Adaptive estimation and equalisation of the high frequency communications channel

SIGLEAvailable from British Library Document Supply Centre- DSC:D94945 / BLDSC - British Library Document Supply CentreGBUnited Kingdo

Efficient Estimation of a Multivariate Multiplicative Volatility Model

We propose a multivariate generalization of the multiplicative volatility model ofEngle and Rangel (2008), which has a nonparametric long run component and aunit multivariate GARCH short run dynamic component. We suggest variouskernel-based estimation procedures for the parametric and nonparametriccomponents, and derive the asymptotic properties thereof. For the parametric partof the model, we obtain the semiparametric efficiency bound. Our method isapplied to a bivariate stock index series. We find that the univariate model of Engleand Rangel (2008) appears to be violated in the data whereas our multivariatemodel is more consistent with the data.GARCH, Kernel Estimation, Local Stationarity,Semiparametric

Spectral and correlation analysis with applications to middle-atmosphere radars

The correlation and spectral analysis methods for uniformly sampled stationary random signals, estimation of their spectral moments, and problems arising due to nonstationary are reviewed. Some of these methods are already in routine use in atmospheric radar experiments. Other methods based on the maximum entropy principle and time series models have been used in analyzing data, but are just beginning to receive attention in the analysis of radar signals. These methods are also briefly discussed