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July 2016, Volume 37, Issue 4
- 555-574 Inference on a Structural Break in Trend with Fractionally Integrated Errors
by Seong Yeon Chang & Pierre Perron - 575-576 Time Series Modelling with Unobserved Components , by Matteo M. Pelagatti . Published by CRC Press , 2015 , pages: 257 . ISBN-13: 978-1-4822-2500-6
by Mohsen Pourahmadi
May 2016, Volume 37, Issue 3
- 291-314 Poisson QMLE of Count Time Series Models
by Ali Ahmad & Christian Francq - 315-336 Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series
by Roberto Baragona & Francesco Battaglia & Domenico Cucina - 337-354 Separation of Uncorrelated Stationary time series using Autocovariance Matrices
by Jari Miettinen & Katrin Illner & Klaus Nordhausen & Hannu Oja & Sara Taskinen & Fabian J. Theis - 355-368 A New Test for Checking the Equality of the Correlation Structures of two time Series
by Lei Jin & Suojin Wang - 369-404 Generalized Resampling Scheme With Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series
by Łukasz Lenart - 405-430 Filtering, Prediction and Simulation Methods for Noncausal Processes
by Christian Gourieroux & Joann Jasiak - 431-432 Quantitative 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)
by Johanna G. NešLehová
March 2016, Volume 37, Issue 2
- 147-164 An Unbiased Measure of Integrated Volatility in the Frequency Domain
by Fangfang Wang - 165-181 Bounds, Breaks and Unit Root Tests
by Josep Lluís Carrion-I-Silvestre & María Dolores Gadea - 182-194 A Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support
by Efstathios Paparoditis & Dimitris N. Politis - 195-221 Composite Quantile Periodogram for Spectral Analysis
by Yaeji Lim & Hee-Seok Oh - 222-239 Local Power of Fixed-T Panel Unit Root Tests With Serially Correlated Errors and Incidental Trends
by Yiannis Karavias & Elias Tzavalis - 240-266 Inference for the Fourth-Order Innovation Cumulant in Linear Time Series
by Maria Fragkeskou & Efstathios Paparoditis∗ - 267-287 Random environment integer-valued autoregressive process
by Aleksandar S. Nastić & Petra N. Laketa & Miroslav M. Ristić - 288-288 Statistics 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
by T. Subba Rao
January 2016, Volume 37, Issue 1
- 3-29 Testing for Stationarity in Multivariate Locally Stationary Processes
by Ruprecht Puchstein & Philip Preuß - 30-45 Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous-Time ARMA–GARCH-Type Models with Long Memory
by Holger Fink - 46-76 Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
by Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi - 77-98 A Goodness-of-Fit Test for Integer-Valued Autoregressive Processes
by Sebastian Schweer - 99-125 Testing for a Unit Root in Noncausal Autoregressive Models
by Pentti Saikkonen & Rickard Sandberg - 126-142 A Nonparametric Model for Stationary Time Series
by Isadora Antoniano-Villalobos & Stephen G. Walker - 143-144 Almost All About Unit Roots: Foundations, Developments, and Applications , by In Choi . Published by Cambridge University Press , Cambridge , 2015 . Total number of pages: 295. ISBN: 9781107482500 (paperback), price: 24.99£;(US$39.99) ISBN: 9781107097339 (hardback), price: 60.00£ (US$95.00)
by Y. Karavias
November 2015, Volume 36, Issue 6
- 783-796 Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities
by M. Azimmohseni & A. R. Soltani & M. Khalafi - 797-816 Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series
by Eric Ghysels & J. Isaac Miller - 817-838 A Gini Autocovariance Function for Time Series Modelling
by Marcel Carcea & Robert Serfling - 839-852 Zero-Modified Geometric INAR(1) Process for Modelling Count Time Series with Deflation or Inflation of Zeros
by Wagner Barreto-Souza - 853-875 Mixed-Norm Spaces and Prediction of SαS Moving Averages
by Raymond Cheng & Charles B. Harris - 876-887 On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes
by Christian Gouriéroux & Jean-Michel Zakoïan
September 2015, Volume 36, Issue 5
- 601-602 Introduction to the JTSA John Nankervis Memorial Issue
by Neil Kellard & Denise Osborn & Jerry Coakley & Neil Kellard & Denise Osborn & Jerry Coakley - 603-629 Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics
by Neil Kellard & Denise Osborn & Jerry Coakley & Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 630-649 Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data
by Neil Kellard & Denise Osborn & Jerry Coakley & Marcus J. Chambers - 650-652 Papers with John on the Demand for Mail
by Neil Kellard & Denise Osborn & Jerry Coakley & Frank Rodriguez & Soterios Soteri & Leticia Veruete-McKay - 653-662 Double Bootstrap Confidence Intervals in the Two-Stage DEA Approach
by Neil Kellard & Denise Osborn & Jerry Coakley & Dimitris K. Chronopoulos & Claudia Girardone & John C. Nankervis - 663-671 Papers with John
by Neil Kellard & Denise Osborn & Jerry Coakley & Nathan E. (Gene) Savin - 672-686 Testing for Predictability in Financial Returns Using Statistical Learning Procedures
by Neil Kellard & Denise Osborn & Jerry Coakley & Imanol Arrieta-ibarra & Ignacio N. Lobato - 687-705 Generalized Variance-Ratio Tests in the Presence of Statistical Dependence
by Neil Kellard & Denise Osborn & Jerry Coakley & John C. Nankervis & Periklis Kougoulis & Jerry Coakley - 706-720 On the Transmission of Memory in Garch-in-Mean Models
by Neil Kellard & Denise Osborn & Jerry Coakley & Christian Conrad & Menelaos Karanasos - 721-740 Bias Correction of Persistence Measures in Fractionally Integrated Models
by Neil Kellard & Denise Osborn & Jerry Coakley & Simone D. Grose & Gael M. Martin & Donald S. Poskitt - 741-762 Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares
by Neil Kellard & Denise Osborn & Jerry Coakley & Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas - 763-782 Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices
by Neil Kellard & Denise Osborn & Jerry Coakley & Isabel Figuerola-Ferretti & Christopher L. Gilbert & J. Roderick McCrorie
July 2015, Volume 36, Issue 4
- 503-527 Infinitely Divisible Distributions in Integer-Valued Garch Models
by E. Gonçalves & N. Mendes-Lopes & F. Silva - 528-540 Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration
by Javier Hualde & Fabrizio Iacone - 541-561 Estimation in Functional Lagged Regression
by Siegfried Hörmann & Łukasz Kidziński & Piotr Kokoszka - 562-586 The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending
by Marcus J. Chambers - 587-598 A Quantile-based Test for Symmetry of Weakly Dependent Processes
by Zacharias Psaradakis & Marián Vávra - 599-600 Dependence 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)
by Alexander J. Mcneil
May 2015, Volume 36, Issue 3
- 269-271 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek - 272-289 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - 290-314 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Paul Doukhan & Gabriel Lang & Anne Leucht & Michael H. Neumann - 315-326 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Srijan Sengupta & Xiaofeng Shao & Yingchuan Wang - 327-351 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Dominique Dehay & Anna E. Dudek - 352-376 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Michael Wolf & Dan Wunderli - 377-397 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Marco Meyer & Jens-Peter Kreiss - 398-415 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Stephan Smeekes - 416-441 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Carsten Jentsch & Dimitris N. Politis & Efstathios Paparoditis - 442-461 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Karl B. Gregory & Soumendra N. Lahiri & Daniel J. Nordman - 462-480 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Patrice Bertail & Stéphan Clémençon & Jessica Tressou - 481-502 Recent developments in bootstrap methods for dependent data
by Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Antoine Djogbenou & Sílvia Gonçalves & Benoit Perron
March 2015, Volume 36, Issue 2
- 127-153 Tests for Volatility Shifts in Garch Against Long-Range Dependence
by Taewook Lee & Moosup Kim & Changryong Baek - 154-188 Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models
by Morten Ørregaard Nielsen - 189-208 Wavelet-Based Tests for Comparing Two Time Series with Unequal Lengths
by Jonathan Decowski & Linyuan Li - 209-227 Signal Extraction for Non-Stationary Multivariate Time Series with Illustrations for Trend Inflation
by Tucker McElroy & Thomas Trimbur - 228-246 Vine Copula Specifications for Stationary Multivariate Markov Chains
by Brendan K. Beare & Juwon Seo - 247-266 A Gaussian Mixture Autoregressive Model for Univariate Time Series
by Leena Kalliovirta & Mika Meitz & Pentti Saikkonen - 267-268 Time 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 (ebook)
by Barry G. Quinn
January 2015, Volume 36, Issue 1
- 1-25 Definitions And Representations Of Multivariate Long-Range Dependent Time Series
by Stefanos Kechagias & Vladas Pipiras - 26-38 Hypothesis Testing For Arch Models: A Multiple Quantile Regressions Approach
by Seonjin Kim - 39-60 A Joint Portmanteau Test For Conditional Mean And Variance Time-Series Models
by Carlos Velasco & Xuexin Wang - 61-66 Inference For A Special Bilinear Time-Series Model
by Shiqing Ling & Liang Peng & Fukang Zhu - 67-83 On Weighted Portmanteau Tests For Time-Series Goodness-Of-Fit
by Colin M. Gallagher & Thomas J. Fisher - 84-108 Testing Equality Of Means When The Observations Are From Functional Time Series
by Lajos Horváth & Gregory Rice - 109-124 On Self-Normalization For Censored Dependent Data
by Yinxiao Huang & Stanislav Volgushev & Xiaofeng Shao - 125-125 DISCRETE 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
by Brendan McCabe
November 2014, Volume 35, Issue 6
- 491-516 Efficient Method Of Moments Estimators For Integer Time Series Models
by Vance L. Martin & Andrew R. Tremayne & Robert C. Jung - 517-535 Robust Fitting Of Inarch Models
by Hanan Elsaied & Roland Fried - 536-557 A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model
by Stelios Arvanitis - 558-571 Time-series models with an EGB2 conditional distribution
by Michele Caivano & Andrew Harvey - 572-591 Non-Parametric Estimation Of High-Frequency Spot Volatility For Brownian Semimartingale With Jumps
by Chao Yu & Yue Fang & Zeng Li & Bo Zhang & Xujie Zhao - 592-623 Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions
by Offer Lieberman & Peter C. B. Phillips - 624-639 Analysis Of The Likelihood Function For Markov-Switching Var(Ch) Models
by Maddalena Cavicchioli - 640-641 Randall Douc , Eric Moulines and David S. Stoffer ( 2014 ) Nonlinear Time Series—Theory, Methods and Applications with R Examples . CRC Press , UK (A Chapman & Hall Book). Texts in Statistical Science. ISBN: 978-1-4665-0225-3 pages 531
by T Subba Rao
August 2014, Volume 35, Issue 5
- 393-406 Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance
by Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea - 407-427 Efficient Non-Parametric Estimation Of The Spectral Density In The Presence Of Missing Observations
by Sam Efromovich - 428-436 A Fast Fractional Difference Algorithm
by Andreas Noack Jensen & Morten Ørregaard Nielsen - 437-461 Semi-Parametric Estimation Of Linear Cointegrating Models With Nonlinear Contemporaneous Endogeneity
by Yiguo Sun - 462-477 A Parameter-Driven Logit Regression Model For Binary Time Series
by Rongning Wu & Yunwei Cui - 478-490 Significant Variable Selection And Autoregressive Order Determination For Time-Series Partially Linear Models
by Degao Li & Guodong Li & Jinhong You
July 2014, Volume 35, Issue 4
- 299-321 A Hybrid Bootstrap Approach To Unit Root Tests
by Guodong Li & Chenlei Leng & Chih-Ling Tsai - 322-340 Quantile Periodogram And Time-Dependent Variance
by Ta-Hsin Li - 341-356 Modelling For The Wavelet Coefficients Of Arfima Processes
by Kei Nanamiya - 357-377 A Frequency Domain Approach For The Estimation Of Parameters Of Spatio-Temporal Stationary Random Processes
by Tata Subba Rao & Sourav Das & Georgi N. Boshnakov - 378-389 Efficient Estimation For Periodic Autoregressive Coefficients Via Residuals
by L. Tang & Q. Shao - 390-392 LONG-MEMORY PROCESSES: PROBABILISTIC PROPERTIES AND STATISTICAL METHODS , by Jan Beran , Yuanhua Feng , Sucharita Ghosh , and Rafal Kulik . Published by Springer London , 2013 . Total number of pages: 884. ISBN: 978-3-642-35511-0 (print), 978-3-642-35512-7 (online)
by GY Terdik
May 2014, Volume 35, Issue 3
- 189-202 Non-Stationarity And Quasi-Maximum Likelihood Estimation On A Double Autoregressive Model
by Min Chen & Dong Li & Shiqing Ling - 203-217 Portmanteau Autocorrelation Tests Under Q-Dependence And Heteroskedasticity
by David Harris & Hsein Kew - 218-238 Transformed Polynomials For Nonlinear Autoregressive Models Of The Conditional Mean
by Francisco Blasques - 239-261 On-Line Monitoring Of Pollution Concentrations With Autoregressive Moving Average Time Series
by Christopher Dienes & Alexander Aue - 262-281 Estimation Of Autocovariance Matrices For Infinite Dimensional Vector Linear Process
by Monika Bhattacharjee & Arup Bose - 282-297 Unified Interval Estimation For Random Coefficient Autoregressive Models
by Jonathan Hill & Liang Peng
March 2014, Volume 35, Issue 2
- 79-88 A Flexible State Space Model And Its Applications
by Hang Qian - 89-114 A Generalized Block Bootstrap For Seasonal Time Series
by Anna E. Dudek & Jacek Leśkow & Efstathios Paparoditis & Dimitris N. Politis - 115-132 Binomial Autoregressive Processes With Density-Dependent Thinning
by Christian H. Weiß & Philip K. Pollett - 133-150 Asymptotic Inferences For An Ar(1) Model With A Change Point: Stationary And Nearly Non-Stationary Cases
by Tianxiao Pang & Danna Zhang & Terence Tai-Leung Chong - 151-172 Studentizing Weighted Sums Of Linear Processes
by Violetta Dalla & Liudas Giraitis & Hira L. Koul - 173-186 Determining The Number Of Regimes In Markov Switching Var And Vma Models
by Maddalena Cavicchioli - 187-188 Dynamic Models For Volatility And Heavy Tails: With Applications To Financial And Economic Time Series, By A. C. Harvey. Published By Cambridge University Press, 2013 New York, Usa. Total Number Of Pages: 261. Price: $36.99. Isbn: 978-1-107-63002-4
by Alastair R. Hall
January 2014, Volume 35, Issue 1
- 1-3 Obituary
by T. Subba Rao & Granville Tunnicliffe-Wilsont - 4-15 Non-Parametric Estimation Under Strong Dependence
by Zhibiao Zhao & Yiyun Zhang & Runze Li - 16-39 Contemporaneous Aggregation Of Triangular Array Of Random-Coefficient Ar(1) Processes
by Anne Philippe & Donata Puplinskaite & Donatas Surgailis - 40-54 A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION
by Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor - 55-78 Quasi-Likelihood Inference For Negative Binomial Time Series Models
by Vasiliki Christou & Konstantinos Fokianos
November 2013, Volume 34, Issue 6
- 605-605 Editorial Announcement
by Robert Taylor - 606-624 On Mixture Memory Garch Models
by Muyi Li & Wai Keung Li & Guodong Li - 625-645 A Non-Gaussian Family Of State-Space Models With Exact Marginal Likelihood
by Dani Gamerman & Thiago Rezende Santos & Glaura C. Franco - 646-667 Bootstrap For Random Coefficient Autoregressive Models
by Thorsten Fink & Jens-Peter Kreiss - 668-690 Two-Step Estimation Of A Multi-Variate Lévy Process
by Habib Esmaeili & Claudia Klüppelberg - 691-716 Frequency domain generalized empirical likelihood method
by Yoshihide Kakizawa - 717-743 Multivariate Limit Theorems In The Context Of Long-Range Dependence
by Shuyang Bai & Murad S. Taqqu - 744-744 Bayesian theory and applications , by Paul Damien , Petros Dellaportas , Nicholas G. Polson and David A. Stephens (eds). Published by Oxford University Press , 2013 . Total number of pages: xiii+702. ISBN 9780199695607
by Peter Neal - 745-746 Time series modeling of neuroscience data , by Tohru Ozaki , published by CRC Press , 2012 . Total number of pages: 548. Price: US $71.46. ISBN 978-1-4200-9460-2
by Hernando Ombao
September 2013, Volume 34, Issue 5
- 517-531 Estimation of stationary autoregressive models with the Bayesian LASSO
by Daniel F. Schmidt & Enes Makalic - 532-551 Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes
by Vicky Fasen & Florian Fuchs - 552-561 Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
by Michael A. Thornton & Marcus J. Chambers - 562-573 Effect of temporal aggregation on multiple time series in the frequency domain
by Uwe Hassler - 574-590 Transformation to approximate independence for locally stationary Gaussian processes
by Joseph Guinness & Michael L. Stein - 591-601 Regulated fractionally integrated processes
by Mirza Trokić - 602-603 Domenico Marinucci and Giovanni Peccati , Random Fields on the Sphere: Representation, Limit Theorems and Cosmological Applications London Mathematical Society Lecture Notes Series 389 . Published by the Cambridge University Press , Cambridge , 2011 . Number of pages: 341 . Price £40.00, ISBN 978-0-521-17561-6
by Nikolai Leonenko
July 2013, Volume 34, Issue 4
- 423-446 Inference for single and multiple change-points in time series
by Venkata Jandhyala & Stergios Fotopoulos & Ian MacNeill & Pengyu Liu - 447-453 Gaussian inference in general AR(1) models based on difference
by Jhih-Gang Chen & Biing-Shen Kuo - 454-465 A bootstrap test for additive outliers in non-stationary time series
by Sam Astill & David I. Harvey & A. M. Robert Taylor - 466-476 A geometric time series model with dependent Bernoulli counting series
by Miroslav M. Ristić & Aleksandar S. Nastić & Ana V. Miletić Ilić - 477-495 A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
by Joakim Westerlund - 496-507 Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications
by Pierre Duchesne & Pierre Lafaye de Micheaux - 508-516 Inference for non-stationary time-series autoregression
by Zhou Zhou
May 2013, Volume 34, Issue 3
- 285-301 Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
by Adam McCloskey - 302-314 Robust estimation for copula Parameter in SCOMDY models
by Byungsoo Kim & Sangyeol Lee - 315-329 Score statistics for testing serial dependence in count data
by Jiajing Sun & Brendan P. McCabe - 330-344 A class of optimal tests for contemporaneous non-causality in VAR models
by Maria Caterina Bramati - 345-361 Nonparametric regression with rescaled time series errors
by José E. Figueroa-López & Michael Levine - 362-367 A note on non-parametric testing for Gaussian innovations in AR–ARCH models
by Natalie Neumeyer & Leonie Selk - 368-384 Unit root testing with stationary covariates and a structural break in the trend function
by Sebastian Fossati - 385-404 High-frequency sampling and kernel estimation for continuous-time moving average processes
by Peter J. Brockwell & Vincenzo Ferrazzano & Claudia Klüppelberg - 405-421 Modelling long-run trends and cycles in financial time series data
by Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana - 422-422 STATISTICAL METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS . Edited by, Mathieu Kessler , Alexander Lindner and Michael Sørensen . Publishers CRC Press, Taylor & Francis Group . London , ISBN 978-1-4398-4940-8 . 483 pages
by Tusheng Zhang
March 2013, Volume 34, Issue 2
- 139-140 Editorial
by Robert Taylor - 141-155 Moment tests for window length selection in singular spectrum analysis of short– and long–memory processes
by Md Atikur Rahman Khan & D. S. Poskitt - 156-167 Integration of CARMA processes and spot volatility modelling
by Peter Brockwell & Alexander Lindner - 168-186 Least tail-trimmed squares for infinite variance autoregressions
by Jonathan B. Hill - 187-193 Forecasting with prediction intervals for periodic autoregressive moving average models
by Paul L. Anderson & Mark M. Meerschaert & Kai Zhang - 194-205 Estimation of vector error correction models with mixed-frequency data
by Byeongchan Seong & Sung K. Ahn & Peter A. Zadrozny - 206-220 On composite likelihood estimation of a multivariate INAR(1) model
by Xanthi Pedeli & Dimitris Karlis - 221-229 CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
by Dominik Wied - 230-237 A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
by Ke. Zhu - 238-261 Weak identification in the ESTAR model and a new model
by Florian Heinen & Stefanie Michael & Philipp Sibbertsen - 262-279 Empirical determination of the frequencies of an almost periodic time series
by D. Dehay & H. L. Hurd - 280-280 Spatial statistics and spatio-temporal data
by T Subba Rao - 281-281 Climate Time Series Analysis: Classical Statistical and Bootstrap Methods
by Andrew C. Parnell - 282-283 Economic Time Series: Modeling and Seasonality
by Alastair R. Hall
January 2013, Volume 34, Issue 1
- 1-16 Structural breaks in time series
by Alexander Aue & Lajos Horváth - 17-29 Testing for parameter constancy in non-Gaussian time series
by Lu Han & Brendan McCabe - 30-39 Optimal convergence rates in non-parametric regression with fractional time series errors
by Yuanhua Feng & Jan Beran - 40-61 The power of unit root tests against nonlinear local alternatives
by Matei Demetrescu & Robinson Kruse - 62-82 Recursive adjustment, unit root tests and structural breaks
by Paulo M. M. Rodrigues - 83-95 Combining non-cointegration tests
by Christian Bayer & Christoph Hanck - 96-115 Estimation for non-negative time series with heavy-tail innovations
by A. Bartlett & W. P. McCormick - 116-129 Determining the order of the functional autoregressive model
by Piotr Kokoszka & Matthew Reimherr - 130-137 Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model
by Sugata Sen Roy & Sankha Bhattacharya - 138-138 Book Review
by Plotr S. Kokoszka
November 2012, Volume 33, Issue 6
- 863-872 Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
by Naoya Katayama - 873-879 A note on moving-average models with feedback
by Dong Li - 880-891 Least squares estimation of ARCH models with missing observations
by Pascal Bondon & Natalia Bahamonde - 892-902 A Family of Markov-Switching Garch Processes
by Ji-Chun Liu - 903-915 A mixed INAR(p) model
by Miroslav M. Ristić & Aleksandar S. Nastić - 916-934 Non-stationary autoregressive processes with infinite variance
by Ngai Hang Chan & Rongmao Zhang - 935-953 Subsampling inference for the autocovariances and autocorrelations of long-memory heavy- tailed linear time series
by Tucker McElroy & Agnieszka Jach - 954-963 First-order integer valued AR processes with zero inflated poisson innovations
by Mansour Aghababaei Jazi & Geoff Jones & Chin-Diew Lai - 964-964 Book Review
by K. F. Turkman
September 2012, Volume 33, Issue 5
- 701-703 Editorial: Special issue on time series analysis in the biological sciences
by David S. Stoffer & Hernando Ombao - 704-717 Autocovariance structures for radial averages in small-angle X-ray scattering experiments
by F. Jay Breidt & Andreea Erciulescu & Mark van der Woerd - 718-723 The Nicholson blowfly experiments: some history and EDA
by David R. Brillinger - 724-743 Statistical challenges in microrheology
by Gustavo Didier & Scott A. McKinley & David B. Hill & John Fricks - 744-756 Biological applications of time series frequency domain clustering
by Konstantinos Fokianos & Vasilis J. Promponas - 757-770 Changepoints in times series of counts
by Jürgen Franke & Claudia Kirch & Joseph Tadjuidje Kamgaing - 771-778 Exploring dependence between brain signals in a monkey during learning
by Cristina Gorrostieta & Hernando Ombao & Raquel Prado & Shaun Patel & Emad Eskandar - 779-796 Modelling the nonlinear time dynamics of multidimensional hormonal systems
by Daniel M. Keenan & Xin Wang & Steven M. Pincus & Johannes D. Veldhuis - 797-806 Enveloping spectral surfaces: covariate dependent spectral analysis of categorical time series
by Robert T. Krafty & Shuangyan Xiong & David S. Stoffer & Daniel J. Buysse & Martica Hall - 807-823 Quantifying the uncertainty in change points
by Christopher F. H. Nam & John A. D. Aston & Adam M. Johansen - 824-840 A test for independence between a point process and an analogue signal
by Victor Solo & Ahmed Pasha - 841-849 A state space model approach for HIV infection dynamics
by Jiabin Wang & Hua Liang & Rong Chen - 850-862 Spectral-based non-central F mixed effect models, with application to otoacoustic emissions
by Lai Wei & Peter F. Craigmile & Wayne M. King
July 2012, Volume 33, Issue 4
- 533-541 Limiting distribution of the score statistic under moderate deviation from a unit root in MA(1)
by Ryota Yabe - 542-553 Maximum likelihood estimation for nearly non-stationary stable autoregressive processes
by Rong-Mao Zhang & Ngai Hang Chan - 554-569 Change point detection in copula ARMA–GARCH Models
by Okyoung Na & Jiyeon Lee & Sangyeol Lee - 570-582 Strictly stationary solutions of ARMA equations with fractional noise
by Bernd Vollenbröker - 583-607 Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes
by Rodney A. Martin - 608-619 Time-series clustering via quasi U-statistics
by Marcio Valk & Aluísio Pinheiro