عنوان

Empirical likelihood and quantile methods for time series :

شابک

9789811001512

شابک

9789811001529

شابک

9789811001536

شابک

9811001510

شابک

9811001529

شابک

9811001537

شابک اشتباه

9789811001512

عنوان اصلي

Empirical likelihood and quantile methods for time series :

نام عام مواد

[Book]

ساير اطلاعات عنواني

efficiency, robustness, optimality, and prediction /

نام نخستين پديدآور

Yan Liu, Fumiya Akashi, Masanobu Taniguchi.

محل نشرو پخش و غیره

Singapore :

نام ناشر، پخش کننده و غيره

Springer,

تاریخ نشرو بخش و غیره

[2018]

تاریخ نشرو بخش و غیره

©2018

نام خاص و کميت اثر

1 online resource

عنوان فروست

Springer briefs in statistics. JSS research series in statistics

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

Intro; Preface; Contents; 1 Introduction; 1.1 Stationary Time Series; 1.2 Prediction Problem; 1.3 Interpolation and Extrapolation Problem; 1.4 Robust Interpolation and Extrapolation; 2 Parameter Estimation Based on Prediction; 2.1 Introduction; 2.1.1 Location Disparity; 2.1.2 Scale Disparity; 2.1.3 A New Disparity Based on Prediction; 2.2 Fundamentals of the New Disparity; 2.3 Parameter Estimation Based on Disparity; 2.3.1 Finite Variance Innovations Case; 2.3.2 Infinite Variance Innovations Case; 2.4 Efficiency and Robustness; 2.4.1 Robustness Against the Fourth-Order Cumulant

متن يادداشت

5 Self-weighted GEL Methods for Infinite Variance Processes5.1 Introduction to Self-weighted Least Absolute Deviations Approach; 5.2 Self-weighted GEL Statistics; 5.3 Application to the Change Point Test; 5.4 Numerical Studies; 5.5 Auxiliary Results; Bibliography; ; Index

بدون عنوان

0

بدون عنوان

8

متن يادداشت

This book integrates the fundamentals of asymptotic theory of statistical inference for time series under nonstandard settings, e.g., infinite variance processes, not only from the point of view of efficiency but also from that of robustness and optimality by minimizing prediction error. This is the first book to consider the generalized empirical likelihood applied to time series models in frequency domain and also the estimation motivated by minimizing quantile prediction error without assumption of true model. It provides the reader with a new horizon for understanding the prediction problem that occurs in time series modeling and a contemporary approach of hypothesis testing by the generalized empirical likelihood method. Nonparametric aspects of the methods proposed in this book also satisfactorily address economic and financial problems without imposing redundantly strong restrictions on the model, which has been true until now. Dealing with infinite variance processes makes analysis of economic and financial data more accurate under the existing results from the demonstrative research. The scope of applications, however, is expected to apply to much broader academic fields. The methods are also sufficiently flexible in that they represent an advanced and unified development of prediction form including multiple-point extrapolation, interpolation, and other incomplete past forecastings. Consequently, they lead readers to a good combination of efficient and robust estimate and test, and discriminate pivotal quantities contained in realistic time series models.

منبع سفارش / آدرس اشتراک

Springer Nature

شماره انبار

com.springer.onix.9789811001529

شماره استاندارد بين المللي کتاب و موسيقي

9789811001512

شماره استاندارد بين المللي کتاب و موسيقي

9789811001536

موضوع مستند نشده

Finance-- Econometric models.

موضوع مستند نشده

Time-series analysis.

موضوع مستند نشده

Statistical Theory and Methods.

موضوع مستند نشده

Statistics for Business, Management, Economics, Finance, Insurance.

موضوع مستند نشده

Statistics for Social Sciences, Humanities, Law.

موضوع مستند نشده

Finance-- Econometric models.

موضوع مستند نشده

MATHEMATICS-- Applied.

موضوع مستند نشده

MATHEMATICS-- Probability & Statistics-- General.

موضوع مستند نشده

Time-series analysis.

موضوع مستند نشده

MAT-- 003000

موضوع مستند نشده

MAT-- 029000

موضوع مستند نشده

PBT

موضوع مستند نشده

PBT

شماره

ويراست

شماره رده

مستند نام اشخاص تاييد نشده

Liu, Yan

مستند نام اشخاص تاييد نشده

Akashi, Fumiya

مستند نام اشخاص تاييد نشده

Taniguchi, Masanobu

تاريخ عمليات

20200823221337.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y