Publications

Time Series: a First Course with Bootstrap Starter

Published in Chapman Hall, 2020

Recommended citation: McElroy, T. and Politis, D. (2020) "Time Series: a First Course with Bootstrap Starter." Chapman Hall.

Economic Time Series: Modeling and Seasonality

Published in Chapman Hall, 2012

Recommended citation: Bell, W., Holan, S., and McElroy, T. (2012) "Economic Time Series: Modeling and Seasonality." Chapman Hall.

A to Z of Mathematicians

Published in Facts on File, 2005

Recommended citation: McElroy, T. (2005) "A to Z of Mathematicians." Facts on File.

Applying the EM Algorithm to Multivariate Signal Extraction

Published in Journal of Official Statistics, 2024

Recommended citation: Livsey, J. and McElroy, T. (2024) "Applying the EM Algorithm to Multivariate Signal Extraction." Journal of Official Statistics 40(4), 660-684.
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Modeling Survey Time Series Data with Flow-Observed CARMA Processes

Published in Journal of Official Statistics, 2024

Recommended citation: Joyce, P. and McElroy, T. (2024) "Modeling Survey Time Series Data with Flow-Observed CARMA Processes." Journal of Official Statistics 40(4), 601-632.
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Cycle Fluctuations in the U.S. Real GDP and NIPA Aggregates

Published in Journal of Official Statistics, 2024

Recommended citation: 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.
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Skip-sampling: Subsampling in the Frequency Domain

Published in Biometrika, 2024

Recommended citation: McElroy, T. and Politis, D. (2024) "Skip-sampling: Subsampling in the Frequency Domain." Biometrika 111(4), 1241-1256.

Modeling Extreme Events in Time Series and Their Impact on Seasonal Adjustment in the Post-Covid-19 Era

Published in Bayesian Analysis, 2024

Recommended citation: 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.
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Estimating the Spectral Density at Frequencies Near Zero

Published in Journal of the American Statistical Association, 2024

Link to GitHub repo

Recommended citation: McElroy, T. and Politis, D. (2024) "Estimating the Spectral Density at Frequencies Near Zero." Journal of the American Statistical Association 119(545), 612-624.
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Quadratic Prediction of Time Series via Autocumulants

Published in Sankhya A, 2023

Link to GitHub repo

Recommended citation: McElroy, T., Ghosh, D., and Lahiri, S. (2023) "Quadratic Prediction of Time Series via Autocumulants." Sankhya A 1-33.
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Variable Targeting and Reduction in Large Vector Autoregressions with Applications to Workforce Indicators

Published in Journal of Applied Statistics, 2023

Link to GitHub repo

Recommended citation: 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.
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FLIP: a Utility Preserving Privacy Mechanism for Time Series.

Published in Journal of Machine Learning Research, 2023

Recommended citation: 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.
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Identification of the Differencing Operator of a Nonstationary Time Series via Testing for Zeroes in the Spectral Density

Published in Computational Statistics and Data Analysis, 2023

Recommended citation: 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.
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Stationary Parameterization of GARCH Processes

Published in Economics Bulletin, 2022

Link to GitHub repo

Recommended citation: McElroy, T. (2022) "Stationary Parameterization of GARCH Processes." Economics Bulletin 42(4), 1908-1930.
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Optimal Linear Interpolation of Multiple Missing Values

Published in Statistical Inference for Stochastic Processes, 2022

Recommended citation: McElroy, T. and Politis, D. (2022) "Optimal Linear Interpolation of Multiple Missing Values." Statistical Inference for Stochastic Processes 25, 471-483.
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Casting Vector Time Series: Algorithms for Forecasting, Imputation, and Signal Extraction

Published in Electronic Journal of Statistics, 2022

Link to GitHub repo

Recommended citation: McElroy, T. (2022) "Casting Vector Time Series: Algorithms for Forecasting, Imputation, and Signal Extraction." Electronic Journal of Statistics 16, 5534-5569.
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A Review of Seasonal Adjustment Diagnostics

Published in International Statistical Review, 2022

Recommended citation: McElroy, T. and Roy, A. (2022) "A Review of Seasonal Adjustment Diagnostics." International Statistical Review 90(2), 259-284.
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Assessing Residual Seasonality in the U.S. National Income and Product Accounts Aggregates

Published in Journal of Official Statistics, 2022

Recommended citation: 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.

Modeled Approximations to the Ideal Filter with Application to Time Series of Gross Domestic Product

Published in The Annals of Applied Statistics, 2022

Recommended citation: 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.

Model Identification via Total Frobenius Norm of Multivariate Spectra

Published in Journal of the Royal Statistical Society, Series B, 2022

Link to GitHub repo

Recommended citation: 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.
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Term Structure of Uncertainty: New Evidence from Survey Expectations

Published in Journal of Money, Credit, and Banking, 2022

Recommended citation: 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.
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Frequency Domain Calculation of Seasonal VARMA Autocovariances

Published in Journal of Computational and Graphical Statistics, 2022

Link to GitHub repo

Recommended citation: McElroy, T. (2022) "Frequency Domain Calculation of Seasonal VARMA Autocovariances." Journal of Computational and Graphical Statistics 31(1), 301-303.
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A Diagnostic for Seasonality Based Upon Polynomial Roots of ARMA Models

Published in Journal of Official Statistics, 2021

Recommended citation: McElroy, T. (2021) "A Diagnostic for Seasonality Based Upon Polynomial Roots of ARMA Models." Journal of Official Statistics 37(2), 367-394.
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Anticipating Revisions in the Transportation Services Index

Published in Journal of the International Association of Official Statistics, 2021

Recommended citation: 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.
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Nonlinear Prediction via Hermite Transformation

Published in Statistical Theory and Related Fields, 2021

Recommended citation: McElroy, T. and Das, S. (2021) "Nonlinear Prediction via Hermite Transformation." Statistical Theory and Related Fields 5(1), 49-54.
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Testing for Adequacy of Seasonal Adjustment in the Frequency Domain

Published in Journal of Statistical Planning and Inference, 2021

Recommended citation: 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.
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Time Series Seasonal Adjustment Using Regularized Singular Value Decomposition

Published in Journal of Business and Economics Statistics, 2020

Recommended citation: 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.
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Expectation Formation Following Large and Unpredictable Shocks

Published in Review of Economics and Statistics, 2020

Recommended citation: Baker, S., McElroy, T. and Sheng, X. (2020) "Expectation Formation Following Large and Unpredictable Shocks." Review of Economics and Statistics 102(2), 287-303.
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Multivariate Direct Filter Analysis for Real-Time Signal Extraction Problems

Published in Econometrics and Statistics, 2020

Recommended citation: McElroy, T. and Wildi, M. (2020) "Multivariate Direct Filter Analysis for Real-Time Signal Extraction Problems." Econometrics Statistics 14, 112-130.
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Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence

Published in LABOUR: Review of Labour Economics and Industrial Relations, 2019

Recommended citation: 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.
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Testing Collinearity of Vector Time Series

Published in The Econometrics Journal, 2019

Recommended citation: McElroy, T. and Jach, A. (2019) "Testing Collinearity of Vector Time Series." The Econometrics Journal 22(2), 97-116.
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Maximum Entropy Extreme-Value Seasonal Adjustment

Published in Australian New Zealand Journal of Statistics, 2019

Recommended citation: McElroy, T. and Penny, R. (2019) "Maximum Entropy Extreme-Value Seasonal Adjustment." Australian New Zealand Journal of Statistics 61(2), 152-174.
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The Trilemma Between Accuracy, Timeliness, and Smoothness in Real-Time Signal Extraction

Published in International Journal of Forecasting, 2019

Recommended citation: 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.
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Establishing a Common Instantaneous Center of Rotation for the Metatarso-Phalangeal and Metatarso-Sesamoidal Joints: a Theoretical Geometric Model Based on Specific Morphometrics

Published in Journal of Orthopaedic Surgery and Research, 2019

Recommended citation: 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.

Constrained Estimation of Causal Invertible VARMA

Published in Statistica Sinica, 2019

Recommended citation: Roy, A., McElroy, T., and Linton, P. (2019) "Constrained Estimation of Causal Invertible VARMA." Statistica Sinica 29(1), 455-478.
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Custom Epoch Estimation for Surveys

Published in Journal of Applied Statistics, 2019

Recommended citation: McElroy, T., Pang, O., and Sheldon, G. (2019) "Custom Epoch Estimation for Surveys." Journal of Applied Statistics 46, 638-663.
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Subsampling Inference for the Autocorrelations of GARCH Processes

Published in Journal of Financial Econometrics, 2019

Recommended citation: McElroy, T. and Jach, A. (2019) "Subsampling Inference for the Autocorrelations of GARCH Processes." Journal of Financial Econometrics 17(3), 495-515.
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Seasonal Adjustment Subject to Accounting Constraints

Published in Statistica Neerlandica, 2018

Recommended citation: McElroy, T. (2018) "Seasonal Adjustment Subject to Accounting Constraints." Statistica Neerlandica 72, 574-589.
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Recursive Computation for Block Nested Covariance Matrices

Published in Journal of Time Series Analysis, 2018

Recommended citation: McElroy, T. (2018) "Recursive Computation for Block Nested Covariance Matrices." Journal of Time Series Analysis 39(3), 299-312.
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The Inverse Kullback Leibler Method for Fitting Vector Moving Averages

Published in Journal of Time Series Analysis, 2018

Recommended citation: McElroy, T. and Roy, A. (2018) "The Inverse Kullback Leibler Method for Fitting Vector Moving Averages." Journal of Time Series Analysis 39, 172-191.
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The Multivariate Bullwhip Effect

Published in European Journal of Operations Research, 2018

Recommended citation: Nagaraja, C. and McElroy, T. (2018) "The Multivariate Bullwhip Effect." European Journal of Operations Research 267, 96-106.
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Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy

Published in Journal of Business and Economics Statistics, 2017

Recommended citation: McElroy, T. (2017) "Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy." Journal of Business and Economics Statistics 35(4), 511-525.
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Multi-Step Ahead Forecasting of Vector Time Series

Published in Econometric Reviews, 2017

Recommended citation: McElroy, T. and McCracken, M. (2017) "Multi-Step Ahead Forecasting of Vector Time Series." Econometric Reviews 36(5), 495-513.
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Signal Extraction Goodness-of-fit Diagnostic Tests Under Model Parameter Uncertainty: Formulations and Empirical Evaluation

Published in Econometric Reviews, 2017

Recommended citation: 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.

Signal Extraction for Nonstationary Time Series With Diverse Sampling Rules

Published in Journal of Time Series Econometrics, 2017

Recommended citation: Trimbur, T. and McElroy, T. (2017) "Signal Extraction for Nonstationary Time Series With Diverse Sampling Rules." Journal of Time Series Econometrics 9(1).
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Computation of Vector ARMA Autocovariances

Published in Statistics and Probability Letters, 2017

Recommended citation: McElroy, T. (2017) "Computation of Vector ARMA Autocovariances." Statistics and Probability Letters 124, 92-96.
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The Cepstral Model for Multivariate Time Series: The Vector Exponential Model

Published in Statistica Sinica, 2017

Recommended citation: Holan, S., McElroy, T., and Wu, G. (2017) "The Cepstral Model for Multivariate Time Series: The Vector Exponential Model." Statistica Sinica 27, 23-42.
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Non-nested Model Comparisons for Time Series

Published in Biometrika, 2016

Recommended citation: McElroy, T. (2016) "Non-nested Model Comparisons for Time Series." Biometrika 103, 905-914.
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On the Measurement and Treatment of Extremes in Time Series

Published in Extremes, 2016

Recommended citation: McElroy, T. (2016) "On the Measurement and Treatment of Extremes in Time Series." Extremes 19(3), 467-490.
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Optimal Real-Time Filters for Linear Prediction Problems

Published in Journal of Time Series Econometrics, 2016

Recommended citation: Wildi, M. and McElroy, T. (2016) "Optimal Real-Time Filters for Linear Prediction Problems." Journal of Time Series Econometrics 8(2), 155-192.
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Computation of the Autocovariances for Time Series with Multiple Long-Range Persistencies

Published in Computational Statistics and Data Analysis, 2016

Recommended citation: 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.
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Hermite Expansion and Estimation of Monotonic Transformations of Gaussian Data

Published in Journal of Nonparametric Statistics, 2016

Recommended citation: Janicki, R. and McElroy, T. (2016) "Hermite Expansion and Estimation of Monotonic Transformations of Gaussian Data." Journal of Nonparametric Statistics 28(1), 207-234.
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Tail Index Estimation with a Fixed Tuning Parameter Fraction

Published in Journal of Statistical Planning and Inference, 2016

Recommended citation: McElroy, T. and Nagaraja, C. (2016) "Tail Index Estimation with a Fixed Tuning Parameter Fraction." Journal of Statistical Planning and Inference 170, 27-45.
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On the Interpretation of Multi-Year Estimates of the American Community Survey as Period Estimates

Published in Journal of the International Association of Official Statistics, 2015

Recommended citation: 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.
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Model Estimation, Prediction, and Signal Extraction for Nonstationary Stock and Flow Time Series Observed at Mixed Frequencies

Published in Journal of the American Statistical Association, 2015

Recommended citation: 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.
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When are Direct Multi-Step and Iterative Forecasts Identical?

Published in Journal of Forecasting, 2015

Recommended citation: McElroy, T. (2015) "When are Direct Multi-Step and Iterative Forecasts Identical?" Journal of Forecasting 34, 316-336.
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Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation

Published in Journal of Time Series Analysis, 2015

Recommended citation: McElroy, T. and Trimbur, T. (2015) "Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation." Econometric Reviews 36, 209-227.
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Asymptotic Theory of Cepstral Random Fields

Published in Annals of Statistics, 2014

Recommended citation: McElroy, T. and Holan, S. (2014) "Asymptotic Theory of Cepstral Random Fields." Annals of Statistics 42, 64-86.
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Optimal Signal Extraction with Correlated Components

Published in Journal of Time Series Econometrics, 2014

Recommended citation: McElroy, T. and Maravall, A. (2014) "Optimal Signal Extraction with Correlated Components." Journal of Time Series Econometrics 6(2), 237-273.
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The Multiple Testing Problem for Box-Pierce Statistics

Published in Electronic Journal of Statistics, 2014

Recommended citation: McElroy, T. and Politis, D. (2014) "The Multiple Testing Problem for Box-Pierce Statistics." Electronic Journal of Statistics 8, 497-522.
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Spectral Density and Spectral Distribution Inference for Long Memory Time Series via Fixed-b Asymptotics

Published in Journal of Econometrics, 2014

Recommended citation: 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.
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Forecasting Continuous-Time Processes with Applications to Signal Extraction

Published in Annals of the Institute of Statistical Mathematics, 2013

Recommended citation: 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.
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Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series

Published in Journal of Econometrics, 2013

Recommended citation: 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.
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Multi-Step Ahead Estimation of Time Series Models

Published in International Journal of Forecasting, 2013

Recommended citation: McElroy, T. and Wildi, M. (2013) "Multi-Step Ahead Estimation of Time Series Models." International Journal of Forecasting 29, 378–394.
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The Review of Some Modern Approaches to the Problem of Trend Extraction

Published in Econometric Reviews, 2012

Recommended citation: 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.
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First Metatarsophalangeal Joint Motion in Homo Sapiens: Theoretical Association of Two-axis Kinematics and Specific Morphometrics

Published in Journal of the American Podiatric Medical Association, 2012

Recommended citation: 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.
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Subsampling Inference for the Autocovariances of Heavy-Tailed Long Memory Time Series

Published in Journal of Time Series Analysis, 2012

Recommended citation: 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.
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Subsampling Inference for the Mean of Heavy-tailed Long Memory Time Series

Published in Journal of Time Series Analysis, 2012

Recommended citation: 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.
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An Alternative Model-based Seasonal Adjustment that Reduces Over-Adjustment

Published in Taiwan Economic Forecast and Policy, 2012

Recommended citation: McElroy, T. (2012) "An Alternative Model-based Seasonal Adjustment that Reduces Over-Adjustment." Taiwan Economic Forecast and Policy 43, 33-70.
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The Perils of Inferring Serial Dependence from Sample Autocorrelation of Moving Average Series

Published in Statistics and Probability Letters, 2012

Recommended citation: McElroy, T. (2012) "The Perils of Inferring Serial Dependence from Sample Autocorrelation of Moving Average Series." Statistics and Probability Letters 82, 1632-1636.
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A Conversation with David Findley

Published in Statistical Science, 2012

Recommended citation: McElroy, T. and Holan, S. (2012) "A Conversation with David Findley." Statistical Science 27, 594-606.
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On the Computation of Autocovariances for Generalized Gegenbauer Processes

Published in Statistica Sinica, 2012

Recommended citation: McElroy, T. and Holan, S. (2012) "On the Computation of Autocovariances for Generalized Gegenbauer Processes." Statistica Sinica 22, 1661-1687.
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Tail Index Estimation in the Presence of Long Memory Dynamics

Published in Computational Statistics and Data Analysis, 2012

Recommended citation: McElroy, T. and Politis, D. (2012) "Tail Index Estimation in the Presence of Long Memory Dynamics." Computational Statistics and Data Analysis 56, 266-282.
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Fixed-b Asymptotics for the Studentized Mean for Long and Negative Memory Time Series

Published in Econometric Theory, 2012

Recommended citation: 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.
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A Nonparametric Method for Asymmetrically Extending Signal Extraction Filters

Published in Journal of Forecasting, 2011

Recommended citation: McElroy, T. and Trimbur, T. (2011) "A Nonparametric Method for Asymmetrically Extending Signal Extraction Filters." Journal of Forecasting 30, 597-621.
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On the Discretization of Continuous-time Filters for Nonstationary Stock and Flow Time Series

Published in Econometric Reviews, 2011

Recommended citation: 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.
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X-ray Image Distortion Between the Distal Edge of the First Metatarsal and Tibial Sesamoid: Establishing a Reliable Radiographic Relationship

Published in Journal of the American Podiatric Medical Association, 2010

Recommended citation: 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.
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On Joint Fourier-Laplace Transforms

Published in Communications in Statistics, 2010

Recommended citation: Fitzsimmons, P. and McElroy, T. (2010) "On Joint Fourier-Laplace Transforms." Communications in Statistics 39, 1883-1885.
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Tail Exponent Estimation via Broadband Log Density-Quantile Regression

Published in Journal of Statistical Planning and Inference, 2010

Recommended citation: Holan, S. and McElroy, T. (2010) "Tail Exponent Estimation via Broadband Log Density-Quantile Regression." Journal of Statistical Planning and Inference 140, 3693-3708.
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A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions.

Published in Studies in Nonlinear Dynamics and Econometrics, 2010

Recommended citation: McElroy, T. (2010) "A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions." Studies in Nonlinear Dynamics and Econometrics 14(4), Article 6.
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Discerning Between Models Through Multi-Step Ahead Forecasting Errors.

Published in Journal of Statistical Planning and Inference, 2010

Recommended citation: McElroy, T., and Findley, D. (2010) "Discerning Between Models Through Multi-Step Ahead Forecasting Errors." Journal of Statistical Planning and Inference 140, 3655-3675.
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Signal Extraction Revision Variances as a Goodness-of-Fit Measure.

Published in Journal of Time Series Econometrics, 2010

Recommended citation: 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.
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A Bayesian Approach to Estimating the Long Memory Parameter

Published in Bayesian Analysis, 2009

Recommended citation: Holan, S., McElroy, T., and Chakraborty, S. (2009) "A Bayesian Approach to Estimating the Long Memory Parameter." Bayesian Analysis 4, 159-190.
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Incompatibility of Trends in Multi-Year Estimates from the American Community Survey

Published in The Annals of Applied Statistics, 2009

Recommended citation: McElroy, T. (2009) "Incompatibility of Trends in Multi-Year Estimates from the American Community Survey." The Annals of Applied Statistics 3, 1493-1504.
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A Local Spectral Approach for Assessing Time Series Model Misspecification

Published in Journal of Multivariate Analysis, 2009

Recommended citation: McElroy, T. and Holan, S. (2009) "A Local Spectral Approach for Assessing Time Series Model Misspecification." Journal of Multivariate Analysis 100, 604-621.
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A Nonparametric Test for Residual Seasonality

Published in Survey Methodology, 2009

Recommended citation: McElroy, T. and Holan, S. (2009) "A Nonparametric Test for Residual Seasonality." Survey Methodology 35, 67-83.
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Spectral Domain Diagnostics for Testing Model Proximity and Disparity in Time Series Data

Published in Statistical Methodology, 2009

Recommended citation: McElroy, T. and Holan, S. (2009) "Spectral Domain Diagnostics for Testing Model Proximity and Disparity in Time Series Data." Statistical Methodology 6, 1–20.
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Exact Formulas for the Hodrick-Prescott Filter

Published in The Econometrics Journal, 2008

Recommended citation: McElroy, T. (2008) "Exact Formulas for the Hodrick-Prescott Filter." The Econometrics Journal 11, 1–9.
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Matrix Formulas for Nonstationary ARIMA Signal Extraction

Published in Econometric Theory, 2008

Recommended citation: McElroy, T. (2008) "Matrix Formulas for Nonstationary ARIMA Signal Extraction." Econometric Theory 24, 1-22.
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Statistical Properties of Model-Based Signal Extraction Diagnostic Tests

Published in Communications in Statistics, 2008

Recommended citation: McElroy, T. (2008) "Statistical Properties of Model-Based Signal Extraction Diagnostic Tests." Communications in Statistics 37, 591-616.
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Finite Sample Revision Variances for ARIMA Model-Based Signal Extraction

Published in Journal of Official Statistics, 2008

Recommended citation: McElroy, T. and Gagnon, R. (2008) "Finite Sample Revision Variances for ARIMA Model-Based Signal Extraction." Journal of Official Statistics 24, 451–467.
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A Fine-Tuned Estimator of a General Convergence Rate

Published in Australian New Zealand Journal of Statistics, 2008

Recommended citation: McElroy, T. and Politis, D. (2008) "A Fine-Tuned Estimator of a General Convergence Rate." Australian New Zealand Journal of Statistics 50, 1-11.
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Computer-intensive Rate Estimation, Diverging Statistics, and Scanning

Published in Annals of Statistics, 2007

Recommended citation: McElroy, T. and Politis, D. (2007) "Computer-intensive Rate Estimation, Diverging Statistics, and Scanning." Annals of Statistics 35, 1827-1848.
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Moment-Based Tail Index Estimation.

Published in Journal of Statistical Planning and Inference, 2007

Recommended citation: McElroy, T. and Politis, D. (2007) "Moment-Based Tail Index Estimation." Journal of Statistical Planning and Inference 137, 1389–1406.
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Self-Normalization for Heavy-Tailed Time Series with Long Memory.

Published in Statistica Sinica, 2007

Recommended citation: McElroy, T. and Politis, D. (2007) "Self-Normalization for Heavy-Tailed Time Series with Long Memory." Statistica Sinica 17, 199–220.
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Stable Marked Point Processes

Published in Annals of Statistics, 2007

Recommended citation: McElroy, T. and Politis, D. (2007) "Stable Marked Point Processes." Annals of Statistics 35, 393–419.
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An Iterated Parametric Approach to Nonstationary Signal Extraction

Published in Computational Statistics and Data Analysis, 2006

Recommended citation: McElroy, T. and Sutcliffe, A. (2006) "An Iterated Parametric Approach to Nonstationary Signal Extraction." Computational Statistics and Data Analysis 50, 2206–2231.
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Large Sample Theory for Statistics of Stable Moving Averages

Published in Journal of Nonparametric Statistics, 2004

Recommended citation: McElroy, T. and Politis, D. (2004) "Large Sample Theory for Statistics of Stable Moving Averages." Journal of Nonparametric Statistics 16, 623-657.

Limit Theorems for Heavy-Tailed Random Fields with Subsampling Applications

Published in Mathematical Methods of Statistics, 2003

Recommended citation: McElroy, T. and Politis, D. (2003) "Limit Theorems for Heavy-Tailed Random Fields with Subsampling Applications." Mathematical Methods of Statistics 3, 305-328.

Robust Inference for the Mean in the Presence of Serial Correlation and Heavy-Tailed Distributions

Published in Econometric Theory, 2002

Recommended citation: 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.
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The n-Extent of S3(p,m)

Published in Furman University Electronic Journal of Undergraduate Mathematics, 1995

Recommended citation: 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.
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Preface to Time Series Special Issue of the Journal of Official Statistics

Published in Journal of Official Statistics, 2024

Recommended citation: 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.
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Background and Perspectives for ARIMA Model-Based Seasonal Adjustment

Published in Handbook on Seasonal Adjustment, 2018

Recommended citation: Findley, D., and McElroy, T. (2018) "Background and Perspectives for ARIMA Model-Based Seasonal Adjustment." Handbook on Seasonal Adjustment.

Fitting Constrained Vector Autoregression Models

Published in Empirical Economic and Financial Research – Theory, Methods, and Practice, 2015

Recommended citation: McElroy, T., and Findley, D. (2015) "Fitting Constrained Vector Autoregression Models." Empirical Economic and Financial Research – Theory, Methods, and Practice.
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The Algebraic Structure of Transformed Time Series

Published in Empirical Economic and Financial Research – Theory, Methods, and Practice, 2015

Recommended citation: McElroy, T., and Pang, O. (2015) "The Algebraic Structure of Transformed Time Series." Empirical Economic and Financial Research – Theory, Methods, and Practice.
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Bayesian Seasonal Adjustment of Long Memory Time Series

Published in Econometric Time Series: Modeling and Seasonality, 2012

Recommended citation: Holan, S., and McElroy, T. (2012) "Bayesian Seasonal Adjustment of Long Memory Time Series." Econometric Time Series: Modeling and Seasonality.

The Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data

Published in Econometric Time Series: Modeling and Seasonality, 2012

Recommended citation: McElroy, T., and Holan, S. (2012) "The Error in Business Cycle Estimates Obtained from Seasonally Adjusted Data." Econometric Time Series: Modeling and Seasonality.
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A Central Limit Theorem for an Array of Strong Mixing Random Fields

Published in Papers in Honor of George Roussas, 2000

Recommended citation: McElroy, T., and Politis, D. (2000) "A Central Limit Theorem for an Array of Strong Mixing Random Fields." Papers in Honor of George Roussas.