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publications
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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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.
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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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.
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.
A to Z of Mathematicians
Published in Facts on File, 2005
Recommended citation: McElroy, T. (2005) "A to Z of Mathematicians." Facts on File.
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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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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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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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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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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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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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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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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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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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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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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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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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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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 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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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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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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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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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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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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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 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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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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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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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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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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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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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.
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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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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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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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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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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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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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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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.
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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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.
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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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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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.
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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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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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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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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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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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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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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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.
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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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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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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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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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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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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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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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.
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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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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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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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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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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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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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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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.
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.
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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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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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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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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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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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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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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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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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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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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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.
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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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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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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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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talks
Finite Sample Signal Extraction
Published:
Forecasting Age Distribution Curves
Published:
Finite-Sample Signal Extraction
Published:
A Local Goodness-of-Fit Diagnostic Based on the Log Determinant of the Sample Covariance Matrix
Published:
Compatible Trends for ACS Data
Published:
Negative Seasonality and the Reduction of Dips in the Spectrum of a Seasonally Adjusted Time Series
Published:
Fixed-Bandwidth Asymptotics for the Studentized Mean for Long and Negative Memory Time Series
Published:
Noah-Joseph Models for Economic Time Series: Incorporating Heavy Tails and Long Range Dependence
Published:
Signal Extraction for Nonstationary Multivariate Time Series with Applications to Trend Inflation
Published:
General and Consistent Signal Extraction for Nonstationary Time Series with Diverse Sampling Rules
Published:
Seasonal Adjustment of Meager Time Series
Published:
Testing Collinearity of Vector Time Series
Published:
Challenges with Seasonal Adjustment
Published:
Testing Collinearity of Vector Time Series
Published:
Real-time Signal Extraction of Vector Time Series via Multivariate Direct Filter Analysis
Published:
Assessing Residual Seasonality in the U.S. National Income and Product Accounts Aggregates
Published:
Polyspectral Factorization
Published:
Materials for this talk: slides
Time Series: A First Course with Bootstrap Starter
Published:
Materials for this ASA Webinar: GitHub repo
Polyspectral Factorization
Published:
Materials for this talk: slides
Inference and Prediction for Quadratic Processes
Published:
Materials for this talk: slides
Removing Residual Seasonality from GDP
Published:
Identifying Seasonality
Published:
Mitigating Residual Seasonality While Preserving Accounting Relations in Hierarchical Time Series
Published:
Materials for this talk: slides
Optimal Linear Compression for Multivariate Time Series with Applications to Index Construction
Published:
Materials for this talk: slides
Reclassification Testing and Rectification for Time Series Survey Discontinuities
Published:
Materials for this talk: slides
Non-nested Model Comparisons of Differencing Operators for Non-stationary Time Series
Published:
Materials for this talk: slides
A Seasonality Diagnostic Based Upon Multi-step Ahead Forecasting Errors
Published:
Materials for this talk: slides
teaching
Statistical Methods
Undergraduate course, University of California San Diego, Mathematics Department (2001-2003), 2001
Introduction to mathematical statistics for undergraduates.
Introduction to Time Series and Seasonal Adjustment
Postgraduate course, U.S. Census Bureau (2004, 2011), 2004
Introduction to time series and seasonal adjustment for Census employees.
RegARIMA Modeling
Postgraduate course, U.S. Census Bureau (2008, 2012), 2008
Introduction to time series analysis with RegARIMA models for Census employees.
X-13 ARIMA-SEATS
Postgraduate course, Eurostat Training Session (October 20-22, 2009), 2009
Theory and software course designed for Eurostat statisticians and users of X-13 ARIMA-SEATS.
Econometric Methods
Postgraduate course, American University, Economics Department (Spring 2014, Spring 2015, Autumn 2015, Autumn 2016), 2014
Introductory econometrics for first year PhD economics students.
Time Series Analysis and Forecasting
Postgraduate course, George Mason University, Statistics Department (Autumn 2018), 2018
Introductory time series course for Masters statistics students.
Exploratory Data Analysis and Inference
Undergraduate course, University of California San Diego, Mathematics Department (Winter 2021), 2021
Introductory statistics and data science course for junior/senior undergraduate statistics students. Link to GitHub repo