Ebook: Athens Conference on Applied Probability and Time Series Analysis: Volume II: Time Series Analysis In Memory of E.J. Hannan

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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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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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.
Content:
Front Matter....Pages i-viii
Memorial Article: Edward J. Hannan, 1921–1994....Pages 1-14
A note on chaotic maps and time series....Pages 15-26
Balanced Parametrizations: A Structure Theory for Identification....Pages 27-41
Recent Developments in Analysis of Time Series with Infinite Variance: A Review....Pages 42-54
Foreign Exchange Rates Have Surprising Volatility....Pages 55-72
An analysis of an ordinal-valued time series....Pages 73-87
On the Use of Continuous-time ARMA Models in Time Series Analysis....Pages 88-101
An Optimisation Technique For Robust Autoregressive Estimates....Pages 102-114
A Theory of Wavelet Representation and Decomposition for a General Stochastic Process....Pages 115-129
Modeling the Distribution of Highly Volatile Exchange-rate Time Series....Pages 130-144
Asymptotic statistical inference for nonstationary processes with evolutionary spectra....Pages 145-159
Inference for Seasonal Moving Average Models With a Unit Root....Pages 160-176
General Kriging for spatial-temporal processes with random ARX—regression parameters....Pages 177-189
Fractional Stochastic Unit Root Processes....Pages 190-204
Design of Moving-Average Trend Filters using Fidelity and Smoothness Criteria....Pages 205-219
Bandwidth Choice in Gaussian Semiparametric Estimation of Long Range Dependence....Pages 220-232
Some limit theorems on stationary processes with long-range dependence....Pages 233-245
Estimation of the Number of Spectral Lines....Pages 246-258
Self-normalized and randomly centered spectral estimates....Pages 259-271
Asymptotics of M-estimators in non-linear regression with long-range dependent errors....Pages 272-290
Order Selection, Stochastic Complexity and Kullback-Leibler Information....Pages 291-299
Efficiency Gains from Quasi-Differencing under Nonstationarity....Pages 300-314
Estimation of Frequencies....Pages 315-323
Statistical Problems in the Analysis of Underwater Sound....Pages 324-338
Iterative Bandwidth Estimation for Nonparametric Regression with Long-range Dependent Errors....Pages 339-351
The Likelihood of an Autoregressive Scheme....Pages 352-362
Testing for Serial Independence Using Measures of Distance between Densities....Pages 363-377
Regression in Long-Memory Time Series....Pages 378-391
A frequency domain approach for estimating parameters in point process models....Pages 392-405
Higher Order Asymptotic Theory for Tests and Studentized Statistics in Time Series....Pages 406-419
Semi-parametric graphical estimation techniques for long-memory data....Pages 420-432
Back Matter....Pages 433-434

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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.
Content:
Front Matter....Pages i-viii
Memorial Article: Edward J. Hannan, 1921–1994....Pages 1-14
A note on chaotic maps and time series....Pages 15-26
Balanced Parametrizations: A Structure Theory for Identification....Pages 27-41
Recent Developments in Analysis of Time Series with Infinite Variance: A Review....Pages 42-54
Foreign Exchange Rates Have Surprising Volatility....Pages 55-72
An analysis of an ordinal-valued time series....Pages 73-87
On the Use of Continuous-time ARMA Models in Time Series Analysis....Pages 88-101
An Optimisation Technique For Robust Autoregressive Estimates....Pages 102-114
A Theory of Wavelet Representation and Decomposition for a General Stochastic Process....Pages 115-129
Modeling the Distribution of Highly Volatile Exchange-rate Time Series....Pages 130-144
Asymptotic statistical inference for nonstationary processes with evolutionary spectra....Pages 145-159
Inference for Seasonal Moving Average Models With a Unit Root....Pages 160-176
General Kriging for spatial-temporal processes with random ARX—regression parameters....Pages 177-189
Fractional Stochastic Unit Root Processes....Pages 190-204
Design of Moving-Average Trend Filters using Fidelity and Smoothness Criteria....Pages 205-219
Bandwidth Choice in Gaussian Semiparametric Estimation of Long Range Dependence....Pages 220-232
Some limit theorems on stationary processes with long-range dependence....Pages 233-245
Estimation of the Number of Spectral Lines....Pages 246-258
Self-normalized and randomly centered spectral estimates....Pages 259-271
Asymptotics of M-estimators in non-linear regression with long-range dependent errors....Pages 272-290
Order Selection, Stochastic Complexity and Kullback-Leibler Information....Pages 291-299
Efficiency Gains from Quasi-Differencing under Nonstationarity....Pages 300-314
Estimation of Frequencies....Pages 315-323
Statistical Problems in the Analysis of Underwater Sound....Pages 324-338
Iterative Bandwidth Estimation for Nonparametric Regression with Long-range Dependent Errors....Pages 339-351
The Likelihood of an Autoregressive Scheme....Pages 352-362
Testing for Serial Independence Using Measures of Distance between Densities....Pages 363-377
Regression in Long-Memory Time Series....Pages 378-391
A frequency domain approach for estimating parameters in point process models....Pages 392-405
Higher Order Asymptotic Theory for Tests and Studentized Statistics in Time Series....Pages 406-419
Semi-parametric graphical estimation techniques for long-memory data....Pages 420-432
Back Matter....Pages 433-434
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