How Computational Statistics Became the Backbone of Modern Data Science

Abstract

This first chapter serves as an introduction and overview for a collection of articles surveying the current state of the science of computational statistics. Earlier versions of most of these articles appeared in the first edition of Handbook of Computational Statistics: Concepts and Methods, published in 2004. There have been advances in all of the areas of computational statistics, so we feel that it is time to revise and update this Handbook. This introduction is a revision of the introductory chapter of the first edition.

Keywords: Discrete time series models, continuous time diffusion models, models with jumps, stochastic volatility, GARCH

JEL Classification: C15