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

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