Last update: Sat Oct 12 09:02:49 MDT 2024
Volume 1, Number 1, January, 1980Hirotugu 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 \booktitleJournal of Time Series 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