Journal of Time Series Analysis
SCOPUS (1980-2023)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 DIFFERENCINGAbstract. The idea of fractional differencing is introduced in terms of the infinite filter that corresponds to the expansion of (1‐B )d
Tập 1 Số 1 - Trang 15-29 - 1980
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELSAbstract. 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 ordi...
Tập 4 Số 4 - Trang 221-238 - 1983
Error‐correction Mechanism Tests for Cointegration in a Single‐equation FrameworkA 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... ...
Tập 19 Số 3 - Trang 267-283 - 1998
AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHMAbstract. 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...
Tập 3 Số 4 - Trang 253-264 - 1982
DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONSAbstract. 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 res...
Tập 4 Số 4 - Trang 269-273 - 1983
TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIESAbstract. Stable autoregressive (AR) and autoregressive moving average (ARMA) processes belong to the class of stationary linear time series. A linear time series { hiện toàn bộ
Tập 3 Số 3 - Trang 169-176 - 1982
ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELSAbstract. 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.
Tập 7 Số 3 - Trang 179-190 - 1986
MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATESAbstract. Local high‐order polynomial fitting is employed for the estimation of the multivariate regression function m (x1 ,…xd ) =E {φ(Yd )φX ...
Tập 17 Số 6 - Trang 571-599 - 1996
ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITYAbstract. 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 checkin...
Tập 15 Số 6 - Trang 627-636 - 1994
ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESSAbstract. 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 autoregr...
Tập 16 Số 4 - Trang 415-429 - 1995