Taken from those presented at the a December 2005 conference held in honor of the late Wei, these 20 papers echo his work in estimation and prediction in time series models, time series modeling in applications such as finance and macroeconomics, and such diverse fields of study as the multi-armed bandit problem, estimation in branching processes with immigration, stochastic approximation, adaptive control and limit theorems in probability. Topics include pile-up probabilities for the Laplace likelihood estimator of a non-vertible first order moving average, prediction errors in regression models with non-stationary regressors, forecasting unstable processes, determining order in general vector autoregressions, conditional-sum-of-squares estimation of models for stationary time series with long memory, modeling macroeconomic time series via heavy tailed distributions, estimation errors in the Sharpe ratio for long-memory stochastic volatility, and multivariate volatility models. Annotation ©2007 Book News, Inc., Portland, OR (booknews.com)
