Téléchargez le livre : Diagnostic Methods in Time Series

Diagnostic Methods in Time Series

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Éditeur :

Springer


Collection :

SpringerBriefs in Statistics

Paru le : 2021-06-08

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Description
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.
Pages
108 pages
Collection
SpringerBriefs in Statistics
Parution
2021-06-08
Marque
Springer
EAN papier
9789811622632
EAN PDF
9789811622649
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
10
Taille du fichier
2877 Ko
Prix
68,56 €
EAN EPUB
9789811622649
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
10
Taille du fichier
10404 Ko
Prix
68,56 €

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