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Wiley-Blackwell: Journal of Time Series Analysis
4,238 Total downloads
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Showing Papers 1 - 50 of 501
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High‐Frequency Sampling and Kernel Estimation for Continuous‐Time Moving Average Processes Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 385-404, 2013
Peter Brockwell ,
Vincenzo Ferrazzano and
Claudia Klüppelberg
Date Posted: April 26, 2013
Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 368-384, 2013
Sebastian Fossati
Date Posted: April 26, 2013
A Class of Optimal Tests for Contemporaneous Non‐Causality in VAR Models Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 330-344, 2013
Maria Caterina Bramati
Date Posted: April 26, 2013
A Note on Non‐Parametric Testing for Gaussian Innovations in AR–Arch Models Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 362-367, 2013
Natalie Neumeyer and
Leonie Selk
Date Posted: April 26, 2013
Estimation of the Long‐Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 285-301, 2013
Adam McCloskey
Date Posted: April 26, 2013
Modelling Long‐Run Trends and Cycles in Financial Time Series Data Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 405-421, 2013
Guglielmo Maria Caporale ,
Juncal Cuñado and
Luis A. Gil‐Alana
Date Posted: April 26, 2013
Nonparametric Regression with Rescaled Time Series Errors Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 345-361, 2013
José E. Figueroa‐López and
Michael Levin
Date Posted: April 26, 2013
Robust Estimation for Copula Parameter in SCOMDY Models Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 302-314, 2013
Byungsoo Kim and
Sangyeol Lee
Date Posted: April 26, 2013
Score Statistics for Testing Serial Dependence in Count Data Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 315-329, 2013
Jiajing Sun and
Brendan P.M. McCabe
Date Posted: April 26, 2013
A Mixed Portmanteau Test for ARMA‐GARCH Models by the Quasi‐Maximum Exponential Likelihood Estimation Approach Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 230-237, 2013
Ke. Zhu
affiliation not provided to SSRN
Date Posted: February 22, 2013
CUSUM‐Type Testing for Changing Parameters in a Spatial Autoregressive Model for Stock Returns Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 221-229, 2013
Dominik Wied
Date Posted: February 22, 2013
Empirical Determination of the Frequencies of an Almost Periodic Time Series Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 262-279, 2013
D. Dehay and
H. L. Hurd
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: February 22, 2013
Estimation of Vector Error Correction Models with Mixed‐Frequency Data Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 194-205, 2013
Byeongchan Seong ,
Sung K. Ahn
and
Peter A. Zadrozny
affiliation not provided to SSRN
and
U.S. Bureau of Labor Statistics - Department of Labor
Date Posted: February 22, 2013
Forecasting with Prediction Intervals for Periodic Autoregressive Moving Average Models Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 187-193, 2013
Paul L. Anderson
,
Mark M. Meerschaert
and
Kai Zhang
affiliation not provided to SSRN
Date Posted: February 22, 2013
Integration of Carma Processes and Spot Volatility Modelling Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 156-167, 2013
Peter Brockwell and
Alexander Lindner
affiliation not provided to SSRN
Date Posted: February 22, 2013
Least Tail‐Trimmed Squares for Infinite Variance Autoregressions Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 168-186, 2013
Jonathan B. Hill
affiliation not provided to SSRN
Date Posted: February 22, 2013
Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short– and Long–Memory Processes Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 141-155, 2013
Md Atikur Rahman Khan and
D. S. Poskitt
affiliation not provided to SSRN
and
Monash University - Department of Econometrics & Business Statistics
Date Posted: February 22, 2013
On Composite Likelihood Estimation of a Multivariate INAR(1) Model Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 206-220, 2013
Xanthi Pedeli and
Dimitris Karlis
affiliation not provided to SSRN
and
Athens University of Economics and Business
Date Posted: February 22, 2013
Weak Identification in the ESTAR Model and a New Model Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 238-261, 2013
Florian Heinen ,
Stefanie Michael and
Philipp Sibbertsen
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
University of Hannover
Date Posted: February 22, 2013
Combining Non‐Cointegration Tests Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 83-95, 2013
Christian Bayer
and
Christoph Hanck
Date Posted: December 23, 2012
Determining the Order of the Functional Autoregressive Model Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 116-129, 2013
Piotr Kokoszka
and
Matthew Reimherr
affiliation not provided to SSRN
Date Posted: December 23, 2012
Estimation for Non‐Negative Time Series with Heavy‐Tail Innovations Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 96-115, 2013
A. Bartlett and
W. P. McCormick
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: December 23, 2012
Optimal Convergence Rates in Non‐Parametric Regression with Fractional Time Series Errors Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 30-39, 2013
Yuanhua Feng
and
Jan Beran
affiliation not provided to SSRN
Date Posted: December 23, 2012
Rate of Convergence in the Central Limit Theorem for Parameter Estimation in a Causal, Invertible Arma(P, Q) Model Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 130-137, 2013
Sugata Sen Roy and
Sankha Bhattacharya
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: December 23, 2012
Recursive Adjustment, Unit Root Tests and Structural Breaks Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 62-82, 2013
Paulo M.M. Rodrigues
Date Posted: December 23, 2012
Structural Breaks in Time Series Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 1-16, 2013
Alexander Aue
and
Lajos Horváth
affiliation not provided to SSRN
Date Posted: December 23, 2012
Testing for Parameter Constancy in Non‐Gaussian Time Series Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 17-29, 2013
Lu Han
and
Brendan P.M. McCabe
Date Posted: December 23, 2012
The Power of Unit Root Tests Against Nonlinear Local Alternatives Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 40-61, 2013
Matei Demetrescu and
Robinson Kruse
Date Posted: December 23, 2012
A Family of Markov‐Switching GARCH Processes Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 892-902, 2012
Ji-Chun Liu
affiliation not provided to SSRN
Date Posted: October 17, 2012
A Mixed INAR(p) Model Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 903-915, 2012
Miroslav M. Ristić and
Aleksandar S. Nastić
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: October 17, 2012
First‐Order Integer Valued AR Processes with Zero Inflated Poisson Innovations Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 954-963, 2012
Mansour Aghababaei Jazi ,
Geoff Jones and
Chin‐Diew Lai
affiliation not provided to SSRN
,
Massey University - School of Accountancy
and
affiliation not provided to SSRN
Date Posted: October 17, 2012
Non‐Stationary Autoregressive Processes with Infinite Variance Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 916-934, 2012
Ngai Hang Chan and
Rong‐Mao Zhang
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: October 17, 2012
Subsampling Inference for the Autocovariances and Autocorrelations of Long‐Memory Heavy‐Tailed Linear Time Series Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 935-953, 2012
Tucker McElroy and
Agnieszka Jach
affiliation not provided to SSRN
Date Posted: October 17, 2012
A Note on Moving‐Average Models with Feedback Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 873-879, 2012
Dong Li
Date Posted: October 17, 2012
Chi‐Squared Portmanteau Tests for Structural VARMA Models with Uncorrelated Errors Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 863-872, 2012
Naoya Katayama
affiliation not provided to SSRN
Date Posted: October 17, 2012
Least Squares Estimation of ARCH Models with Missing Observations Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 880-891, 2012
Pascal Bondon and
Natalia Bahamonde
affiliation not provided to SSRN
Date Posted: October 17, 2012
A State Space Model Approach for HIV Infection Dynamics Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 841-849, 2012
Jiabin Wang
,
Hua Liang
and
Rong Chen
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: August 30, 2012
A Test for Independence between a Point Process and an Analogue Signal Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 824-840, 2012
Victor Solo
and
Ahmed Pasha
affiliation not provided to SSRN
Date Posted: August 30, 2012
Autocovariance Structures for Radial Averages in Small‐Angle X‐Ray Scattering Experiments Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 704-717, 2012
F. Jay Breidt ,
Andreea Erciulescu and
Mark van der Woerd
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: August 30, 2012
Biological Applications of Time Series Frequency Domain Clustering Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 744-756, 2012
Konstantinos Fokianos
and
Vasilis J. Promponas
affiliation not provided to SSRN
Date Posted: August 30, 2012
Changepoints in Times Series of Counts Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 757-770, 2012
Jürgen Franke
,
Claudia Kirch and
Joseph Tadjuidje Kamgaing
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: August 30, 2012
Enveloping Spectral Surfaces: Covariate Dependent Spectral Analysis of Categorical Time Series Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 797-806, 2012
Robert T. Krafty ,
Shuangyan Xiong
,
David Stoffer
,
Daniel J. Buysse and
Martica Hall
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
University of Pittsburgh - Department of Statistics
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: August 30, 2012
Exploring Dependence between Brain Signals in a Monkey During Learning Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 771-778, 2012
Cristina Gorrostieta ,
Hernando Ombao ,
Raquel Prado
,
Shaun Patel and
Emad Eskandar
affiliation not provided to SSRN
,
University of Illinois at Urbana-Champaign - Department of Statistics
,
Universidad Simon Bolivar
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: August 30, 2012
Modelling the Nonlinear Time Dynamics of Multidimensional Hormonal Systems Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 779-796, 2012
Daniel Keenan
,
Xin Wang
,
Steven Pincus and
Johannes D. Veldhuis
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: August 30, 2012
Quantifying the Uncertainty in Change Points Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 807-823, 2012
Christopher F. H. Nam ,
John A.D. Aston
and
Adam M. Johansen
affiliation not provided to SSRN
,
University of Warwick
and
affiliation not provided to SSRN
Date Posted: August 30, 2012
Spectral‐Based Non‐Central F Mixed Effect Models, with Application to Otoacoustic Emissions Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 850-862, 2012
Lai Wei
,
Peter F. Craigmile
and
Wayne King
affiliation not provided to SSRN
,
Ohio State University - Department of Statistics
and
affiliation not provided to SSRN
Date Posted: August 30, 2012
Statistical Challenges in Microrheology Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 724-743, 2012
Gustavo Didier ,
Scott A. McKinley ,
David Hill
and
John Fricks
affiliation not provided to SSRN
,
University of North Carolina (UNC) at Chapel Hill
and
affiliation not provided to SSRN
Date Posted: August 30, 2012
The Nicholson Blowfly Experiments: Some History and EDA Journal of Time Series Analysis, Vol. 33, Issue 5, pp. 718-723, 2012
David R. Brillinger
affiliation not provided to SSRN
Date Posted: August 30, 2012
Maximum Likelihood Estimation for Nearly Non‐Stationary Stable Autoregressive Processes Journal of Time Series Analysis, Vol. 33, Issue 4, pp. 542-553, 2012
Rong‐Mao Zhang and
Ngai Hang Chan
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: June 19, 2012
A New Bayesian Approach to Quantile Autoregressive Time Series Model Estimation and Forecasting Journal of Time Series Analysis, Vol. 33, Issue 4, pp. 684-698, 2012
Yuzhi Cai ,
Julian Stander and
Neville Davies
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: June 15, 2012
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