Asymptotics, Nonparametrics, and Time Series

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ISBN: 9780824700515 | 0824700511
Cover: Hardcover
Copyright: 2/18/1999

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"Contains over 2500 equations and exhaustively covers not only nonparametrics but also parametric, semiparametric, frequentist, Bayesian, bootstrap, adaptive, univariate, and multivariate statistical methods, as well as practical uses of Markov chain models. "

Preface

(6)

Contributors

(4)

Madan Lal Puri: Life and Contributions of a Mathematical Statistician

Subir Ghosh

George G. Roussa

1. Some Examples of Empirical Fourier Analysis in Scientific Problems

(36)

David R. Brillinger

2. Modeling and Inference for Periodically Correlated Time Series

(26)

Robert B. Lund

Ishwar V. Basawa

3. Modeling Time Series of Count Data

(52)

Richard A. Davis

William T. M. Dunsmuir

Ying Wang

4. Seasonal and Cyclical Long Memory

115

(34)

Josu Arteche

Peter M. Robinson

5. Nonparametric Specification Procedures for Time Series

149

(52)

Dag Tjostheim

6. Parameter Estimation and Model Selection for Multistep Prediction of a Time Series: A Review

201

(26)

R. J. Bhansali

7. Nonlinear Estimation for Time Series Observed on Arrays

227

(32)

Robert H. Shumway

Sung-Eun Kim

Robert R. Blandford

8. Some Contributions to Multivariate Nonlinear Time Series and to Bilinear Models

259

(36)

T. Subba Rao

W. K. Wong

9. Optimal Testing for Semi-Parametric AR Models--From Gaussian Lagrange Multipliers to Autoregression Rank Scores and Adaptive Tests

295

(56)

Marc Hallin

Bas J. M. Werker

10. Statistical Analysis Based on Functionals of Nonparametric Spectral Density Estimators

351

(44)

Masanobu Taniguchi

11. Efficient Estimation in a Semiparametric Additive Regression Model with ARMA Errors

395

(32)

Anton Schick

12. Efficient Estimation in Markov Chain Models: An Introduction

427

(34)

Wolfgang Wefelmeyer

13. Nonparametric Functional Estimation: An Overview

461

(50)

B. L. S. Prakasa Rao

14. Minimum Distance and Nonparametric Dispersion Functions

511

(22)

Omer Ozturk

Thomas P. Hettmansperger

Jurg Husler

15. Estimators of Changes

533

(46)

J. Antoch

M. Huskova

16. On Inverse Estimation

579

(36)

Arnoud C. M. van Rooij

Frits H. Ruymgaart

17. Approaches for Semiparametric Bayesian Regression

615

(24)

Alan E. Gelfand

18. Consistency Issues in Bayesian Nonparametrics

639

(30)

S. Ghosal

J. K. Ghosh

R. V. Ramamoorthi

19. Breakdown Theory for Estimators Based on Bootstrap and Other Resampling Schemes

669

(14)

Gutti Jogesh Babu

20. On Second-Order Properties of the Stationary Bootstrap Method for Studentized Statistics

683

(30)

S. N. Lahiri

21. Convergence to Equilibrium of Random Dynamical Systems Generated by IID Monotone Maps, with Applications to Economics

713

(30)

Rabi Bhattacharya

Mukul Majumdar

22. Chi-Squared Tests of Goodness-of-Fit for Dependent Observations

743

(14)

Kamal C. Chanda

23. Positive and Negative Dependence with Some Statistical Applications

757

(32)

George G. Roussas

24. Second-Order Information Loss Due to Nuisance Parameters: A Simple Measure

789

(22)

Bruce G. Lindsay

Richard Waterman

Appendix: The Publications of Madan Lal Puri

811

(18)

Index

829

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Asymptotics, Nonparametrics, and Time Series

Summary

Table of Contents

Supplemental Materials