【时间序列方法与应用】 Advances in Time Series Methods and Applications (2016)

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Advances in Time Series Methods and Applications
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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关键词：Applications Application Time Series Advances Methods

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时间序列方法与应用】 Advances in Time Series Methods and Applications (2016) [修改]
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