Title | New Directions in Time Series Analysis [electronic resource] : Part II / edited by David Brillinger, Peter Caines, John Geweke, Emanuel Parzen, Murray Rosenblatt, Murad S. Taqqu |
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Imprint | New York, NY : Springer New York, 1993 |
Connect to | http://dx.doi.org/10.1007/978-1-4613-9296-5 |
Descript | XVIII, 382 p. online resource |
Recent developments in location estimation and regression for long-memory processes -- Phase-transition in statistical physical models with discrete and continuous symmetries -- Identification of linear systems from noisy data -- Unit roots in U.S. macroeconomic time series: A survey of classical and Bayesian perspectives -- A nonparametric approach to nonlinear time series analysis: Estimation and simulation -- Asymptotics of predictive stochastic complexity -- Smoothness priors -- An extension of quadrature-based methods for solving Euler conditions -- Long memory shot noises and limit theorems with application to Burgersโ equation -- On approximate modeling of linear Gaussian processes -- On the identification and prediction of nonlinear models -- Identification of stochastic time-varying parameters -- Convergence of Astrรถm-Wittenmarkโs self-tuning regulator and related topics -- On the closure of several sets of ARMA and linear state space models with a given structure -- Weak convergence to self-affine processes in dynamical systems -- Recursive estimation in ARMAX models -- On adaptive stabilization and ergodic behaviour of systems with Jump-Markov parameters via nonlinear filtering -- The convergence of output error recursions in infinite order moving average noise -- Linear models with long-range dependence and with finite or infinite variance -- Posterior analysis of possibly integrated time series with an application to real GNP -- On network structure function computations -- Asymptotic properties of estimates in incorrect ARMA models for long-memory time series