Exploration Of A Nonlinear World : an Appreciation Of Howell Tong'S Contributions To Statistics.

This festschrift is dedicated to Professor Howell Tong on the occasion of his 65th birthday. With a Foreword written by Professor Peter Whittle, FRS, it celebrates Tong's path-breaking and tireless contributions to nonlinear time series analysis, chaos and statistics, by reprinting 10 selected...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Formato: Electrónico eBook
Idioma:Inglés
Publicado: World Scientific 2009.
Temas:
Tong, Howell.
Nonlinear theories.
Time-series analysis.
Théories non linéaires.
Série chronologique.
Nonlinear theories
Time-series analysis
Electronic resource.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover13;
  • Contents
  • Foreword P. Whittle
  • Preface K.-S. Chan
  • Acknowledgments
  • Publications of Howell Tong
  • Photograph Sets 1 and 2
  • Birth of the Threshold Time Series Model H. Tong
  • Prologue
  • The Year 1977
  • The Challenge
  • Philosophy
  • Non-linear Oscillations
  • The Penny Drops
  • Pride and Prejudice
  • What Next?
  • Epilogue
  • References
  • Threshold Autoregression, Limit Cycles and Cyclical Data (with Discussion) H. Tong and K.S. Lim
  • SUMMARY
  • 1. INTRODUCTION
  • 2. NON-LINEAR DIFFERENTIAL EQUATIONS
  • 3. A LIMIT CYCLE IN DISCRETE TIME
  • 4. THRESHOLD AUTOREGRESSIVE MODELS IN DISCRETE TIME
  • 5. SOME PERSPECTIVES
  • 6. TAR MODELS AND NON-LINEAR VIBRATIONS
  • 7. LIMIT CYCLES, LIMIT POINTS AND SETAR
  • 8. STATISTICAL IDENTIFICATION
  • 9. TAR MODELS FOR REAL DATA
  • 10. SOME DISCUSSION
  • ACKNOWLEDGEMENTS
  • REFERENCES
  • REFERENCES IN THE DISCUSSION
  • Review of the Paper by Howell Tong and K.S. Lim: \Threshold Autoregression, Limit Cycles and Cyclical Data (with Discussion)" H.Z. An
  • 1. Model Switching
  • 2. Density of the Threshold Autoregressive Functions
  • 3. Partly Linear Parametric Form
  • 4. SETAR Models and Conditional Variance
  • 5. Ergodicity and Stationary Solutions
  • References
  • Reflections on Threshold Autoregression P.J. Brockwell
  • References
  • Threshold Autoregression: Its Seed Corn, Meeting the Market Test, and Two of Its Spillover E ects T.B. Fomby
  • 1. Introduction
  • 2. The Seed Corn
  • 3. Meeting the Market Test
  • 4. Two Spillover Effects, Among Many, of the TL Paper
  • 4.1. Threshold Cointegration
  • 4.2. Threshold GARCH
  • 4.3. Spillover Citation Results for Two Progenitors of the TL Paper: Threshold Cointegration and Threshold GARCH
  • 5. The 236;Signature238; of a Seminal Paper
  • Acknowledgments
  • References
  • The SETAR Model of Tong and Lim and Advances in Computation J. Geweke
  • 1. The SETAR of TL and Its Application
  • 2. A Bayesian treatment of SETAR
  • 3. Generalizing SETAR
  • 4. Conclusion
  • References
  • The Threshold Approach in Volatility Modelling W.K. Li
  • 1. Introduction
  • 2. ARCH Models with a Threshold Structure
  • 3. Bayesian Inference for Threshold Volatility Models
  • Conclusion
  • Acknowledgment
  • References
  • Dependence and Nonlinearity M. Rosenblatt
  • Addendum
  • References
  • The Threshold Approach: An Appreciation R.S. Tsay
  • 1. Introduction
  • 2. Comment
  • 3. The Simple Idea that Works
  • References
  • Photograph Sets 3 and 4
  • On Consistent Nonparametric Order Determination and Chaos B. Cheng and H. Tong
  • SUMMARY
  • 1. INTRODUCTION
  • 2. CROSS-VALIDATORY ESTIMATE
  • 3. FINAL PREDICTION ERROR APPROACH
  • 4. EXAMPLES
  • 4.1. Example 1
  • 4.2. Example 2
  • 4.3. Example 3
  • 4.4. Example 4
  • 5. DISCUSSION
  • ACKNOWLEDGEMENTS
  • APPENDIX A
  • A.l. Conditions for Theorem 1
  • A.2. Proof of Theorem 2
  • REFERENCES
  • Recent Developments on Semiparametric Regression Model Selection J. Gao
  • 1. Introduction
  • 2. Cross8211;Validation Model Selection in Semiparametric Regression
  • 2.1. Cross8211;validation criterion for nonparametric regressors
  • 2.2. CV criterion for the selection of parametric regressors
  • 3. Discussion
  • References
  • T.

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