Titlebook: Athens Conference on Applied Probability and Time Series Analysis; Volume II: Time Seri P. M. Robinson,Murray Rosenblatt Conference proceed

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Modeling the Distribution of Highly Volatile Exchange-rate Time Series, center. Especially, the exchange rates of many Eastern European countries exhibit a highly volatile and seemingly erratic behavior in the initial phase of moving from controlled to freely floating exchange rates. In this paper we examine to what extend the distributional properties of such time ser

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Asymptotic statistical inference for nonstationary processes with evolutionary spectra,ovariance structure and the time varying spectral density are discussed. In particular, we calculate the bias of the estimates due to nonstationarity and determine the optimal bandwidth. Furthermore, the relation to Priestley’s theory of processes with evolutionary spectra is discussed.

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Design of Moving-Average Trend Filters using Fidelity and Smoothness Criteria, based on simple dynamic models operating locally within the span of the filter. They are shown to generalise and extend the standard Macaulay and Henderson filters used in practice. The properties of these filters are determined and evaluated both in theory and in practice.

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Bandwidth Choice in Gaussian Semiparametric Estimation of Long Range Dependence,te (long range dependence), finite and positive (short range dependence), or zero (antipersistence). This behaviour is governed by a self-similarity parameter which can be estimated semiparametrically by one of several methods, all of which require a choice of bandwidth. We consider a Gaussian estim

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Some limit theorems on stationary processes with long-range dependence,theory on short-range dependent processes. In order to establish those theorems, the paper imposes weak assumptions on conditional moments of innovation processes, dispensing with the usual assumptions of exact Martingale difference or the contemporaneously transformed Gaussianity.

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Estimation of the Number of Spectral Lines,trivial case where the frequencies are unrelated, the simplest functional relationship gives harmonics of a fundamental frequency. Procedures based on Rissanen’s minimum description length principle are used to determine both the number of spectral lines and the order of a model for the absolutely c

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0930-0325 ds 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.978-0-387-94787-7978-1-4612-2412-9Series ISSN 0930-0325 Series E-ISSN 2197-7186