Call Boomerang Books 1300 36 33 32

Description - Time Series with Long Memory by Peter M. Robinson

Long memory processes constitute a broad class of models for stationary and nonstationary time series data in economics, finance, and other fields. Their key feature is persistence, with high correlation between events that are remote in time. A single 'memory' parameter economically indexes this persistence, as part of a rich parametric or nonparametric structure for the process. Unit root processes can be covered, along with processes that are stationary but with stronger persistence than autoregressive moving averages, these latter being included in a broader class which describes both short memory and negative memory. Long memory processes have in recent years attracted considerable interest from both theoretical and empirical researchers in time series and econometrics. This book of readings collects articles on a variety of topics in long memory time series including modelling and statistical inference for stationary processes, stochastic volatility models, nonstationary processes, and regression and fractional cointegration models. Some of the articles are highly theoretical, others contain a mix of theory and methods, and an effort has been made to include empirical applications of the main approaches covered. A review article introduces the other articles but also attempts a broader survey, traces the history of the subject, and includes a bibliography.

Buy Time Series with Long Memory by Peter M. Robinson from Australia's Online Independent Bookstore, Boomerang Books.

Book Details

ISBN: 9780199257300
ISBN-10: 0199257302
Format: Paperback
(234mm x 157mm x 22mm)
Pages: 392
Imprint: Oxford University Press
Publisher: Oxford University Press
Publish Date: 26-Jun-2003
Country of Publication: United Kingdom

Other Editions - Time Series with Long Memory by Peter M. Robinson

Book Reviews - Time Series with Long Memory by Peter M. Robinson

» Have you read this book? We'd like to know what you think about it - write a review about Time Series with Long Memory book by Peter M. Robinson and you'll earn 50c in Boomerang Bucks loyalty dollars (you must be a Boomerang Books Account Holder - it's free to sign up and there are great benefits!)

Write Review


Author Biography - Peter M. Robinson

Peter M. Robinson is Tooke Professor of Economic Science and Statistics, and Leverhulme Research Professor at the London School of Economics. He was previously Professor of Econometrics at the same institution. He has served as Co-Editor of Econometrica and the Journal of Econometrics and Econometric Theory, and as Associate Editor of The Annals of Statistics and other journals. He is a Fellow of the British Academy, Fellow of the Institute of Mathematical Statistics, and Fellow of the Econometric Society.