This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete,...

The aim of this paper is to examine the measurement of persistence in a range of time series models nested in the framework of Cramer (1961). This framework is a generalization of the Wold (1938) decomposition for stationary time series which, in addition to accommodating the standard I(0) and...

The application of traditional forecasting methods to discrete count data yields forecasts that are non-coherent. That is, such methods produce non-integer point and interval predictions which violate the restrictions on the sample space of the integer variable. This paper presents a methodology...

Using the theory of multiple decisions, this paper conducts an analysis of structural stability in location and variance for the linear-regression model. It shows that both cusum and cusum-of-squares techniques are in certain senses optimal. However, the same tests are optimal for changes in...