Journal of Time Series Analysis

Table of Contents

Volume 38 Issue 6 (November 2017)

807-1052

Issue Information

Issue Information

  • Author:
  • Pub Online: Oct 17, 2017
  • DOI: 10.1111/jtsa.12220 (p 807-808)

ORIGINAL ARTICLES

A Robbins–Monro Algorithm for Non‐Parametric Estimation of NAR Process with Markov Switching: Consistency

  • Author: Lisandro Javier Fermin, Ricardo Rios, Luis Angel Rodriguez
  • Pub Online: Apr 20, 2017
  • DOI: 10.1111/jtsa.12237 (p 809-837)

Parametric Spectral Discrimination

  • Author: Andrew J. Grant, Barry G. Quinn
  • Pub Online: Apr 24, 2017
  • DOI: 10.1111/jtsa.12238 (p 838-864)

On Asymptotic Theory for ARCH (∞) Models

  • Author: Christian M. Hafner, Arie Preminger
  • Pub Online: May 03, 2017
  • DOI: 10.1111/jtsa.12239 (p 865-879)

Testing Parameter Change in General Integer‐Valued Time Series

  • Author: Mamadou Lamine Diop, William Kengne
  • Pub Online: May 03, 2017
  • DOI: 10.1111/jtsa.12240 (p 880-894)

Moving Fourier Analysis for Locally Stationary Processes with the Bootstrap in View

  • Author: Franziska Häfner, Claudia Kirch
  • Pub Online: May 30, 2017
  • DOI: 10.1111/jtsa.12241 (p 895-922)

Penalised Complexity Priors for Stationary Autoregressive Processes

  • Author: Sigrunn Holbek Sørbye, Håvard Rue
  • Pub Online: May 23, 2017
  • DOI: 10.1111/jtsa.12242 (p 923-935)

A New Covariance Function and Spatio‐Temporal Prediction (Kriging) for A Stationary Spatio‐Temporal Random Process

  • Author: T. Subba Rao, Gyorgy Terdik
  • Pub Online: Jun 13, 2017
  • DOI: 10.1111/jtsa.12245 (p 936-959)

Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis

  • Author: Martin Wagner, Dominik Wied
  • Pub Online: Jul 27, 2017
  • DOI: 10.1111/jtsa.12247 (p 960-980)

A Model‐Adaptive Test for Parametric Single‐Index Time Series Models

  • Author: Qiang Xia, Kejun He, Cuizhen Niu
  • Pub Online: Aug 28, 2017
  • DOI: 10.1111/jtsa.12249 (p 981-999)

Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals

  • Author: Rickard Sandberg
  • Pub Online: Aug 28, 2017
  • DOI: 10.1111/jtsa.12250 (p 1000-1009)

Cointegrated Linear Processes in Hilbert Space

  • Author: Brendan K. Beare, Juwon Seo, Won‐Ki Seo
  • Pub Online: Sep 04, 2017
  • DOI: 10.1111/jtsa.12251 (p 1010-1027)

Multi‐Scale Detection of Variance Changes in Renewal Processes in the Presence of Rate Change Points

  • Author: Stefan Albert, Michael Messer, Julia Schiemann, Jochen Roeper, Gaby Schneider
  • Pub Online: Sep 07, 2017
  • DOI: 10.1111/jtsa.12254 (p 1028-1052)

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