Time series in the time domain (Q1066594)

This book presents recent advances made in the time-domain analysis of time series. The contributions included are in several directions described in the following. Parametrization of ARMA(X) and state-space models is discussed in chapter 9 by \textit{M. Deistler}. Estimation of the parameters in such models is the main subject of chapter 1 by \textit{W. A. Fuller} (nonstationary AR models), chapter 3 by \textit{G. C. Tiao} (transfer function models, intervention analysis, outlier detection), chapter 4 by \textit{R. D. Martin} and \textit{V. J. Yohai} (robust techniques for ARMA models), chapter 5 by \textit{R. H. Jones} (MLE with unequally spaced data), chapter 7 by \textit{L. Ljung} (prediction error methods, instrumental variables methods, both recursive and batch algorithms), chapter 8 by \textit{P. Young} (refined instrumental-variables approximate ML recursive-iterative procedures), chapter 14 by \textit{M. A. Cameron} and \textit{P. J. Thomson} (transfer function models, frequency characteristics), and chapter 16 by \textit{D. F. Nicholls} and \textit{A. R. Pagan} (varying coefficient (AR) regressions). Estimation of the structure of time series models is reviewed in chapter 6 by \textit{R. Shibata}. Various aspects pertaining to some classes of nonstationary stochastic processes are presented in chapter 10 (by \textit{M. M. Rao}), chapter 11 (by \textit{C. S. K. Bhagaran}), and chapter 12 (by \textit{D. K. Chang}). Nonlinear time-series models (e.g. amplitude- dependent AR equations) are discussed in chapter 2 by \textit{T. Ozaki}. The problem of sampling designs for time series is covered in chapter 13 by \textit{S. Cambanis}. Finally, two applications are presented in chapter 15 (speech recognition) by \textit{P. J. Thomson} and \textit{P. de Souza}, and in chapter 17 (estimation of large econometric models from small samples) by \textit{H. Theil} and \textit{D. G. Fiebig}. It should be mentioned that several other chapters contain numerical applications as illustrations of the techniques presented, particularly chapter 8 by P. Young which contains several applications to environmental, ecological and economic data.