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Advances in Time Series Methods and Applications

The A. Ian McLeod Festschrift

  • Book
  • © 2016

Overview

Editors:
  1. Wai Keung Li

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

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  2. David A. Stanford

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

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  3. Hao Yu

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

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  • Discusses a diverse range of state-of-the-art topics in time series analysis
  • Contains contributions from a number of researchers renowned for their time series work
  • Covers applications, methodologies, and theory
  • Accessible to researchers, practitioners, and graduate students
  • Includes supplementary material: sn.pub/extras

Part of the book series: Fields Institute Communications (FIC, volume 78)

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Table of contents (14 chapters)

  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
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Keywords

About this book

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.

Editors and Affiliations

  • 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

Bibliographic Information

  • Book Title: Advances in Time Series Methods and Applications

  • Book Subtitle: The A. Ian McLeod Festschrift

  • Editors: Wai Keung Li, David A. Stanford, Hao Yu

  • Series Title: Fields Institute Communications

  • DOI: https://doi.org/10.1007/978-1-4939-6568-7

  • Publisher: Springer New York, NY

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer Science+Business Media New York 2016

  • Hardcover ISBN: 978-1-4939-6567-0Published: 05 December 2016

  • Softcover ISBN: 978-1-4939-8238-7Published: 28 June 2018

  • eBook ISBN: 978-1-4939-6568-7Published: 02 December 2016

  • Series ISSN: 1069-5265

  • Series E-ISSN: 2194-1564

  • Edition Number: 1

  • Number of Pages: VIII, 293

  • Number of Illustrations: 30 b/w illustrations, 7 illustrations in colour

  • Topics: Statistics for Business, Management, Economics, Finance, Insurance

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