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This IMA Volume in Mathematics and its Applications NEW DIRECTIONS IN TIME SERIES ANALYSIS, PART II is based on the proceedings of the IMA summer program "New Directions in Time Series Analysis. " We are grateful to David Brillinger, Peter Caines, John Geweke, Emanuel Parzen, Murray Rosenblatt, and Murad Taqqu for organizing the program and we hope that the remarkable excitement and enthusiasm of the participants in this interdisciplinary effort are communicated to the reader. A vner Friedman Willard Miller, Jr. PREFACE Time Series Analysis is truly an interdisciplinary field because development of its theory and methods requires interaction between the diverse disciplines in which it is applied. To harness its great potential, strong interaction must be encouraged among the diverse community of statisticians and other scientists whose research involves the analysis of time series data. This was the goal of the IMA Workshop on "New Directions in Time Series Analysis. " The workshop was held July 2-July 27, 1990 and was organized by a committee consisting of Emanuel Parzen (chair), David Brillinger, Murray Rosenblatt, Murad S. Taqqu, John Geweke, and Peter Caines. Constant guidance and encouragement was provided by Avner Friedman, Director of the IMA, and his very helpful and efficient staff. The workshops were organized by weeks. It may be of interest to record the themes that were announced in the IMA newsletter describing the workshop: l.








Content:
Front Matter....Pages i-xviii
Recent Developments in Location Estimation and Regression for Long-Memory Processes....Pages 1-9
Phase-Transition in Statistical Physical Models with Discrete and Continuous Symmetries....Pages 11-20
Identification of Linear Systems from Noisy Data....Pages 21-42
Unit Roots in U.S. Macroeconomic Time Series: A Survey of Classical and Bayesian Perspectives....Pages 43-69
A Nonparametric Approach to Nonlinear Time Series Analysis: Estimation and Simulation....Pages 71-92
Asymptotics of Predictive Stochastic Complexity....Pages 93-112
Smoothness Priors....Pages 113-146
An Extension of Quadrature-Based Methods for Solving Euler Conditions....Pages 147-151
Long Memory Shot Noises and Limit Theorems with Application to Burgers’ Equation....Pages 153-176
On Approximate Modeling of Linear Gaussian Processes....Pages 177-193
On the Identification and Prediction of Nonlinear Models....Pages 195-210
Identification of Stochastic Time-Varying Parameters....Pages 211-223
Convergence of ?str?m-Wittenmark’s Self-Tuning Regulator and Related Topics....Pages 225-238
On the Closure of Several Sets of ARMA and Linear State Space Models with a Given Structure....Pages 239-253
Weak Convergence to Self-Affine Processes in Dynamical Systems....Pages 255-262
Recursive Estimation in Armax Models....Pages 263-288
On Adaptive Stabilization and Ergodic Behaviour of Systems with Jump-Markov Parameters Via Nonlinear Filtering....Pages 289-314
The Convergence of output Error Recursions in Infinite Order Moving Average Noise....Pages 315-324
Linear Models with Long-Range Dependence and with Finite or Infinite Variance....Pages 325-340
Posterior Analysis of Possibly Integrated Time Series with an Application to Real GNP....Pages 341-361
On Network Structure Function Computations....Pages 363-373
Asymptotic Properties of Estimates in Incorrect ARMA Models for Long-Memory Time Series....Pages 375-382



Content:
Front Matter....Pages i-xviii
Recent Developments in Location Estimation and Regression for Long-Memory Processes....Pages 1-9
Phase-Transition in Statistical Physical Models with Discrete and Continuous Symmetries....Pages 11-20
Identification of Linear Systems from Noisy Data....Pages 21-42
Unit Roots in U.S. Macroeconomic Time Series: A Survey of Classical and Bayesian Perspectives....Pages 43-69
A Nonparametric Approach to Nonlinear Time Series Analysis: Estimation and Simulation....Pages 71-92
Asymptotics of Predictive Stochastic Complexity....Pages 93-112
Smoothness Priors....Pages 113-146
An Extension of Quadrature-Based Methods for Solving Euler Conditions....Pages 147-151
Long Memory Shot Noises and Limit Theorems with Application to Burgers’ Equation....Pages 153-176
On Approximate Modeling of Linear Gaussian Processes....Pages 177-193
On the Identification and Prediction of Nonlinear Models....Pages 195-210
Identification of Stochastic Time-Varying Parameters....Pages 211-223
Convergence of ?str?m-Wittenmark’s Self-Tuning Regulator and Related Topics....Pages 225-238
On the Closure of Several Sets of ARMA and Linear State Space Models with a Given Structure....Pages 239-253
Weak Convergence to Self-Affine Processes in Dynamical Systems....Pages 255-262
Recursive Estimation in Armax Models....Pages 263-288
On Adaptive Stabilization and Ergodic Behaviour of Systems with Jump-Markov Parameters Via Nonlinear Filtering....Pages 289-314
The Convergence of output Error Recursions in Infinite Order Moving Average Noise....Pages 315-324
Linear Models with Long-Range Dependence and with Finite or Infinite Variance....Pages 325-340
Posterior Analysis of Possibly Integrated Time Series with an Application to Real GNP....Pages 341-361
On Network Structure Function Computations....Pages 363-373
Asymptotic Properties of Estimates in Incorrect ARMA Models for Long-Memory Time Series....Pages 375-382
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