Advances in Time Series Methods and Applications

1. Front Matter

   Pages i-viii

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2. Ian McLeod’s Contribution to Time Series Analysis—A Tribute

   • W. K. Li

   Pages 1-16

3. The Doubly Adaptive LASSO for Vector Autoregressive Models

   • Zi Zhen Liu, Reg Kulperger, Hao Yu

   Pages 17-46

4. On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators

   • Pierre Duchesne, Yongmiao Hong

   Pages 47-106

5. Diagnostic Checking for Weibull Autoregressive Conditional Duration Models

   • Yao Zheng, Yang Li, Wai Keung Li, Guodong Li

   Pages 107-114

6. Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models

   • M. T. Tai, Y. X. Yang, S. Q. Ling

   Pages 115-130

7. The Portmanteau Tests and the LM Test for ARMA Models with Uncorrelated Errors

   • Naoya Katayama

   Pages 131-150

8. Generalized \(C(\alpha )\) Tests for Estimating Functions with Serial Dependence

   • Jean-Marie Dufour, Alain Trognon, Purevdorj Tuvaandorj

   Pages 151-178

9. Regression Models for Ordinal Categorical Time Series Data

   • Brajendra C. Sutradhar, R. Prabhakar Rao

   Pages 179-194

10. Identification of Threshold Autoregressive Moving Average Models

    • Qiang Xia, Heung Wong

    Pages 195-214

11. Improved Seasonal Mann–Kendall Tests for Trend Analysis in Water Resources Time Series

    • Y. Zhang, P. Cabilio, K. Nadeem

    Pages 215-229

12. A Brief Derivation of the Asymptotic Distribution of Pearson’s Statistic and an Accurate Approximation to Its Exact Distribution

    • Serge B. Provost

    Pages 231-237

13. Business Resilience During Power Shortages: A Power Saving Rate Measured by Power Consumption Time Series in Industrial Sector Before and After the Great East Japan Earthquake in 2011

    • Yoshio Kajitani

    Pages 239-257

14. Atmospheric \(\hbox {CO}_2\) and Global Temperatures: The Strength and Nature of Their Dependence

    • Granville Tunnicliffe Wilson

    Pages 259-278

15. Catching Uncertainty of Wind: A Blend of Sieve Bootstrap and Regime Switching Models for Probabilistic Short-Term Forecasting of Wind Speed

    • Yulia R. Gel, Vyacheslav Lyubchich, S. Ejaz Ahmed

    Pages 279-293

This volume reviews and summarizes some of A. I. McLeod's significant contributions to time series analysis. It also contains original contributions to the field and to related areas by participants of the festschrift held in June 2014 and friends of Dr. McLeod. Covering a diverse range of state-of-the-art topics, this volume well balances applied and theoretical research across fourteen contributions by experts in the field. It will be of interest to researchers and practitioners in time series, econometricians, and graduate students in time series or econometrics, as well as environmental statisticians, data scientists, statisticians interested in graphical models, and researchers in quantitative risk management.

• spectral coherency
• structural VAR
• graphical modeling
• cumulative logits
• marginal multinomial logits
• pseudo binary likelihood
• multnomial dynamic logits
• nonlinear model
• Lagrange multiplier test
• Pearson's statistic
• asymptotic distribution
• shifted gamma distribution
• adaptive LASSO
• oracle property
• vector auroregressive processes
• Weibull distribution
• autoregressive conditional duration model
• Box-Jenkins approach
• intervention analysis
• asymptotic distributions

• Dept. of Statistics & Actuarial Science, University of Hong Kong , Hong Kong, Hong Kong

  Wai Keung Li

• Dept. of Statistica & Actuarial Sciences, University of Western Ontario Dept. of Statistica & Actuarial Sciences, London, Canada

  David A. Stanford

• Dept. of Statistica & Actuarial Science, University of Western Ontario Dept. of Statistica & Actuarial Science, London, Canada

  Hao Yu

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