Diagnostic Methods in Time Series

Name: Diagnostic Methods in Time Series
Brand: Springer Verlag, Singapore
SKU: 9789811622632
Price: 1489 CZK
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Autor: Masanobu Taniguchi, Anna Clara Monti

Jazyk:

Vazba: Brožovaná

Vydavatel: Springer Verlag, Singapore

Dostupnost: Skladem u dodavatele

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This book contains new aspects of model diagnostics in time series analysis, including variable sele...

Informace o knize

Autor

Masanobu Taniguchi, Anna Clara Monti

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2021

Stránek

108

EAN

9789811622632

ISBN

9811622639

Enbook ID

35573299

Vydavatel

Springer Verlag, Singapore

Hmotnost

454

Rozměry

155 x 235 x 7

Kompletní popis

This book contains new aspects of model diagnostics in time series analysis, including variable selection problems and higher-order asymptotics of tests. This is the first book to cover systematic approaches and widely applicable results for nonstandard models including infinite variance processes. The book begins by introducing a unified view of a portmanteau-type test based on a likelihood ratio test, useful to test general parametric hypotheses inherent in statistical models. The conditions for the limit distribution of portmanteau-type tests to be asymptotically pivotal are given under general settings, and very clear implications for the relationships between the parameter of interest and the nuisance parameter are elucidated in terms of Fisher-information matrices. A robust testing procedure against heavy-tailed time series models is also constructed in the context of variable selection problems. The setting is very reasonable in the context of financial data analysis and econometrics, and the result is applicable to causality tests of heavy-tailed time series models. In the last two sections, Bartlett-type adjustments for a class of test statistics are discussed when the parameter of interest is on the boundary of the parameter space. A nonlinear adjustment procedure is proposed for a broad range of test statistics including the likelihood ratio, Wald and score statistics.

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Diagnostic Methods in Time Series

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