Existence of a cointegration relationship between two time series in the time domain imposes restrictions on the series zero‐frequency behaviour in terms of their squared coherence, phase and gain, in the frequency domain. I derive these restrictions by studying cross‐spectral properties of...

Time-series models for count data have found increased interest in recent years. The existing literature refers to the case of data that have been fully observed. In this article, methods for estimating the parameters of the first-order integer-valued autoregressive model in the presence of...

We consider a problem of estimating a conditional variance function of an autoregressive process. A finite collection of parametric models for conditional density is studied when both regression and variance are modelled by parametric functions. The proposed estimators are defined as the maximum...