The International Symposium
on Frontiers of Time Series Modeling

The Institute of Statistical Mathematics (ISM)
Tokyo,Japan (Map)
February 7-9, 2000





Committee Symposium Chair

Genshiro Kitagawa (ISM)

International Program Committee

Genshiro Kitagawa (Chair, ISM)
Peter J. Brockwell (Colorado State University)
Mike West (Duke University)
Pedro A. Valdes-Sosa (Cuban Neuroscience Center)
Tohru Ozaki (ISM)
Makio Ishiguro (ISM)
Yoshiyasu Tamura (ISM)
Junji Nakano (ISM)
Tomoyuki Higuchi (ISM)
Yumi Takizawa (ISM)
Isao Shoji (Tsukuba University, ISM)
Yoshinori Kawasaki (ISM)
Seisho Sato (ISM)

Local Organizing Committee

Tomoyuki Higuchi (Chair, ISM)
Yoshiyasu Tamura (ISM)
Junji Nakano (ISM)
Yoshinori Kawasaki (ISM)
Seisho Sato (ISM)
Teiichi Miyamura (ISM)
Shouji Okazaki (ISM)
Sakae Ishibashi (ISM)
Mitsuji Ikeda (ISM)
Kunio Ura (ISM)
Kennji Kaneko (ISM)
Yoshiyuki Ooki (ISM)

Aim The analysis and prediction of complex dynamic phenomena and nonlinear phenomena has become very important in various fields such as earth science, environmental science, economics and finance. Appropriate statistical modeling is the key to success with these problems. In this symposium, we hope that the participants will bring together and exchange their new ideas and methods for dealing with problems at the frontiers of time series modeling. In particular, we would like to focus on the new methodologies developed for the analysis and prediction of time series.

Discussion Topics

Invited Speakers Peter J. Brockwell (Colorado State University, USA)
Pedro A. D. Valdes-Sosa (Cuban Neuroscience Center, Cuba)
Dag Tjostheim (University of Bergen, Norway)
Neil Shephard (Nuffield College, UK)
Siem Koopman (Free University, Netherland)
Dominique Guegan (Universite de Reims, France)
Ledwig Fahrmeir (University of Munchen, Germany)
Sylvia Frühwirth-Schnatter (Wirtschaftsuniversitaet Wien, Austria)
Piet de Jong (University of British Columbia, Canada)
Neil Gordon (DERA, UK)
Wolfgang Haerdle (Humboldt University of Berlin, Germany)
Simon Godsill(Cambridge University, UK)

15 domestic researchers are also invited to the symposium.

Program PROGRAM [Final Version]

Best Poster Session Presentation Award

[P005]
Estimation of Multifactor Term Structure Model on
Japanese Interest Rates by Using Monte Carlo Filter
by Akihiko Takahashi, Seisho Sato



Special Issue in AISM ##########################################
[AISM]
Annals of the Institute of Statistical Mathematics
Published by Kluwer Academic Publishers
Quarterly Journal (200*4 pages)
##########################################

Following very successful Symposium, we are planning to publish a Special Issue on Time Series Analysis (tentative title) from AISM, Vol. 52, No.1, March 2001: The first volume of the 21st Century). Authors of the Invited papers are welcomed to submit original papers based mainly on the papers submitted to the symposium. All submitted papers will be reviewed for acceptability for publication. For information about the AIMS and Scope, and Information for Authors, please visit the AISM home page
http://www.ism.ac.jp/~nagasima/editsec/aism-e.html

The procedure for submission of papers includes the following guidelines:

(1) The paper must be in English.

(2) If at all possible, submission should be made electronically, by e-mail or on diskette, using LaTeX system with a particular style file made by the publisher (Kluwer Academic, Japan). We are assuming that you use latex209 and have the epsfig package. Please try to compile the exaism.tex file. It contains info on how to do tables,figures and references.

(3) All papers must be submitted no later than April 14, 2000 to

Genshiro Kitagawa
The Institute of Statistical Mathematics
4-6-7 Minami-Azabu, Minato-ku, Tokyo 106-8569 Japan
email: kitagawa@ism.ac.jp
FAX: +81-3-5421-8796







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