Aug 29, 2013

Obituary: Maurice Priestley 1933–2013

Maurice Bertram Priestley, Professor emeritus of the University of Manchester, UK, was an outstanding, influential and highly respected figure in the field of time series analysis. His book on Spectral Analysis and Time Series, first published in 1982 and reprinted several times, has become a standard reference on the subject. In the preface of the book, Maurice Priestley stated that, for the most part, he “followed the style of the applied mathematician, but there are certain basic results (such as the spectral representation theorem) which are crucial for a proper understanding of the subject, and by their nature, require a careful and precise presentation”. In his book one can see his subtle use of real analysis and generalized functions, subjects of which he was very fond, in deriving the results. At the same time, one can see his skill in relating the results to applied problems arising in fields such as physics, engineering and economics. Besides being an outstanding research worker, he was well known to be an excellent teacher. He was one time associate editor of the Journal of the Royal Statistical Society Series B (JRSS B) and from its foundation in 1980 until the end of 2012 he was editor-in-chief of the Journal of Time Series Analysis (JTSA), a leading journal in the field. He was elected as a member of the International Statistical Institute, and also a Fellow of the IMS.

Maurice Priestley had a life-long loyalty to Manchester, the city of his birth on 15th March 1933. He attended the 500-year-old renowned Manchester Grammar School and went on to Jesus College, Cambridge, where he was a wrangler in mathematics. At Cambridge he stayed on to take the Diploma in Mathematical Statistics in the Statistical Laboratory where his interests were influenced by Dennis Lindley and Henry Daniels among many others. From 1955 to 1956 he was Scientific Officer at the Royal Aircraft Establishment, gaining practical experience of the relatively new field of spectral analysis and working for a short time with Gwilym Jenkins, who was a junior fellow there, and who would also go on to make his reputation in this area. They published a joint paper in JRSS B in 1957 and Maurice decided to study for a PhD. On the advice of George Barnard he returned to Manchester to work under the guidance of Maurice Bartlett and at the same time took up an assistant lectureship at the University of Manchester. He carried on his work on spectral analysis that he started with Gwilym Jenkins and published two very influential papers on spectral estimation (Technometrics, 1962) and the role and choice of bandwidth in the estimation of spectral density function (Applied Statistics, 1965), a topic which received a great deal of attention in the context of probability density estimation and nonparametric regression. His reputation was firmly established with a further two papers in JRSS B based on his PhD topic on inference for mixed spectra—the detection of frequencies in the presence of coloured noise. He published in 1965 a seminal paper (a read paper to the Royal Statistical Society) on evolutionary spectra and non-stationary processes. This paper stimulated further research in this area by others and led to the development of statistical tests for non-stationarity (Priestley and Subba Rao, JRSS B, 1969), to development of time varying parameter linear ARMA models and to the definition of the weighted likelihood function as a tool for the estimation of time dependent parameters (Subba Rao, JRSS B, 1970). More recently, Dahlhaus (Annals of Statistics, 1977) and his colleagues extended these ideas further for the analysis of locally stationary processes satisfying ARCH models, a topic which is now receiving considerable attention.

During the 1970s, Priestley’s department became an exciting centre for time series research with the appointment, among others, of Tong and Subba Rao who rapidly established their own reputations in non-linear time series modelling. One can describe the 1970s as a golden decade for rapid developments in nonlinear and non-stationary processes, many of these emanating from the Manchester School under the leadership of Maurice Priestley (Bilinear Models of Subba Rao, JRSS B 1981, Threshold Models of Tong and Lim, JRSS B 1980, Amplitude Dependent AR models of Haggan and Ozaki, Biometrika 1981, State Dependent Models of Priestley, JTSA 1980). During the same period, Clive Granger and his colleagues at Nottingham were publishing papers in similar and related areas. Together, Maurice Priestley and Clive Granger formed the Manchester–Nottingham Time Series group, which held frequent meetings to discuss new developments and stimulated further research in these areas. These meetings continued until Clive Granger moved in 1974 to the University of California, San Diego. Priestley had been visiting professor at both Princeton and Stanford Universities in the USA in the early ’60s and through the many contacts he fostered and his personal standing he attracted to his department a succession of visitors of international repute in time series research, including H. Akaike, T. W. Anderson, E. J. Hannan, E. A. Parzen, M Rosenblatt, Tohru Ozaki and G. Wahba.

Maurice Priestley was appointed to full Professorship in 1970 and served as Head of the department of Mathematics at the University of Manchester Institute of Science and Technology (UMIST) for several periods, in total over 12 years. He figured prominently in the UMIST administration, and served with distinction on many committees. He was instrumental in the formation of the joint Manchester–Sheffield School of Probability and Statistics, being appointed Honorary Professor at the University of Sheffield. In 1999, following his retirement from UMIST, he was appointed Emeritus Professor in the University of Manchester.

Maurice was a Hi-Fi enthusiast and keen amateur radio operator (related to signal processing interests and not unconnected with time series?). He was more interested in the technical side of Hi-Fi equipment (for example the frequency response functions of the sound systems such as speakers and amplifiers rather than actual sound itself). Similarly his interest in golf, where he was more interested in flight dynamics of the golf ball and optimum position to hold the golf club for a specific shot. He was a dedicated supporter of Manchester United football (soccer) club and any discussion related to the club, its manager, or the game could become “interesting”. He also had clear and well thought-out views on his own speciality but in his leadership of his department and editorship of the Journal of Time Series Analysis was moderate and of a generous leaning. He earned widespread respect, both personal and professional, from academic colleagues.

He married Nancy Nelson in 1959 and they have two children, Michael and Ruth, and four grand children. He died on 15th June 2013 following a long illness.

Tata Subba Rao, University of Manchester, and Granville Tunnicliffe-Wilson, Lancaster University


  • I have a great honour to be one his student at UMIST where I did my master degree under his supervision. Apart from the fact that he was outstanding mathematician, he was a lovely and kind teacher who cares about his students and their well being. He will be sadly missed

  • I too was taught by Professor Priestley during the years 1970-1975. Especially 1974-1975 when he supported me to do a funded MSc in Applied Statistical Analysis. He was always very calm, very helpful, and taught me a lot.

  • ba salam khedmate ostad mohtaram , man maghalei ba in onvan jostojo mikonam ama be natijei naresidam lotfan dar sorate emkan man ra rahnamayi konid.mamnoon
    priestley,m.b.1981 spectral analysis and time series .new york academic press

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