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

Copyright | |