Athens Conference on Applied Probability and Time Series Analysis: Volume II: Time Series Analysis In Memory of E.J. Hannan: 115 - Brossura

Murray Rosenblatt, P. M. Robinson

Brossura

ISBN 10: 0387947876 ISBN 13: 9780387947877

Casa editrice: Springer New York, 1996

Riassunto

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.

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Contenuti

Memorial Article: Edward J. Hannan, 1921–1994.- A Note on Chaotic Maps and Time Series.- Balanced Parametrizations: A Structure Theory for Identification.- Recent Developments in Analysis of Times Series with Infinite Variance: A Review.- Foreign Exchange Rates Have Surprising Volatility.- An Analysis of an Ordinal-Valued Time Series.- On the Use of Continuous-Time ARMA Models in Time Series Analysis.- An Optimisation Technique for Robust Autoregressive Estimates.- A Theory of Wavelet Representation and Decomposition for a General Stochastic Process.- Modeling the Distribution of Highly Volatile Exchange-Rate Time Series.- Asymptotic Statistical Inference for Nonstationary Processes with Evolutionary Spectra.- Inference for Seasonal Moving Average Models with a Unit Root.- General Kriging for Spatial-Temporal Processes with Random ARX-Regression Parameters.- Fractional Stochastic Unit Root Processes.- Design of Moving-Average Trend Filters Using Fidelity and Smoothness Criteria.- Bandwidth Choice in Gaussian Semiparametric Estimation of Long Range Dependence.- Some Limit Theorems on Stationary Processes with Long Range Dependence.- Estimation of the Number of Spectral Lines.- Self-Normalized and Randomly Centered Spectral Estimates.- Asymptotics of M-Estimators in Non-Linear Regression with Long-Range Dependent Errors.- Order Selection, Stochastic Complexity and Kullback-Leibler Information.- Efficiency Gains from Quasi-Differencing under Nonstationarity.- Estimation of Frequencies.- Statistical Problems in the Analysis of Underwater Sound.- Bandwidth Selection for Nonparametric Regression with Long-Range Dependent Errors.- The Likelihood of an Autoregressive Scheme.- Testing for Serial Independence Using Measures of Distance between Densities.- Regression in Long-Memory Time Series.- A Frequency Domain Approach for Estimating Parameters in Point Process Models.- Higher Order Asymptotic Theory for Tests and Studentized Statistics in Time Series.- Semi-Parametric Graphical Estimation Techniques for Long-Memory Data.

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Dettagli dell'edizione

• Editore: Springer New York
• Data di pubblicazione: 1996
• Lingua: Inglese
• ISBN 10: 0387947876
• ISBN 13: 9780387947877
• Rilegatura: Copertina flessibile
• Numero di pagine: 444
• Contatto del produttore: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Tiergartenstr. 17; Heidelberg; 69121; Germania