Journal of Time Series Analysis

Table of Contents

Volume 33 Issue 2 (March 2012)



A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes

  • Author: Carsten Jentsch
  • Pub Online: Aug 16, 2011
  • DOI: 10.1111/j.1467-9892.2011.00750.x (p 177-192)

Fast continuous‐discrete DAF‐filters

  • Author: Thomas Mazzoni
  • Pub Online: Jul 27, 2011
  • DOI: 10.1111/j.1467-9892.2011.00751.x (p 193-210)

Improved multivariate portmanteau test

  • Author: Esam Mahdi, A. Ian McLeod
  • Pub Online: Aug 24, 2011
  • DOI: 10.1111/j.1467-9892.2011.00752.x (p 211-222)

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model

  • Author: Ke Zhu, Shiqing Ling
  • Pub Online: Aug 16, 2011
  • DOI: 10.1111/j.1467-9892.2011.00753.x (p 223-232)

The autodependogram: a graphical device to investigate serial dependences

  • Author: Luca Bagnato, Antonio Punzo, Orietta Nicolis
  • Pub Online: Aug 16, 2011
  • DOI: 10.1111/j.1467-9892.2011.00754.x (p 233-254)

Overlapped grouping periodogram test for detecting multiple hidden periodicities in mixed spectra

  • Author: Qiuzi H. Wen, Augustine Wong, Xiaolan L. Wang
  • Pub Online: Oct 11, 2011
  • DOI: 10.1111/j.1467-9892.2011.00755.x (p 255-268)

Empirical likelihood in long‐memory time series models

  • Author: Chun Yip Yau
  • Pub Online: Aug 16, 2011
  • DOI: 10.1111/j.1467-9892.2011.00756.x (p 269-275)

A note on mean squared prediction error under the unit root model with deterministic trend

  • Author: Shu‐Hui Yu, Chien‐Chih Lin, Hung‐Wen Cheng
  • Pub Online: Aug 19, 2011
  • DOI: 10.1111/j.1467-9892.2011.00757.x (p 276-286)

Generalized information criterion

  • Author: Masanobu Taniguchi, Junichi Hirukawa
  • Pub Online: Sep 01, 2011
  • DOI: 10.1111/j.1467-9892.2011.00759.x (p 287-297)

On robust spectral analysis by least absolute deviations

  • Author: Ta‐Hsin Li
  • Pub Online: Sep 28, 2011
  • DOI: 10.1111/j.1467-9892.2011.00760.x (p 298-303)

A single series representation of multiple independent ARMA processes

  • Author: Ross S. Bowden, Brenton R. Clarke
  • Pub Online: Nov 29, 2011
  • DOI: 10.1111/j.1467-9892.2011.00766.x (p 304-311)

A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors

  • Author: Jaechoul Lee, Robert Lund
  • Pub Online: Jan 25, 2012
  • DOI: 10.1111/j.1467-9892.2011.00768.x (p 312-324)

The restricted likelihood ratio test for autoregressive processes

  • Author: Willa W. Chen, Rohit S. Deo
  • Pub Online: Nov 29, 2011
  • DOI: 10.1111/j.1467-9892.2011.00769.x (p 325-339)

The averaged periodogram estimator for a power law in coherency

  • Author: Rebecca J. Sela, Clifford M. Hurvich
  • Pub Online: Jan 19, 2012
  • DOI: 10.1111/j.1467-9892.2011.00770.x (p 340-363)

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