Bell, W., Di Fonzo, T., Ladiray, D., McElroy, T., and Smith. P. (2024) "Preface to Time Series Special Issue of the Journal of Official Statistics." Journal of Official Statistics 40(4), 499-507.
Livsey, J. and McElroy, T. (2024) "Applying the EM Algorithm to Multivariate Signal Extraction." Journal of Official Statistics 40(4), 660-684.
Joyce, P. and McElroy, T. (2024) "Modeling Survey Time Series Data with Flow-Observed CARMA Processes." Journal of Official Statistics 40(4), 601-632.
Chen, B., Hood, K., McElroy, T., and Trimbur, T. (2024) "Cycle Fluctuations in the U.S. Real GDP and NIPA Aggregates." Journal of Official Statistics 40(4), 554-600.
McElroy, T. and Politis, D. (2024) "Skip-sampling: Subsampling in the Frequency Domain." Biometrika 111(4), 1241-1256.
Roy, A. and McElroy, T. (2024) "Modeling Extreme Events in Time Series and Their Impact on Seasonal Adjustment in the Post-Covid-19 Era." Bayesian Analysis 1(1), 1-25.
McElroy, T. and Politis, D. (2024) "Estimating the Spectral Density at Frequencies Near Zero." Journal of the American Statistical Association 119(545), 612-624.
McElroy, T., Ghosh, D., and Lahiri, S. (2023) "Quadratic Prediction of Time Series via Autocumulants." Sankhya A 1-33.
McElroy, T. and Trimbur, T. (2023) "Variable Targeting and Reduction in Large Vector Autoregressions with Applications to Workforce Indicators." Journal of Applied Statistics 50(7), 1515-1537.
McElroy, T., Roy, A., and Hore, G. (2023) "FLIP: a Utility Preserving Privacy Mechanism for Time Series." Journal of Machine Learning Research 24(111), 1-29.
McElroy, T. and Jach, A. (2023) "Identification of the Differencing Operator of a Nonstationary Time Series via Testing for Zeroes in the Spectral Density." Computational Statistics and Data Analysis 177, 107580.
McElroy, T. (2022) "Stationary Parameterization of GARCH Processes." Economics Bulletin 42(4), 1908-1930.
McElroy, T. and Politis, D. (2022) "Optimal Linear Interpolation of Multiple Missing Values." Statistical Inference for Stochastic Processes 25, 471-483.
McElroy, T. (2022) "Casting Vector Time Series: Algorithms for Forecasting, Imputation, and Signal Extraction." Electronic Journal of Statistics 16, 5534-5569.
McElroy, T. and Roy, A. (2022) "A Review of Seasonal Adjustment Diagnostics." International Statistical Review 90(2), 259-284.
Chen, B., McElroy, T. and Pang, O. (2022) "Assessing Residual Seasonality in the U.S. National Income and Product Accounts Aggregates." Journal of Official Statistics 38(2), 399-428.
Trimbur, T. and McElroy, T. (2022) "Modeled Approximations to the Ideal Filter with Application to Time Series of Gross Domestic Product." The Annals of Applied Statistics 16(2), 627-651.
McElroy, T. and Roy, A. (2022) "Model Identification via Total Frobenius Norm of Multivariate Spectra." Journal of the Royal Statistical Society, Series B 84, 473-495.
Binder, C., McElroy, T., and Sheng, X. (2022) "Term Structure of Uncertainty: New Evidence from Survey Expectations." Journal of Money, Credit, and Banking 54(1), 39-71.
McElroy, T. (2022) "Frequency Domain Calculation of Seasonal VARMA Autocovariances." Journal of Computational and Graphical Statistics 31(1), 301-303.
McElroy, T. (2021) "A Diagnostic for Seasonality Based Upon Polynomial Roots of ARMA Models." Journal of Official Statistics 37(2), 367-394.
McElroy, T., Roy, A., Livsey, J., Firestine, T., and Notis, K. (2021) "Anticipating Revisions in the Transportation Services Index." Journal of the International Association of Official Statistics 37, 641-653.
McElroy, T. and Das, S. (2021) "Nonlinear Prediction via Hermite Transformation." Statistical Theory and Related Fields 5(1), 49-54.
McElroy, T. and Roy, A. (2021) "Testing for Adequacy of Seasonal Adjustment in the Frequency Domain." Journal of Statistical Planning and Inference 221, 241-255.
McElroy, T. and Politis, D. (2020) "Time Series: a First Course with Bootstrap Starter." Chapman Hall.
Lin, W., Huang, J., and McElroy, T. (2020) "Time Series Seasonal Adjustment Using Regularized Singular Value Decomposition." Journal of Business and Economics Statistics 38(3), 487-501.
Baker, S., McElroy, T. and Sheng, X. (2020) "Expectation Formation Following Large and Unpredictable Shocks." Review of Economics and Statistics 102(2), 287-303.
McElroy, T. and Wildi, M. (2020) "Multivariate Direct Filter Analysis for Real-Time Signal Extraction Problems." Econometrics Statistics 14, 112-130.
Hyatt, H. and McElroy, T. (2019) "Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence." LABOUR: Review of Labour Economics and Industrial Relations 33(4), 463-487.
McElroy, T. and Jach, A. (2019) "Testing Collinearity of Vector Time Series." The Econometrics Journal 22(2), 97-116.
McElroy, T. and Penny, R. (2019) "Maximum Entropy Extreme-Value Seasonal Adjustment." Australian New Zealand Journal of Statistics 61(2), 152-174.
Wildi, M. and McElroy, T. (2019) "The Trilemma Between Accuracy, Timeliness, and Smoothness in Real-Time Signal Extraction." International Journal of Forecasting 35, 1072-1084.
Durrant, M., Durrant, L., and McElroy, T. (2019) "Establishing a Common Instantaneous Center of Rotation for the Metatarso-Phalangeal and Metatarso-Sesamoidal Joints: a Theoretical Geometric Model Based on Specific Morphometrics." Journal of Orthopaedic Surgery and Research 14: 107.
Roy, A., McElroy, T., and Linton, P. (2019) "Constrained Estimation of Causal Invertible VARMA." Statistica Sinica 29(1), 455-478.
McElroy, T., Pang, O., and Sheldon, G. (2019) "Custom Epoch Estimation for Surveys." Journal of Applied Statistics 46, 638-663.
McElroy, T. and Jach, A. (2019) "Subsampling Inference for the Autocorrelations of GARCH Processes." Journal of Financial Econometrics 17(3), 495-515.
McElroy, T. (2018) "Seasonal Adjustment Subject to Accounting Constraints." Statistica Neerlandica 72, 574-589.
McElroy, T. (2018) "Recursive Computation for Block Nested Covariance Matrices." Journal of Time Series Analysis 39(3), 299-312.
McElroy, T. and Roy, A. (2018) "The Inverse Kullback Leibler Method for Fitting Vector Moving Averages." Journal of Time Series Analysis 39, 172-191.
Nagaraja, C. and McElroy, T. (2018) "The Multivariate Bullwhip Effect." European Journal of Operations Research 267, 96-106.
Findley, D., and McElroy, T. (2018) "Background and Perspectives for ARIMA Model-Based Seasonal Adjustment." Handbook on Seasonal Adjustment.
McElroy, T. (2017) "Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy." Journal of Business and Economics Statistics 35(4), 511-525.
McElroy, T. and McCracken, M. (2017) "Multi-Step Ahead Forecasting of Vector Time Series." Econometric Reviews 36(5), 495-513.
Blakely, C. and McElroy, T. (2017) "Signal Extraction Goodness-of-fit Diagnostic Tests Under Model Parameter Uncertainty: Formulations and Empirical Evaluation." Econometric Reviews 36(4), 447-467.
Trimbur, T. and McElroy, T. (2017) "Signal Extraction for Nonstationary Time Series With Diverse Sampling Rules." Journal of Time Series Econometrics 9(1).
McElroy, T. (2017) "Computation of Vector ARMA Autocovariances." Statistics and Probability Letters 124, 92-96.
Holan, S., McElroy, T., and Wu, G. (2017) "The Cepstral Model for Multivariate Time Series: The Vector Exponential Model." Statistica Sinica 27, 23-42.
McElroy, T. (2016) "Non-nested Model Comparisons for Time Series." Biometrika 103, 905-914.
McElroy, T. (2016) "On the Measurement and Treatment of Extremes in Time Series." Extremes 19(3), 467-490.
Wildi, M. and McElroy, T. (2016) "Optimal Real-Time Filters for Linear Prediction Problems." Journal of Time Series Econometrics 8(2), 155-192.
McElroy, T. and Holan, S. (2016) "Computation of the Autocovariances for Time Series with Multiple Long-Range Persistencies." Computational Statistics and Data Analysis 101, 44-56.
Janicki, R. and McElroy, T. (2016) "Hermite Expansion and Estimation of Monotonic Transformations of Gaussian Data." Journal of Nonparametric Statistics 28(1), 207-234.
McElroy, T. and Nagaraja, C. (2016) "Tail Index Estimation with a Fixed Tuning Parameter Fraction." Journal of Statistical Planning and Inference 170, 27-45.
Nagaraja, C. and McElroy, T. (2015) "On the Interpretation of Multi-Year Estimates of the American Community Survey as Period Estimates." Journal of the International Association of Official Statistics 31, 661-676.
McElroy, T. and Monsell, B. (2015) "Model Estimation, Prediction, and Signal Extraction for Nonstationary Stock and Flow Time Series Observed at Mixed Frequencies." Journal of the American Statistical Association 110, 1284-1303.
McElroy, T. (2015) "When are Direct Multi-Step and Iterative Forecasts Identical?" Journal of Forecasting 34, 316-336.
McElroy, T., and Findley, D. (2015) "Fitting Constrained Vector Autoregression Models." Empirical Economic and Financial Research – Theory, Methods, and Practice.
McElroy, T. and Trimbur, T. (2015) "Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation." Econometric Reviews 36, 209-227.
McElroy, T., and Pang, O. (2015) "The Algebraic Structure of Transformed Time Series." Empirical Economic and Financial Research – Theory, Methods, and Practice.
McElroy, T. and Holan, S. (2014) "Asymptotic Theory of Cepstral Random Fields." Annals of Statistics 42, 64-86.
McElroy, T. and Maravall, A. (2014) "Optimal Signal Extraction with Correlated Components." Journal of Time Series Econometrics 6(2), 237-273.
McElroy, T. and Politis, D. (2014) "The Multiple Testing Problem for Box-Pierce Statistics." Electronic Journal of Statistics 8, 497-522.
McElroy, T. and Politis, D. (2014) "Spectral Density and Spectral Distribution Inference for Long Memory Time Series via Fixed-b Asymptotics." Journal of Econometrics 182, 211-225.
McElroy, T. and Politis, D. (2013) "Forecasting Continuous-Time Processes with Applications to Signal Extraction." Annals of the Institute of Statistical Mathematics 65, 439-456.
McElroy, T. and Politis, D. (2013) "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series." Journal of Econometrics 177, 60-74.
McElroy, T. and Wildi, M. (2013) "Multi-Step Ahead Estimation of Time Series Models." International Journal of Forecasting 29, 378–394.
Holan, S., and McElroy, T. (2012) "Bayesian Seasonal Adjustment of Long Memory Time Series." Econometric Time Series: Modeling and Seasonality.
McElroy, T., and Holan, S. (2012) "The Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data." Econometric Time Series: Modeling and Seasonality.
Alexandrov, T., Bianconcini, S., Dagum, E., Maass, P., and McElroy, T. (2012) "The Review of Some Modern Approaches to the Problem of Trend Extraction." Econometric Reviews 31, 593-624.
Durrant, M., McElroy, T., and Durrant, L. (2012) "First Metatarsophalangeal Joint Motion in Homo Sapiens: Theoretical Association of Two-axis Kinematics and Specific Morphometrics." Journal of the American Podiatric Medical Association 102, 374-389.
McElroy, T., and Jach, A. (2012) "Subsampling Inference for the Autocovariances of Heavy-Tailed Long Memory Time Series." Journal of Time Series Analysis 33, 935-953.
Jach, A., McElroy, T., and Politis, D. (2012) "Subsampling Inference for the Mean of Heavy-tailed Long Memory Time Series." Journal of Time Series Analysis 33, 96-111.
McElroy, T. (2012) "An Alternative Model-based Seasonal Adjustment that Reduces Over-Adjustment." Taiwan Economic Forecast and Policy 43, 33-70.
McElroy, T. (2012) "The Perils of Inferring Serial Dependence from Sample Autocorrelation of Moving Average Series." Statistics and Probability Letters 82, 1632-1636.
Bell, W., Holan, S., and McElroy, T. (2012) "Economic Time Series: Modeling and Seasonality." Chapman Hall.
McElroy, T. and Holan, S. (2012) "A Conversation with David Findley." Statistical Science 27, 594-606.
McElroy, T. and Holan, S. (2012) "On the Computation of Autocovariances for Generalized Gegenbauer Processes." Statistica Sinica 22, 1661-1687.
McElroy, T. and Politis, D. (2012) "Tail Index Estimation in the Presence of Long Memory Dynamics." Computational Statistics and Data Analysis 56, 266-282.
McElroy, T. and Politis, D. (2012) "Fixed-b Asymptotics for the Studentized Mean for Long and Negative Memory Time Series." Econometric Theory 28, 471-481.
McElroy, T. and Trimbur, T. (2011) "A Nonparametric Method for Asymmetrically Extending Signal Extraction Filters." Journal of Forecasting 30, 597-621.
McElroy, T. and Trimbur, T. (2011) "On the Discretization of Continuous-time Filters for Nonstationary Stock and Flow Time Series." Econometric Reviews 30, 475-513.
Durrant, M. and McElroy, T. (2010) "X-ray Image Distortion Between the Distal Edge of the First Metatarsal and Tibial Sesamoid: Establishing a Reliable Radiographic Relationship." Journal of the American Podiatric Medical Association 100, 1-9.
Fitzsimmons, P. and McElroy, T. (2010) "On Joint Fourier-Laplace Transforms." Communications in Statistics 39, 1883-1885.
Holan, S. and McElroy, T. (2010) "Tail Exponent Estimation via Broadband Log Density-Quantile Regression." Journal of Statistical Planning and Inference 140, 3693-3708.
McElroy, T. (2010) "A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions." Studies in Nonlinear Dynamics and Econometrics 14(4), Article 6.
McElroy, T., and Findley, D. (2010) "Discerning Between Models Through Multi-Step Ahead Forecasting Errors." Journal of Statistical Planning and Inference 140, 3655-3675.
McElroy, T., and Widi, M. (2010) "Signal Extraction Revision Variances as a Goodness-of-Fit Measure." Journal of Time Series Econometrics 2(1), Article 4.
Holan, S., McElroy, T., and Chakraborty, S. (2009) "A Bayesian Approach to Estimating the Long Memory Parameter." Bayesian Analysis 4, 159-190.
McElroy, T. (2009) "Incompatibility of Trends in Multi-Year Estimates from the American Community Survey." The Annals of Applied Statistics 3, 1493-1504.
McElroy, T. and Holan, S. (2009) "A Local Spectral Approach for Assessing Time Series Model Misspecification." Journal of Multivariate Analysis 100, 604-621.
McElroy, T. and Holan, S. (2009) "A Nonparametric Test for Residual Seasonality." Survey Methodology 35, 67-83.
McElroy, T. and Holan, S. (2009) "Spectral Domain Diagnostics for Testing Model Proximity and Disparity in Time Series Data." Statistical Methodology 6, 1–20.
McElroy, T. (2008) "Exact Formulas for the Hodrick-Prescott Filter." The Econometrics Journal 11, 1–9.
McElroy, T. (2008) "Matrix Formulas for Nonstationary ARIMA Signal Extraction." Econometric Theory 24, 1-22.
McElroy, T. (2008) "Statistical Properties of Model-Based Signal Extraction Diagnostic Tests." Communications in Statistics 37, 591-616.
McElroy, T. and Gagnon, R. (2008) "Finite Sample Revision Variances for ARIMA Model-Based Signal Extraction." Journal of Official Statistics 24, 451–467.
McElroy, T. and Politis, D. (2008) "A Fine-Tuned Estimator of a General Convergence Rate." Australian New Zealand Journal of Statistics 50, 1-11.
McElroy, T. and Politis, D. (2007) "Computer-intensive Rate Estimation, Diverging Statistics, and Scanning." Annals of Statistics 35, 1827-1848.
McElroy, T. and Politis, D. (2007) "Moment-Based Tail Index Estimation." Journal of Statistical Planning and Inference 137, 1389–1406.
McElroy, T. and Politis, D. (2007) "Self-Normalization for Heavy-Tailed Time Series with Long Memory." Statistica Sinica 17, 199–220.
McElroy, T. and Politis, D. (2007) "Stable Marked Point Processes." Annals of Statistics 35, 393–419.
McElroy, T. and Sutcliffe, A. (2006) "An Iterated Parametric Approach to Nonstationary Signal Extraction." Computational Statistics and Data Analysis 50, 2206–2231.
McElroy, T. (2005) "A to Z of Mathematicians." Facts on File.
McElroy, T. and Politis, D. (2004) "Large Sample Theory for Statistics of Stable Moving Averages." Journal of Nonparametric Statistics 16, 623-657.
McElroy, T. and Politis, D. (2003) "Limit Theorems for Heavy-Tailed Random Fields with Subsampling Applications." Mathematical Methods of Statistics 3, 305-328.
McElroy, T. and Politis, D. (2002) "Robust Inference for the Mean in the Presence of Serial Correlation and Heavy-Tailed Distributions." Econometric Theory 18, 1019–1039.
McElroy, T., and Politis, D. (2000) "A Central Limit Theorem for an Array of Strong Mixing Random Fields." Papers in Honor of George Roussas.
Jung, P., McElroy, T., and Samuels, J. (1995) "The n-Extent of S3(p, m)." Furman University Electronic Journal of Undergraduate Mathematics. 1, 1–11.
Talk at City University of New York Baruch, New York, New York (Virtual)
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