Time Series with Long Memory (Advanced Texts in Econometrics)

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9780199257294: Time Series with Long Memory (Advanced Texts in Econometrics)

Time Series with Long Memory comprises a collection on time series analysis. Long memory time series are characterized by a strong dependence between distant events. Various methods and their theoretical properties are discussed with empirical applications. The methods constitute a very flexible approach to analyzing time series data arising in economics, finance and other fields.

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About the Author:

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.

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Published by Oxford University Press (2003)
ISBN 10: 0199257299 ISBN 13: 9780199257294
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