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Content
May 2012, Volume 33, Issue 3
- 519-529 Weak convergence to a modified fractional Brownian motion
by Javier Hualde - 530-531 The Oxford Handbook of Economic Forecasts
by Alastair R. Hall
March 2012, Volume 33, Issue 2
- 177-192 A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
by Carsten Jentsch - 193-210 Fast continuous‐discrete DAF‐filters
by Thomas Mazzoni - 211-222 Improved multivariate portmanteau test
by Esam Mahdi & A. Ian McLeod - 223-232 Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
by Ke Zhu & Shiqing Ling - 233-254 The autodependogram: a graphical device to investigate serial dependences
by Luca Bagnato & Antonio Punzo & Orietta Nicolis - 255-268 Overlapped grouping periodogram test for detecting multiple hidden periodicities in mixed spectra
by Qiuzi H. Wen & Augustine Wong & Xiaolan L. Wang - 269-275 Empirical likelihood in long‐memory time series models
by Chun Yip Yau - 276-286 A note on mean squared prediction error under the unit root model with deterministic trend
by Shu‐Hui Yu & Chien‐Chih Lin & Hung‐Wen Cheng - 287-297 Generalized information criterion
by Masanobu Taniguchi & Junichi Hirukawa - 298-303 On robust spectral analysis by least absolute deviations
by Ta‐Hsin Li - 304-311 A single series representation of multiple independent ARMA processes
by Ross S. Bowden & Brenton R. Clarke - 312-324 A refined efficiency rate for ordinary least squares and generalized least squares estimators for a linear trend with autoregressive errors
by Jaechoul Lee & Robert Lund - 325-339 The restricted likelihood ratio test for autoregressive processes
by Willa W. Chen & Rohit S. Deo - 340-363 The averaged periodogram estimator for a power law in coherency
by Rebecca J. Sela & Clifford M. Hurvich
January 2012, Volume 33, Issue 1
- 1-12 Limit theorems for the discount sums of moving averages
by Ba Chu - 13-31 Frequency and phase estimation in time series with quasi periodic components
by Konstantinos Paraschakis & Rainer Dahlhaus - 32-47 Unit root bootstrap tests under infinite variance
by Marta Moreno & Juan Romo - 48-60 Multi‐variate stochastic volatility modelling using Wishart autoregressive processes
by K. Triantafyllopoulos - 61-80 Efficient estimation and particle filter for max‐stable processes
by Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang - 81-95 Weighted scatter estimation method of the GO‐GARCH models
by Lingyu Zheng & William W. S. Wei - 96-111 Subsampling inference for the mean of heavy‐tailed long‐memory time series
by Agnieszka Jach & Tucker McElroy & Dimitris N. Politis - 112-120 Maximum entropy models for general lag patterns
by Georgi N. Boshnakov & Bisher M. Iqelan - 121-130 Selection of weak VARMA models by modified Akaike's information criteria
by Y. Boubacar Maïnassara - 131-151 Statistical tests for a single change in mean against long‐range dependence
by Changryong Baek & Vladas Pipiras - 152-160 High‐frequency sampling of a continuous‐time ARMA process
by Peter J. Brockwell & Vincenzo Ferrazzano & Claudia Klüppelberg - 161-174 Limit theory for a general class of GARCH models with just barely infinite variance
by Rong‐Mao Zhang & Zheng‐Yan Lin - 175-175 Non–Parametric Econometrics
by Piotr S. Kokoszka - 176-176 Statistical Methods for Trend Detection and Analysis in the Environmental Sciences
by Tata Subba Rao
November 2011, Volume 32, Issue 6
- 587-597 Autoregressive coefficient estimation in nonparametric analysis
by Q. Shao & L. J. Yang - 598-606 A simple test of changes in mean in the possible presence of long‐range dependence
by Xiaofeng Shao - 607-617 Dynamic spatial Bayesian models for radioactivity deposition
by Swarup De & Álvaro E. Faria - 618-630 Akaike’s information criterion correction for the least‐squares autoregressive spectral estimator
by Evangelos E. Ioannidis - 631-638 Testing unit roots and long range dependence of foreign exchange
by Zhiping Lu & Dominique Guegan - 639-646 On the autopersistence functions and the autopersistence graphs of binary autoregressive time series
by Chao Wang & Wai Keung Li - 647-660 Testing for co‐integration and nonlinear adjustment in a smooth transition error correction model
by Rehim Kılıç - 661-671 Temporal Aggregation of Lognormal AR processes
by Esther Salazar & Marco A. R. Ferreira - 672-679 Local power of likelihood‐based tests for cointegrating rank: Comparative analysis of full and partial systems
by Takamitsu Kurita - 680-698 Improved generalized method of moments estimators for weakly dependent observations
by Francesco Bravo - 699-723 Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models
by Christian Francq & Roch Roy & Abdessamad Saidi
September 2011, Volume 32, Issue 5
- 447-461 Testing non‐parametric hypotheses for stationary processes by estimating minimal distances
by Holger Dette & Tatjana Kinsvater & Mathias Vetter - 462-468 Forecasting linear dynamical systems using subspace methods
by Alfredo García‐Hiernaux - 469-481 Robust estimation for the covariance matrix of multi‐variate time series
by Byungsoo Kim & Sangyeol Lee - 482-497 Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
by George A Christodoulakis & Stephen E Satchell - 498-511 Mean shift testing in correlated data
by Michael Robbins & Colin Gallagher & Robert Lund & Alexander Aue - 512-517 On the asymptotic properties of a feasible estimator of the continuous time long memory parameter
by Joanne S. Ercolani - 518-530 Analysis of accumulated rounding errors in autoregressive processes
by Weiming Li & Z. D. Bai - 531-538 Solutions of Yule‐Walker equations for singular AR processes
by Weitian Chen & Brian D.O. Anderson & Manfred Deistler & Alexander Filler - 539-546 On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)
by Cheng Wang & Baisuo Jin & Baiqi Miao - 547-565 Testing for structural change of AR model to threshold AR model
by István Berkes & Lajos Horváth & Shiqing Ling & Johannes Schauer - 566-579 Multi‐variate time‐series simulation
by Yuzhi Cai - 580-584 On processes with hyperbolically decaying autocorrelations
by Łukasz Dębowski - 585-585 Modeling Ordered Choices, A Primer
by Konstantinos Fokianos
May 2011, Volume 32, Issue 3
- 195-203 Empirical likelihood inference for random coefficient INAR(p) process
by Haixiang Zhang & Dehui Wang & Fukang Zhu - 204-222 On detecting the optimal structure of a neural network under strong statistical features in errors
by Nikos S. Thomaidis & George D. Dounias - 223-236 A p‐Order signed integer‐valued autoregressive (SINAR(p)) model
by M. Kachour & L. Truquet - 237-252 Time‐varying multi‐regime models fitting by genetic algorithms
by Francesco Battaglia & Mattheos K. Protopapas - 253-267 Threshold quantile autoregressive models
by Antonio F. Galvao Jr. & Gabriel Montes‐Rojas & Jose Olmo - 268-280 Convolution‐closed models for count time series with applications
by Robert C. Jung & A. R. Tremayne - 281-291 Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
by Helmut Herwartz & Helmut Lütkepohl - 292-303 Stationary bootstrapping for non‐parametric estimator of nonlinear autoregressive model
by Eunju Hwang & Dong Wan Shin - 304-314 Estimating a change point in the long memory parameter
by Keiko Yamaguchi - 315-316 Structural time series models and aggregation: some analytical results
by Giacomo Sbrana - 317-335 Local Whittle estimation of multi‐variate fractionally integrated processes
by Frank S. Nielsen - 336-336 Introduction to Time Series Modeling
by Maria Antonia Amaral Turkman
March 2011, Volume 32, Issue 2
- 93-107 Real‐time covariance estimation for the local level model
by K. Triantafyllopoulos - 108-134 On LM‐type tests for seasonal unit roots in the presence of a break in trend
by Luis C. Nunes & Paulo M. M. Rodrigues - 135-156 Robust estimation of the scale and of the autocovariance function of Gaussian short‐ and long‐range dependent processes
by Céline Lévy‐Leduc & Hélène Boistard & Eric Moulines & Murad S. Taqqu & Valderio A. Reisen - 157-174 Asymptotic results for Fourier‐PARMA time series
by Yonas Gebeyehu Tesfaye & Paul L. Anderson & Mark M. Meerschaert - 175-193 Broadband semi‐parametric estimation of long‐memory time series by fractional exponential models
by Masaki Narukawa & Yasumasa Matsuda - 194-194 Classification, parameter estimation and state estimation ‐ an engineering approach using MATLAB
by T. Subba Rao
January 2011, Volume 32, Issue 1
- 1-32 Detecting misspecifications in autoregressive conditional duration models and non‐negative time‐series processes
by Yongmiao Hong & Yoon‐Jin Lee - 33-46 Locally stationary harmonizable complex improper stochastic processes
by Patrik Wahlberg & Peter J. Schreier - 47-53 Time series analysis based on running Mann‐Whitney Z Statistics
by Steve Mauget - 54-67 A negative binomial integer‐valued GARCH model
by Fukang Zhu - 68-91 A test for second‐order stationarity of a time series based on the discrete Fourier transform
by Yogesh Dwivedi & Suhasini Subba Rao - 92-92 Optimal statistical inference in financial engineering
by György Terdik
July 2011, Volume 32
- 337-338 Editorial: Special issue on time series in the environmental sciences
by Noel Cressie & Scott H. Holan - 339-350 Polynomial nonlinear spatio‐temporal integro‐difference equation models
by Christopher K. Wikle & Scott H. Holan - 351-363 A wavelet‐based spectral method for extracting self‐similarity measures in time‐varying two‐dimensional rainfall maps
by Pepa Ramírez‐Cobo & Kichun Sky Lee & Annalisa Molini & Amilcare Porporato & Gabriel Katul & Brani Vidakovic - 364-377 A class of stochastic volatility models for environmental applications
by Wenying Huang & Ke Wang & F. Jay Breidt & Richard A. Davis - 378-395 Space‐time modelling of trends in temperature series
by Peter F. Craigmile & Peter Guttorp - 396-406 A spatio‐temporal analysis of the spread of sugarcane yellow leaf virus
by Jean Vaillant & Gavino Puggioni & Lance A. Waller & Jean Daugrois - 407-419 A prediction‐residual approach for identifying rare events in periodic time series
by Zhiyun Gong & Peter Kiessler & Robert Lund - 420-429 The application of prototype point processes for the summary and description of California wildfires
by Kevin Nichols & Frederic Paik Schoenberg & Jon E. Keeley & Andrew Bray & David Diez - 430-446 Spatio‐temporal smoothing and EM estimation for massive remote‐sensing data sets
by Matthias Katzfuss & Noel Cressie
November 2010, Volume 31, Issue 6
- 407-414 Likelihood functions for state space models with diffuse initial conditions
by Marc K. Francke & Siem Jan Koopman & Aart F. De Vos - 415-426 Reducing the size distortion of the KPSS test
by Eiji Kurozumi & Shinya Tanaka - 427-434 Testing for cycles in multiple time series
by Werner Ploberger & Erhard Reschenhofer - 435-450 Tests of strict stationarity based on quantile indicators
by Fabio Busetti & Andrew Harvey - 451-464 Random effects mixture models for clustering electrical load series
by Geoffrey Coke & Min Tsao - 465-470 Autoregressive trending risk function and exhaustion in random asset price movement
by Qi Tang & Danni Yan - 471-482 Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
by Timothy L. McMurry & Dimitris N. Politis - 483-493 Improved prediction limits for a general class of Gaussian models
by Federica Giummolè & Paolo Vidoni - 494-494 Antedependence Models for Longitudinal Data
by Konstantinos Fokianos
September 2010, Volume 31, Issue 5
- 305-328 A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
by Mohitosh Kejriwal & Pierre Perron - 329-336 A Bayesian nonlinearity test for threshold moving average models
by Qiang Xia & Jiazhu Pan & Zhiqiang Zhang & Jinshan Liu - 337-347 Central limit theorems for nonparametric estimators with real‐time random variables
by Tae Yoon Kim & Zhi‐Ming Luo - 348-364 Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
by Nazim Regnard & Jean‐Michel Zakoïan - 365-378 A Bayesian regime‐switching time‐series model
by Jaehee Kim & Sooyoung Cheon - 379-391 Testing for nonlinear deterministic components when the order of integration is unknown
by David I. Harvey & Stephen J. Leybourne & Lisa Xiao - 392-405 Stationarity testing under nonlinear models. Some asymptotic results
by Manuel Landajo & María José Presno - 406-406 Introductory Time Series with R
by Georgi N. Boshnakov
July 2010, Volume 31, Issue 4
- 229-240 A numerical method for factorizing the rational spectral density matrix
by Yuzo Hosoya & Taro Takimoto - 241-254 ADL tests for threshold cointegration
by Jing Li & Junsoo Lee - 255-277 Cointegrating regressions with messy regressors and an application to mixed‐frequency series
by J. Isaac Miller - 278-291 Influence diagnostics for multivariate GARCH processes
by Jonathan Dark & Xibin Zhang & Nan Qu - 292-302 The impact of the initial condition on robust tests for a linear trend
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 303-303 Time series analysis forecasting and control
by G. Janacek
May 2010, Volume 31, Issue 3
- 141-152 On geometric ergodicity of CHARME models
by Jean‐Pierre Stockis & Jürgen Franke & Joseph Tadjuidje Kamgaing - 153-166 Unit‐root testing: on the asymptotic equivalence of Dickey–Fuller with the log–log slope of a fitted autoregressive spectrum
by Evangelos E. Ioannidis - 167-168 Estimability of the linear effects in state space models with an unknown initial condition
by Rajesh Selukar - 169-181 Hyper‐spherical and elliptical stochastic cycles
by Alessandra Luati & Tommaso Proietti - 182-209 Adaptive wavelet decompositions of stationary time series‡
by Gustavo Didier & Vladas Pipiras - 210-225 Interventions in INGARCH processes
by Konstantinos Fokianos & Roland Fried - 226-226 Nonlinear time series: Semiparametric and Nonparametric methods
by T. Subba Rao
March 2010, Volume 31, Issue 2
- 65-75 Empirical likelihood intervals for conditional Value‐at‐Risk in ARCH/GARCH models
by Yun Gong & Zhouping Li & Liang Peng - 76-85 A symbolic test for testing independence between time series
by Mariano Matilla‐García & José Miguel Rodríguez & Manuel Ruiz Marín - 86-97 Wavelet change‐point estimation for long memory non‐parametric random design models
by Lihong Wang & Haiyan Cai - 98-112 Least absolute deviation estimation for general autoregressive moving average time‐series models
by Rongning Wu & Richard A. Davis - 113-131 On an independent and identically distributed mixture bilinear time‐series model
by Abdelhakim Aknouche & Nadia Rabehi - 132-138 A note on the mixture transition distribution and hidden Markov models
by Francesco Bartolucci & Alessio Farcomeni - 139-139 Time Series Analysis
by T. Subba Rao
January 2010, Volume 31, Issue 1
- 1-11 Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes
by Luigi Spezia - 12-19 Treating missing values in INAR(1) models: An application to syndromic surveillance data
by Jonas Andersson & Dimitris Karlis - 20-36 On the properties of the periodogram of a stationary long‐memory process over different epochs with applications
by Valdério A. Reisen & Eric Moulines & Philippe Soulier & Glaura C. Franco - 37-49 Local Whittle estimation of the memory parameter in presence of deterministic components
by Fabrizio Iacone - 50-63 Postmodel selection estimators of variance function for nonlinear autoregression
by Piotr Borkowski & Jan Mielniczuk - 64-64 Handbook of Financial Time Series
by Suhasini Subba Rao
November 2009, Volume 30, Issue 6
- 577-590 A simple procedure for computing improved prediction intervals for autoregressive models
by Paolo Vidoni - 591-617 Bootstrap‐based bandwidth choice for log‐periodogram regression
by Josu Arteche & Jesus Orbe - 618-630 The restricted likelihood ratio test at the boundary in autoregressive series
by Willa W. Chen & Rohit S. Deo - 631-651 Computationally efficient methods for two multivariate fractionally integrated models
by Rebecca J. Sela & Clifford M. Hurvich - 652-673 On nonparametric prediction of linear processes
by Jan Mielniczuk & Zhou Zhou & Wei Biao Wu - 674-681 Goodness‐of‐fit test for a nonlinear time series
by Yoichi Nishiyama - 682-707 A test for improved multi‐step forecasting
by John Haywood & Granville Tunnicliffe Wilson - 708-709 Time Series Analysis With Applications in R Series: Springer Texts in Statistics, 2nd Edition
by Georgi N. Boshnakov
September 2009, Volume 30, Issue 5
- 467-486 Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
by Georgi N. Boshnakov & Sophie Lambert‐Lacroix - 487-504 On multiple portmanteau tests
by Naoya Katayama - 505-533 Autoregressive processes with data‐driven regime switching
by Joseph Tadjuidje Kamgaing & Hernando Ombao & Richard A. Davis - 534-558 Asymptotic normality of wavelet estimators of the memory parameter for linear processes
by F. Roueff & M. S. Taqqu - 559-574 The application of the Kalman filter to nonstationary time series through time deformation
by Zhu Wang & Wayne A. Woodward & Henry L. Gray - 575-575 Analysis of Integrated and Cointegrated Time Series with R, 2nd Edition
by Willa W. Chen
July 2009, Volume 30, Issue 4
- 369-394 Selecting nonlinear time series models using information criteria
by Zacharias Psaradakis & Martin Sola & Fabio Spagnolo & Nicola Spagnolo - 395-416 Estimation in nonstationary random coefficient autoregressive models
by István Berkes & Lajos Horváth & Shiqing Ling - 417-448 First‐order rounded integer‐valued autoregressive (RINAR(1)) process
by M. Kachour & J. F. Yao - 449-465 Bartlett's formula for a general class of nonlinear processes
by Christian Francq & Jean‐Michel Zakoïan
May 2009, Volume 30, Issue 3
- 263-285 Testing for a break in persistence under long‐range dependencies
by Philipp Sibbertsen & Robinson Kruse - 286-314 Local Linear M‐estimation in non‐parametric spatial regression
by Zhengyan Lin & Degui Li & Jiti Gao - 315-331 Bootstrapping a weighted linear estimator of the ARCH parameters
by Arup Bose & Kanchan Mukherjee - 332-348 Testing equality of stationary autocovariances
by Robert Lund & Hany Bassily & Brani Vidakovic - 349-368 Generation Of Time Series Models With Given Spectral Properties
by Georgi N. Boshnakov & Bisher M. Iqelan
March 2009, Volume 30, Issue 2
- 167-178 Bootstrap prediction intervals in state–space models
by Alejandro Rodriguez & Esther Ruiz - 179-207 Semiparametric inference on a class of Wiener processes
by Xiao Wang - 208-238 A parametric estimation method for dynamic factor models of large dimensions
by George Kapetanios & Massimiliano Marcellino - 239-258 Parameter change test for random coefficient integer‐valued autoregressive processes with application to polio data analysis
by Jiwon Kang & Sangyeol Lee
January 2009, Volume 30, Issue 1
- 1-18 Efficient order selection algorithms for integer‐valued ARMA processes
by Víctor Enciso‐Mora & Peter Neal & T. Subba Rao - 19-46 Quasi‐maximum likelihood estimation of periodic GARCH and periodic ARMA‐GARCH processes
by Abdelhakim Aknouche & Abdelouahab Bibi - 47-69 Transformations and seasonal adjustment
by Tommaso Proietti & Marco Riani - 70-96 On modelling and diagnostic checking of vector periodic autoregressive time series models
by Eugen Ursu & Pierre Duchesne - 97-124 A new state–space methodology to disaggregate multivariate time series
by Víctor Gómez & Félix Aparicio‐Pérez - 125-144 On stationarity and ergodicity of the bilinear model with applications to GARCH models
by Dennis Kristensen - 145-166 Second‐order properties of locally stationary processes
by Kenichiro Tamaki
November 2008, Volume 29, Issue 6
- 947-972 Bootstrapping confidence intervals for the change‐point of time series
by Marie Hušková & Claudia Kirch - 973-994 Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes
by Ruijun Bu & Brendan McCabe & Kaddour Hadri - 995-1018 Subsampling in testing autocovariance for periodically correlated time series
by ŁUkasz Lenart & Jacek Leśkow & Rafał Synowiecki - 1019-1031 The exact discrete model of a system of linear stochastic differential equations driven by fractional noise
by Theodore Simos - 1032-1056 Nonlinear ARMA models with functional MA coefficients
by Hai‐Bin Wang - 1057-1065 Outlier detection in ARMA models
by Hamid Louni - 1066-1087 Testing for a unit root under errors with just barely infinite variance
by Nikolaos Kourogenis & Nikitas Pittis - 1088-1103 Fractional cointegration in the presence of linear trends
by Uwe Hassler & Francesc Marmol & Carlos Velasco - 1104-1131 Frequency estimation based on the cumulated Lomb–Scargle periodogram
by C. Lévy‐Leduc & E. Moulines & F. Roueff
September 2008, Volume 29, Issue 5
- 741-761 An Extended Portmanteau Test for VARMA Models With Mixing Nonlinear Constraints
by Ignacio Arbués - 762-782 On residual empirical processes of GARCH‐SM models: application to conditional symmetry tests
by Naâmane Laïb & Mohamed Lemdani & Elias Ould‐Saïd - 783-801 Local asymptotic normality and efficient estimation for INAR(p) models
by Feike C. Drost & Ramon Van Den Akker & Bas J. M. Werker - 802-810 The sampling properties of conditional independence graphs for I(1) structural VAR models
by Granville Tunnicliffe Wilson & Marco Reale - 811-833 Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
by Jeongeun Kim & David S. Stoffer - 834-867 Break Detection for a Class of Nonlinear Time Series Models
by Richard A. Davis & Thomas C. M. Lee & Gabriel A. Rodriguez‐Yam - 868-880 A wavelet‐Fisz approach to spectrum estimation
by Piotr Fryzlewicz & Guy P. Nason & Rainer Von Sachs - 881-905 Assessing Time‐Reversibility Under Minimal Assumptions
by Zacharias Psaradakis - 906-945 Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
by Jean‐Marc Bardet & Paul Doukhan & José Rafael León
July 2008, Volume 29, Issue 4
- 619-628 Estimation of Parameters in the NLAR(p) Model
by Fukang Zhu & Dehui Wang - 629-652 Evaluating Specification Tests for Markov‐Switching Time‐Series Models
by Daniel R. Smith - 653-672 Identification of Persistent Cycles in Non‐Gaussian Long‐Memory Time Series
by Mohamed Boutahar - 673-694 Statistical analysis of a spatio‐temporal model with location‐dependent parameters and a test for spatial stationarity
by Suhasini Subba Rao - 695-718 Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
by Peter Burridge & Daniela Hristova - 719-737 Finite Sample Theory of QMLE in ARCH Models with Dynamics in the Mean Equation
by Emma M. Iglesias & Garry D. A. Phillips - 738-740 Book Review
by Joanne S. Ercolani
May 2008, Volume 29, Issue 3
- 421-443 Tests against stationary and explosive alternatives in vector autoregressive models
by Niklas Ahlgren & Jukka Nyblom - 444-452 A superharmonic prior for the autoregressive process of the second‐order
by Fuyuhiko Tanaka & Fumiyasu Komaki - 453-475 Stability of nonlinear AR‐GARCH models
by Mika Meitz & Pentti Saikkonen - 476-500 Test for the null hypothesis of cointegration with reduced size distortion
by Eiji Kurozumi & Yoichi Arai - 501-512 Design of quadratic estimators using covariance information in linear discrete‐time stochastic systems
by Seiichi Nakamori & Aurora Hermoso‐Carazo & Josefa Linares‐Pérez - 513-532 Improved inference for first‐order autocorrelation using likelihood analysis
by M. Rekkas & Y. Sun & A. Wong - 533-554 A complete VARMA modelling methodology based on scalar components
by George Athanasopoulos & Farshid Vahid - 555-580 Using least squares to generate forecasts in regressions with serial correlation
by Sergio G. Koreisha & Yue Fang - 581-599 Large‐scale volatility models: theoretical properties of professionals’ practice
by Paolo Zaffaroni