Hwai-Chung Ho, Ching-Kang Ing, Tze Leung Lai, eds., Time Series and Related Topics: In Memory of Ching-Zong Wei (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2006)

Time Series and Related Topics: In Memory of Ching-Zong Wei

Editor: Hwai-Chung Ho
Editor: Ching-Kang Ing
Editor: Tze Leung Lai

Lecture Notes--Monograph Series, Volume 52
Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2006.
316 pp.

Abstract:

A major research area of Ching-Zong Wei (1949--2004) was time series models and their applications in econometrics and engineering, to which he made many important contributions. A conference on time series and related topics in memory of him was held on December 12--14, 2005, at Academia Sinica in Taipei, where he was Director of the Institute of Statistical Science from 1993 to 1999. Of the forty-two speakers at the conference, twenty contributed to this volume.

Subjects:

62-06 (primary)
62M10 (secondary)
00B25 (secondary)
00B30 (secondary)

Permanent link to this monograph: http://projecteuclid.org/euclid.lnms/1196285955
ISBN:978-0-940600-68-3
ISBN:0-940600-68-4
Zentralblatt Math Identifier: 1113.62001

Title and Copyright Pages

Table of Contents

iii-iv

Contributor's List

v

Preface

Hwai-Chung Ho, Ching-Kang Ing, and Tze Leung Lai; vii-viii

Ching-Zong Wei: Biographical Sketch and Bibiliography

Biographical Sketch

ix

Bibliography

x-xiii

Photographs

xiv

Estimation and prediction in time series models

Pile-up probabilities for the Laplace likelihood estimator of a non-invertible first order moving average

F. Jay Breidt, Richard A. Davis, Nan-Jung Hsu, and Murray Rosenblatt; 1-19

Recursive estimation of possibly misspecified MA(1) models: Convergence of a general algorithm

James L. Cantor, and David F. Findley; 20-47

Estimation of AR and ARMA models by stochastic complexity

Ciprian Doru Giurčaneanu, and Jorma Rissanen; 48-59

On prediction errors in regression models with nonstationary regressors

Ching-Kang Ing, and Chor-Yiu Sin; 60-71

Forecasting unstable processes

Jin-Lung Lin, and Ching-Zong Wei; 72-92

Order determination in general vector autoregressions

Bent Nielsen; 93-112

The distribution of model averaging estimators and an impossibility result regarding its estimation

Benedikt M. Pötscher; 113-129

Conditional-sum-of-squares estimation of models for stationary time series with long memory

P. M. Robinson; 130-137

Time Series Modeling in Finance, Macroeconomics and Other Applications

Modeling macroeconomic time series via heavy tailed distributions

J. A. D. Aston; 138-148

Fractional constant elasticity of variance model

Ngai Hang Chan, and Chi Tim Ng; 149-164

Estimation errors of the Sharpe ratio for long-memory stochastic volatility models

Hwai-Chung Ho; 165-172

Cowles commission structural equation approach in light of nonstationary time series analysis

Cheng Hsiao; 173-192

Combining domain knowledge and statistical models in time series analysis

Tze Leung Lai, and Samuel Po-Shing Wong; 193-209

Multivariate volatility models

Ruey S. Tsay; 210-222