Diagnostic Methods in Time Series

Name: Diagnostic Methods in Time Series
Brand: Springer Verlag, Singapore
SKU: 9789811622632
Price: 68.58 EUR
Availability: InStock

Автор: Masanobu Taniguchi, Anna Clara Monti

Език:

Корици: С меки корици

Издател: Springer Verlag, Singapore

Наличност: Външен склад

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68.58 € 134.12 лв

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

Информация за книгата

Автор

Masanobu Taniguchi, Anna Clara Monti

Език

Английски език

Корици

Книга - С меки корици

Издадена

2021

страници

108

EAN

9789811622632

ISBN

9811622639

Enbook ID

35573299

Издател

Springer Verlag, Singapore

Теглоt

454

Размери

155 x 235 x 7

Пълно описание

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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