The A. Ian McLeod Festschrift
Editors: Wai Keung Li, David A. Stanford, Hao Yu
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
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.
Table of contents
Front Matter
Pages i-viii
Ian McLeod’s Contribution to Time Series Analysis—A Tribute
Pages 1-16
The Doubly Adaptive LASSO for Vector Autoregressive Models
Pages 17-46
On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators
Pages 47-106
Diagnostic Checking for Weibull Autoregressive Conditional Duration Models
Pages 107-114
Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models
Pages 115-130
The Portmanteau Tests and the LM Test for ARMA Models with Uncorrelated Errors
Pages 131-150
Generalized C(α) Tests for Estimating Functions with Serial Dependence
Pages 151-178
Regression Models for Ordinal Categorical Time Series Data
Pages 179-194
Identification of Threshold Autoregressive Moving Average Models
Pages 195-214
Improved Seasonal Mann–Kendall Tests for Trend Analysis in Water Resources Time Series
Pages 215-229
A Brief Derivation of the Asymptotic Distribution of Pearson’s Statistic and an Accurate Approximation to Its Exact Distribution
Pages 231-237
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
Pages 239-257
Atmospheric CO2 and Global Temperatures: The Strength and Nature of Their Dependence
Pages 259-278
Catching Uncertainty of Wind: A Blend of Sieve Bootstrap and Regime Switching Models for Probabilistic Short-Term Forecasting of Wind Speed
Pages 279-293
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