Journal of Time Series Analysis
SCOPUS (1980-2025)SCIE-ISI
0143-9782
1467-9892
Mỹ
Cơ quản chủ quản: Wiley-Blackwell , WILEY
Lĩnh vực:
Statistics and ProbabilityApplied MathematicsStatistics, Probability and Uncertainty
Các bài báo tiêu biểu
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
Tập 1 Số 1 - Trang 15-29 - 1980
Abstract. The idea of fractional differencing is introduced in terms of the
infinite filter that corresponds to the expansion of (1‐B)d. When the filter is
applied to white noise, a class of time series is generated with distinctive
properties, particularly in the very low frequencies and provides potentially
useful long‐memory forecasting properties. Such models are shown to possibly
arise from a...
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
Tập 4 Số 4 - Trang 221-238 - 1983
Abstract. The definitions of fractional Gaussian noise and integrated (or
fractionally differenced) series are generalized, and it is shown that the two
concepts are equivalent. A new estimator of the long memory parameter in these
models is proposed, based on the simple linear regression of the log periodogram
on a deterministic regressor. The estimator is the ordinary least squares
estimator of ...
Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework
Tập 19 Số 3 - Trang 267-283 - 1998
A new test is proposed for cointegration in a single‐equation framework where
the regressors are weakly exogenous for the parameters of interest. The test is
denoted as an error‐correction mechanism (ECM) test and is based upon the
ordinary least squares coefficient of the lagged dependent variable in an
autoregressive distributed lag model augmented with leads of the regressors. The
limit distrib...
AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
Tập 3 Số 4 - Trang 253-264 - 1982
Abstract. An approach to smoothing and forecasting for time series with missing
observations is proposed. For an underlying state‐space model, the EM algorithm
is used in conjunction with the conventional Kalman smoothed estimators to
derive a simple recursive procedure for estimating the parameters by maximum
likelihood. An example is given which involves smoothing and forecasting an
economic ser...
DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS
Tập 4 Số 4 - Trang 269-273 - 1983
Abstract. Squared‐residual autocorrelations have been found useful in detecting
nonlinear types of statistical dependence in the residuals of fitted
autoregressive‐moving average (ARMA) models (Granger and Andersen, 1978; Miller,
1979). In this note it is shown that the normalized squared‐residual
autocorrelations are asymptotically unit multivariate normal. The results of a
simulation experiment ...
TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
Tập 3 Số 3 - Trang 169-176 - 1982
Abstract. Stable autoregressive (AR) and autoregressive moving average (ARMA)
processes belong to the class of stationary linear time series. A linear time
series {} is Gaussian if the distribution of the independent innovations {ε(t)}
is normal. Assuming that Eε(t) = 0, some of the third‐order cumulants
cxxx=Ex(t)x(t+m)x(t+n) will be non‐zero if the ε(t) are not normal and Eε3(t)≠O.
If the relati...
ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
Tập 7 Số 3 - Trang 179-190 - 1986
Abstract. The problem of estimating the threshold parameter, i.e., the change
point, of a threshold autoregressive model is studied. By introducing smoothness
into the model, sampling properties of the conditional least‐squares estimate
may be obtained. Artificial and real data are used for illustrations.
MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
Tập 17 Số 6 - Trang 571-599 - 1996
Abstract. Local high‐order polynomial fitting is employed for the estimation of
the multivariate regression function m(x1,…xd) =E{φ(Yd)φX1=x1,…,Xd=xd}, and of
its partial derivatives, for stationary random processes {Yi, Xi}. The function
φ may be selected to yield estimates of the conditional mean, conditional
moments and conditional distributions. Uniform strong consistency over compact
subsets ...
ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
Tập 15 Số 6 - Trang 627-636 - 1994
Abstract. Time series with a changing conditional variance have been found
useful in many applications. Residual autocorrelations from traditional
autoregressive moving‐average models have been found useful in model diagnostic
checking. By analogy, squared residual autocorrelations from fitted conditional
heteroskedastic time series models would be useful in checking the adequacy of
such models. I...
ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
Tập 16 Số 4 - Trang 415-429 - 1995
Abstract. We compare several estimators for the second‐order autoregressive
process and compare the associated tests for a unit root. Monte Carlo results
are reported for the ordinary least squares estimator, the simple symmetric
least squares estimator and the weighted symmetric least squares estimator. The
weighted symmetric least squares estimator of the autoregressive parameters
generally has ...