Athens Conference on Applied Probability and Time Series Analysis: Time series analysis, in memory of E.J. Hannan

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Springer, 1996 - Mathematics - 432 pages
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The Athens Conference on Applied Probability and Time Series in 1995 brought together researchers from across the world. The published papers appear in two volumes. Volume II presents papers on time series analysis, many of which were contributed to a meeting in March 1995 partly in honour of E.J. Hannan. The initial paper by P.M. Robinson discusses Ted Hannan's researches and their influence on current work in time series analysis. Other papers discuss methods for finite parameter Gaussian models, time series with infinite variance or stable marginal distribution, frequency domain methods, long range dependent processes, nonstationary processes, and nonlinear time series. The methods presented can be applied in a number of fields such as statistics, applied mathematics, engineering, economics and ecology. The papers include many of the topics of current interest in time series analysis and will be of interest to a wide range of researchers.

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Contents

Preface
1
A Note on Chaotic Maps and Time Series
15
A Structure Theory for Identification
27
Foreign Exchange Rates Have Surprising Volatility
55
An Analysis of an OrdinalValued Time Series
73
On the Use of ContinuousTime ARMA Models in Time Series Analysis
88
An Optimisation Technique for Robust Autoregressive Estimates
102
A Theory of Wavelet Representation and Decomposition for a General
115
Bandwidth Choice in Gaussian Semiparametric Estimation of Long Range
220
Some Limit Theorems on Stationary Processes with Long
233
Estimation of the Number of Spectral Lines
246
SelfNormalized and Randomly Centered Spectral Estimates
259
Asymptotics of MEstimators in NonLinear Regression with LongRange
272
Order Selection Stochastic Complexity and KullbackLeibler Information
291
Estimation of Frequencies
315
Bandwidth Selection for Nonparametric Regression with LongRange
339

Modeling the Distribution of Highly Volatile ExchangeRate Time Series
130
Asymptotic Statistical Inference for Nonstationary Processes with
145
Inference for Seasonal Moving Average Models with a Unit Root
160
General Kriging for SpatialTemporal Processes with Random ARX
177
Fractional Stochastic Unit Root Processes
190
Design of MovingAverage Trend Filters Using Fidelity and Smoothness
205
The Likelihood of an Autoregressive Scheme
352
Regression in LongMemory Time Series
378
A Frequency Domain Approach for Estimating Parameters in Point Process
392
Higher Order Asymptotic Theory for Tests and Studentized Statistics
406
SemiParametric Graphical Estimation Techniques for LongMemory Data
420
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