Book review

G.Bamberg:Statistische Entseheldungstheorle, Physica-Verlag, Würzburg-Wien 1972, 149 S., DM 20,–.

J.M.Mendel:Discrete Techniques of Parameter Estimation. Marcel Dekker, Inc., New York 1973, XIV, 385 S., $ 19.50.

P.Eykhoff:System Identification. Parameter and State Estimation. John Wiley & Sons, London 1974, XX, 555 pp., £ 12.50.

G.Härtler:Versuchsplanung und Statistische Datenanalyse, Akademie-Verlag, Berlin 1976, 103 S., 6 Abb., 12,– M.

P.Mertens(Hrsg.):Prognoserechnung. Physica-Verlag, Würzburg-Wien 1973; 295 S., DM 48,–

E.Schaich, D. Kohle, W.Schweitzer, F.Wegner:Statistik I (für Volkswirte, Betriebswirte und Soziologen.) Verlag Franz Vahlen GrnbH, München 1974, 160 S., DM 22,80.

A.Rosengard: Probabilltés et Statistique en Recherche Scientifique. Dunod, Paris 1972, XIV, 310 S.

D. Zschocke:Betriebsökonometrie.Physica-Verlag, Würzburg-Wien 1974, 287 S., DM 90.–.

J.C.G. Boot, E.B. Cox:Statistical Analysis for Managerial Decisions. McGraw-Hill, Inc., New York 1970, XI, 651 S.

H.Richter, V. Mammitzsch: Methode der kleinsten Quallrate (mit Übungen und Aufgaben).Verlag Berliner Union GmbH, Stuttgart, und Verlag W. Kohlharnmer GmbH, Stuttgart-Berlin-Köln-Mainz 1973, 144 S., DM 24,–.

O.Anderson, W. Popp, M. Schaffranek, D. Steinmetz, H. Stenger: Schätzen und Testen. Eine Einfhrung in die Wahrscheinlichkeitsrechnung und schließeude Statistik.Springer-Verlag, Berlin-Heidelberg-New York 1976, XI, 385 S., 68 Abb., 56 Tab., DM 19,80.

H.Bauer:Wahrscheinlichkeitstheorie und Grundzilge der Maßtheorie. Walter de Gruyter, Berlin-New York 1974, 407 S., DM 48,–.

A.M.Mathai, P.N. Rathie:Basic Concepts in Information and Statistics(Axioluatic Foundations and Applications). Wiley Eastern Limited, New Delhi 1975, X, 137 S., £ 2.75; $ 5.50.

D.F.Merriam (Hrsg.): Random Processes in Geology.Springer-Verlag, Berlin-Heidelberg-New York 1976, VIII, 168 S., 63 Abb., 18 Tab., DM 34,50.

G.Matheron: Random Sets and Integral Geometry. Wiley Series in Probability and Mathematical Statistics, J. Wiley and Sons, New York 1975, XXIII, 261 S., £ 10.60; $ 21.20.

L.Kleinrock: Queueing Systems. Volume I: Theory. J. Wiley and Sons, New York-London-Sydney-Toronto 1975, XVIII, 417 S.; £ 13.55; $ 24.30.

Bartsch, H.-J.:Mathematische Formeln, VEB Fachbuchverlag, Leipzig 1976,15. Auflage, 510 S., 362 Abb., 9,80 M.     

Book Reviews

Book reviewed in this article:
De Haan, L. On Regular Variation, and Its Applications to the Weak Convergence of Sample Extremes. Mathematical Centre Tracts No. 32
Johnson, N. L., and Kotz, S. Distributions in Statistics: Continuous Univariate Distributions.
Joiner, Brian L., Laubscher, N. F., Brown, Eleanor S., and Levy, Bert. An Author and Permuted Title Index to Selected Statistical Journals.
Kendall, M. G. Bank Correlation Methods. 4th edition
Lass, H., and Gottlieb, P. Probability and Statistics.
Neveu, J. Bases Mathematiques du Caleul des Probabilites.
Maddox, I. J. Elements of Functional Analysis.
Aitchison, John. Choice Against Chance: An Introduction to Statistical Decision Theory.
Chat field, C. Statistics for Technology.
Cramer, H. Random Variables and Probability Distributions. Third edition
Feller, William (1966). An Introduction to Probability Theory and Its Application.
De Leve, G., Tijms, H. C, and Weeda, P. J. Generalized MarTcovian Decision Processes (Applications).
Hajek, J. Nonparametric Statistics.
Hinderer, K. Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter.
Kreyszig, E. Introductory Mathematical Statistics. Principles and Methods.
Patil, G. P. (Editor). Random Counts in Models and Structures.
Pearson, E. S., and Kendall, M. G. (Editors). Studies in the History of Statistics and Probability.
Puri, M. L. (Editor). Nonparametric Techniques in Statistical Inference.
Yates, Frank. Experimental Design—Selected Papers.     

BOOK REVIEWS

Book reviewed in this article:
Draper, N., and Smith, H. Applied Regression Analysis. John Wiley & Sons.
Deutsch, R. Estimation Theory
Margaris, Angelo. First Order Mathematical Logic.
Chakravarti, I. M., Laha, R.G. and Roy, J. Handbook of Methods of Applied Statistics.
Cunningham, K. S. The Social Bcience Research Council of Australia
Martin, J. J. Bayesian Decision Problems and Markou Chains
Hillier, Frederick S., and Lieberman, Gerald J. Introduction to Operations Research
Campbell, R. C. 8tatistics for Biologists
Rozanov, Yu. A. Etationary Random Processes
Bliss, C. I. Statistics in Biology
Ferguson, Thomas S. fiIathematical atatistics: A Decision Theoretic Approach
Kingman, J. F. C., and Taylor, S. J. Introductiota to Measure and Probability
Simonnard, M. Linear Programming     

BOOK REVIEWS

Book reviewed in this article:
Rall, Louis B. Computational Solution of Nonlinear Operator Equations.
Hodges, J. L., and Lehmann, E. L. Basic Concepts of Probability alzd Statistics.
Hope, Keith. Methods of Multivariate Analysis.
Heritage, Raymond S. Learning Decimal Currency. Penguin Books, Middlesex.
Wasan, M. T. Stochastic Approx%mation.
Larson, Harold J. Introduction to Probability Theory and Statistical Inference.
Anderssen, R. S., and Osborne, M. R. (Editors). Least Squares Methods in Data Analysis.
Elderton, W. P., and Johnson, N. L. Systems of Frequency Curves.
Billingsley, P. Convergence of Probability Neasuree.
Moore, P. G. Principles of Statistical Techniques. Second Edition.
Craddock, J. M. Statistics in the Computer Age.
Lukacs, E. Stochastic Converaence. Heath Mathematical Mono-graphs, Heath, Lexington, Mass.
Khinchin, A. Ya. The Teaching of Mathematics. Edited by B. V. Gnedenko.     

BOOK REVIEWS

Book reviewed in this article:
Anderson, T. W. The Statistical Analysis of lime Series.
Freedman, D. Brownian Motion and Diffusion.
Hobson, A. Concepts in Statistical Mechanics.
Howard, Ronald A. Dynamic Probabilistic Systems. Volume I: Markov Models.
Kempthorne, O., and Folks, L. Probability, Statistics and Data Analysis.
Kotz, S. Russian–English/English–Russian Glossary of Statistical Terms.
Kendall, M. G., and Buckland, W. R. A Dictionary of Statistical Terms.
Kendall, M. G., and Buckland, W. R. Russian–English Dictionary of Statistical Terms and Expressions.
Kendall, M. G., and Buckland, W. R. Slovmik Polsko-Rosyjsko-Angielski Statystyki Matematycznej i Statystycznej Kontroli Jakosci Produkcji.
Ladell, J. L., and Dillon, M. J. Curves for the Rapid Estimation of Partial Correlation Coefficients.
Pringle, R. M., and Rayner, A. A. Generalised Inverse Matrices with Application to Statistics.
Puri, Madan Lal, and Sen, Pranab. Nonparametric Methods in Multivariate Analysis.
Steutel, F. W. Preservation of Infinite Divisibility under Mixing and Related Topics.
Whittle, Peter. Optimisation under Constraints.     

Book Reviews

Book reviewed in this article:
Van Wijngaarden, A. (Editor). Report on the Algorithmic Language ALGOL 68. Second printing by the Mathematisch Centrum, Amsterdam, ME101
David, F. N., Barton, D. E., Ganeshalingam, S., Harter, H. L., Kim, P. J., Merrington, M., and Walley, D. Normal Centroids, Medians and Scores for Ordinal Data. Series: Tracts for Computers
Hadley, G. Elementary Statistics
Hultquist, Robert A. Introduction to Statistics
Haber, A., and Runyon, R. P. General Statistics
Sachs, L. Statistische Auswertungsmethoden. Second edition
Johnson, N. L., and Kotz, S. Distributions in Statistics: Discrete Distributions
Anderssen, R. S., and Osborne, M. R. (Editors). Data Representation
Zuwaylif, F. H. General Applied Statistics
Schmitt, S. A. Measuring Uncertainty: An Elementary Introduction to Bayesian Statistics
Breipohl, A. M. Probabilistic Systems Analysis
Larson, H. J. Introduction to Probability Theory and Statistical Inference
Klugh, Henry E. Statistics: The Essentials for Research
Mosteller, F., Bush, R. R., and Green, B. F. Selected Quantitative Techniques and Attitude Measurement
Harnett, D. L. Introduction to Statistical Methods
Krutchkoff, R. G. Probability and Statistical Inference
Haber, A., Runyon, R. P., and Badia, P. Readings in Statistics
Milton, R. C. Bank Order Probabilities: Two Sample Normal Shift Alternatives     

BOOK REVIEWS

Book reviewed in this article:
Neyman, J., and Pearson, E. S. Jiont Statistical Papers of J. Neyman and E. S. Pearson.
Pearson, E.S. The Selected Papers of E. S. Pearson.
Doornbos, R. Slippage Tests.
Fabrycky, W. J., and Torgersen, P. E. Operations Economy: Industrial Applications of Operations Research.
Krishnaiah, P. R. (Ed.). Multivariate analysis.
Takacs, Lajos. combinatorial Mehods in the Theory of stcohastic processes.
Yovits, Gilford, Wilcox, Staveley, Lerner (Editors). Research Program Effectiveness.
Noether, G. E. Elements of Nonparametric Statistics.
Hodges, J. L., and Lehmann, E. L. elements of Finite Probability.
Lamb, H. H. The Changing Climate.
Runyon, R. P., and Haber, A. Fundamentals of Behavioral Satatistics.     

Book Reviews

Books reviewed:
Bosq, D. Nonparametric Statistics for Stochastic Processes: Estimation and Prediction
Khuri, A.I., Mathew, T. & Sinha, B.K. Statistical Tests for Mixed Linear Models
Latouche, G. & Ramaswami, V. Introduction to Matrix Analytic Methods in Stochastic Modeling
Maitra, A.P. & Sudderth, W.D. Discrete Gambling and Stochastic Games
Rolski, T., Schmidli, H., Schmidt, V. & Teugels, J. Stochastic Processes for Insurance and Finance
Chung, K.L. & Williams, R.J. Introduction to Stochastic Integration     

Book Reviews

1. Aitken, C. G. G. Statistics and the Evaluation of Evidence for Forensic Scientists, p. 155
2. Bartholomew, D. J. Uncertain Belief: Is it Rational to be a Christian?, p. 156
3. Conolly, B. and Vajda, S. A Mathematical Kaleidoscope: Applications in Industry, Business and Science, p. 157
4. Dorling, D. A New Social Atlas of Britain, p. 157
5. Fleming, M. C. and Nellis, J. G. International Statistics Sources: Subject Guide to Sources of International Comparative Statistics, vols 1, 2, p. 158
6. Gilks, W. R., Richardson, S. and Spiegelhalter, D. J. ( eds ) Markov Chain Monte Carlo in Practice, p. 158
7. Glasserman, P. and Yao, D. D. Monotone Structure in Discrete Event Systems, p. 159
8. Hernández-Lerna, O. and Lasserre, J. B. Discrete-time Controlled Markov Processes: Basic Optimality Criteria, p. 160
9. Marcoulides, G. A. and Schumacker, R. E. ( eds ) Advanced Structural Equation Modelling: Issues and Techniques, p. 161
10. Rao, C. R. and Toutenberg, H. Linear Models: Least Squares and Alternatives, p. 162
11. Smithers, G. Advanced Modular Mathematics: Pure Mathematics 1; Westover, G. Advanced Modular Mathematics: Statistics 1, p. 163
12. Wickens, T. D. The Geometry of Multivariate Statistics, p. 164     

Book review

N.Jardine, R.Sibson: Mathematical Taxonomy, J. Wiley & Sons, London-New York-Sydney-Toronto 1971, XIII, 286 S., £ 6.00.

J.-F.Richard: Postior and Predictive Densities for Simultaneous Equation Models, Springer-Verlag, Berlin-Heidelberg-New York 1973, VI, 226 S., DM 20,–.

V.Barnett: Comparative Statisitcal Inference. J. Wiley & Sons, London 1973, XV, 287 S., £ 5.25.     

Book reviews

Donald J. Koosis: Statistics. A Self-Teaching Guide, Fourth Edition. Wiley 1997, ISBN 0-471-14688-9

Christopher C. Heyde: Quasi-Likelihood and Its Applications, Springer Series in Statistics, 1997, pp. 235, [ISBN 0-387-98225-61

Jeffrey S. Simonoff: Smoothing Methods in Statistics, Springer Series in Statistics, 1996, pp. 338

Andr´e I. Khuri, Thomas Mathew and Birmal K. Sinha: Statistical Tests for Mixed Linear Models, Wiley Series in Probability and Statistics, 1998, pp. 352, PSBN 0-471-1 5653-11

Ronald Christensen: Log-Linear Models and Logistic Regression, Springer Texts in Statistics, 1997, pp. 483, [ISBN 0-387-98247-71

E. L. Lehmann: Testing Statistical Hypotheses, Springer Texts in Statistics, 1997, pp. 600, [ISBN 0-387-94919-41

S. R. Searle, G. Casella and Ch. E. McCulloch: Variance Components, Wiley and Sons, 1992, pp. 496, [ISBN 0-471-62162-51

B. J. T. Morgan: Analysis of Quantal Response Data, Chapman & Hall, 1992, pp. 51 1

Carl D. Huberty: Applied Discriminant Analysis, Wiley and Sons, 1994, pp. 490

C. R. Rao and H. Toutenburg: Linear Models. Least Squares and Alternatives, Springer Series in Statistics, 1995, 188 pp., [ISBN 0-387-94562-81     

BOOK REVIEWS

Book reviewed in this article:
Cox, D. R., and Lewis, P. A. W. The Statistical Analysis of Series of Events.
Rao, C. Radhakrishna. Linear Statistical Inference and Its Applications.
Bennett, B. M., and Horst, C. Supplement to Tables for Testing Significance in a 2 × 2 Contingency Table.
Huitson, A. The Analysis of Variance.
Moran, P. A. P., and Smith, C. A. B. The Correlation between Relatives on the Supposition of Mendelian Inheritance.
Searle, S. R. Matrix Algebra for the Biological Sciences.
Feller, W. An Introduction to Probability Theory and Its Applications.
Ashton, Winifred D. The Theory of Road Traffic Flow.
Kemeny, J. G., Snell, J. L., and Thompson, G. L. Introduction to Finite Mathematics.
Coale, A. J., and Demeny, P. Regional Model Life Tables and Stable Populations.     

BOOK REVIEWS

Book reviewed in this article:
Fraser, D. A. S. The Structure of Inference.
Yeomans, K. A. Introducing Statistics.
Yeomans, K. A. Applied Statistics.
Menges, Professor Dr. Günter, with the assistance of Dipl.-Volkswirt Bernd Leiner. Bibliography of Statistical Decision Theory 1950–1967.
Japan: Statistical Yearbook, 1967.
Benjamin, Bernard. Demographic Analysis.
Bugg, D. D., Henderson, M. A., Holden, K., and Lund, P. J. Statistical Methods in the Social Sciences.
Riordan, John. Combinatorial Identities.     

Asymptotic properties of maximum weighted likelihood estimators

The relevance weighted likelihood method was introduced by Hu and Zidek (Technical Report No. 161, Department of Statistics, The University of British Columbia, Vancouver, BC, Canada, 1995) to formally embrace a variety of statistical procedures for trading bias for precision. Their approach combines all relevant information through a weighted version of the likelihood function. The present paper is concerned with the asymptotic properties of a class of maximum weighted likelihood estimators that contains those considered by Hu and Zidek (Technical Report No. 161, Department of Statistics, The University of British Columbia, Vancouver, BC, Canada, 1995, in: Ahmed, S.E. Reid, N. (Eds.), Empirical Bayes and Likelihood Inference, Springer, New York, 2001, p. 211). Our results complement those of Hu (Can. J. Stat. 25 (1997) 45). In particular, we invoke a different asymptotic paradigm than that in Hu (Can. J. Stat. 25 (1997) 45). Moreover, our adaptive weights are allowed to depend on the data.     

BOOK REVIEWS

Book reviewed in this article:
Hannan, E. J. Multiple Time Series.
Bancroft, T. A., and Brown S. A. Statistical Papers in Honour of George W. Snedecor.
Friedman, A. Differential Games
Henderson, Ronald F., Harcourt, Alison, Harper, R. J. A., and Shaver, Sheila. The Melbourne Poverty Survey: Further Notes on Methods and Results .
Lukacs, Eugene. Characteristic Functions
Searle, S. R. Linear Models     

Factor stochastic volatility with time varying loadings and Markov switching regimes

We generalize the factor stochastic volatility (FSV) model of Pitt and Shephard [1999. Time varying covariances: a factor stochastic volatility approach (with discussion). In: Bernardo, J.M., Berger, J.O., Dawid, A.P., Smith, A.F.M. (Eds.), Bayesian Statistics, vol. 6, Oxford University Press, London, pp. 547–570.] and Aguilar and West [2000. Bayesian dynamic factor models and variance matrix discounting for portfolio allocation. J. Business Econom. Statist. 18, 338–357.] in two important directions. First, we make the FSV model more flexible and able to capture more general time-varying variance–covariance structures by letting the matrix of factor loadings to be time dependent. Secondly, we entertain FSV models with jumps in the common factors volatilities through So, Lam and Li's [1998. A stochastic volatility model with Markov switching. J. Business Econom. Statist. 16, 244–253.] Markov switching stochastic volatility model. Novel Markov Chain Monte Carlo algorithms are derived for both classes of models. We apply our methodology to two illustrative situations: daily exchange rate returns [Aguilar, O., West, M., 2000. Bayesian dynamic factor models and variance matrix discounting for portfolio allocation. J. Business Econom. Statist. 18, 338–357.] and Latin American stock returns [Lopes, H.F., Migon, H.S., 2002. Comovements and contagion in emergent markets: stock indexes volatilities. In: Gatsonis, C., Kass, R.E., Carriquiry, A.L., Gelman, A., Verdinelli, I. Pauler, D., Higdon, D. (Eds.), Case Studies in Bayesian Statistics, vol. 6, pp. 287–302].     

Book reviews

S.M.Kendall:Multivariate Analysis.Charles Griffin & Co. Ltd., London and High Wycombe 1975, 210 pp

C.T.Leondes (ed.):Control and Dynamic Systems, Advances in Theory and Applications. Vol. 11, Academic Press, New York and London 1974, 516 pp., $ 24.50.

CH. R.Nelson:Applied Time Series Analysis for Managerial Forecasting. Holden Day, Inc., San Francisco 1973, 231 pp., $ 14.95.

B.DE Finetti:Theory of Probability. Vol. 1, 2, John Wiley & Sons, New York, London, Sydney, Toronto. Vol. 1, 1974, 300 pp., £ 7.50 - Vol. 2 1975, 375 pp., £ 10.50.

P.Erdördos, J. Spencer:Probabilistic Methods in Combinatorics. Akadémic Press, New York and London; Akadémiai Kiadó, Budapest 1974, 106 pp., $ 11.75.

J.S.R.Ustagi:Variational Methods in Statistics.Academic Press, New York and London 1975.

J.S.Rustagi:Optimizing Methods in Statistics.Academic Press, New York and London 1971,488 pp., $ 17.00.

Karl V. Bury:Statistical Models in Applied Science. John Wiley & Sons, New York-London-Sydney-Toronto 1975,.625 pp., £ 15.60; $ 28.00.

Michael R. Anderberg:Cluster Analysis for Applications. Academic Press, New York-San Francisco-London 1973, 359 pp., $ 27,–.

J.L.Fleiss:Statistical Methods for Rates and Proportions. John Wiley & Sons, New York-London-Sydney-Toronto 1973. 223 pp., £ 6.50.

J.Tanur et al. (Ed.):Statistics:A Guide to the Unknown. Holden Day, Inc., San Francisco 1972, 430 pp.

H.VÁliaho, T. Pekkonen:A Procedure for Stepwise Regression Analysis.Akademie-Verlag, Berlin 1976, 90 pp., 18,– M.

M.Reinfeldt, U. TrÁnkle:Signifikanztabellen statistischer Testvertellungen. R. Oldenbourg Verlag, Mnchen, Wien 1976, 151 S., DM 44,–.

R.E.Barlow, D.J.Batholomew, J.M.Bremner, H.D.Brunk:Statistical Inference Under Order Restrictions.(The Theory and Applications of Isotonic Regression.) John Wiley & Sons, New York 1972, 388 pp., £ 7.50.

H.J.Larson:Introduction to Probability Theory and Statistical Inference. Wiley, New York 1974, 430 pp., £ 6.85.

R.A.Carlson:Statistics. Holden Day, Inc., San Francisco 1973, 393 pp.

E. Page:Queueing Theory in OR. Butterworths, London 1972, 187 pp., £ 3.60.

H.Krampe, J.Kubat, W.Runge:Bedienungsmodelle. Ein Leitfaden für die praktische Anwendung, Verlag Die Wirtachaft, Berlin 1973, 512 S., 79,– M.

G.S.Fishman:Concepts and Methods in Discrete Events Digital Simulation. John Wiley & Sons, New York 1973, 385 pp., £ 8,75.     

BOOK REVIEWS

Book reviewed in this article:
Berger, Joseph; Cohen, Bernard P.; Snell, J. Laurie; and Zelditch, Morris, Jnr. Types of Formalization in Small-Group Research.
Chakrabarti, M. C. Mathematics of Design and Analysis of Experiments.
Weiler, H., and Weiler, Gladys E. Very Elementary Statistics.
Mulhall, H. Elementary Statistics.
Decisions, Values and Groups.     

BOOK REVIEWS

Book reviewed in this article:
Cochran, William G. Sampling Techniques.
Buckland, William R., and Fox, Ronald A. Bibliography of Basic Texts and Monographs on Statistical Methods.
Shilov, G. E. How to Construct Graphs, and Natanson, I. P. Simplest Maxima and Minima Problems. Topics in Mathematics.
Whittle, P. Prediction and Regulation by Linear Least Square Method.
Beryland, O. S., Gavrilova, R. I., and Prudnikov, A. P. Tables of Integral Error Functions and Hermite Polynomials.
Amos, D. E., and Koopmans, L. H. Tables of the Distribution of the Coeficient of Coherence for Stationary Bivariate Gaussian Processes.
Vesselo, I. R. How to Read Statistics.     

BOOK REVIEWS

Book reviewed in this article:
Winkler, Robert L. An Introduction to Bayesian Inference and Decision.
Bliss, C. I. Statistics in Biology.
Sard, A., and Weintraub, S. A Book of Splines.
Kshirsagar, Anant M. Multivariate Analysis.
Ghosh, B. K. Sequential Tests of Statistical Hypotheses.
Rao, C. Radhakrishna, and Mitra, Sujit Kumar. Generalised Inverse of Matrices and Its Applications.
Balaam, L. N. Fundamentals of Biometry.
Simmons, Donald M. Linear Programming for Operations Research.
Strum, Jay E. Introduction to Linear Programming.
Newman, T. G., and Odell, P. L. The Generation of Random Variates.
Rényi, Alfred. Foundations of Probability.
Romanovsky, V. I. Discrete Markov Chains.