Mhatre and
Daniel Cooley Transformed-Linear Models for Time
Series Extremes . . . . . . . . . . . . 671--690
Jan Lohmeyer and
Franz Palm and
Jean-Pierre Urbain Consistency of averaged impulse response
estimators in vector autoregressive
models . . . . . . . . . . . . . . . . . 691--713
Shibin Zhang Statistical analysis of irregularly
spaced spatial data in frequency domain 714--738
Laya Ghodrati and
Victor M. Panaretos On distributional autoregression and
iterated transportation . . . . . . . . 739--770
Francesco Giordano and
Marcella Niglio and
Maria Lucia Parrella Testing Spatial Dynamic Panel Data
Models with Heterogeneous Spatial and
Regression Coefficients . . . . . . . . 771--799
Kejin Wu and
Dimitris N. Politis Bootstrap prediction inference of
nonlinear autoregressive models . . . . 800--822
Man Fai Ip and
Kin Wai Chan Inference in Coarsened Time Series via
Generalized Method of Moments . . . . . 823--846
Karsten Reichold A residual-based nonparametric variance
ratio no-cointegration test . . . . . . 847--856