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Empirical Likelihood and Quantile Methods for Time Series: Efficiency, Robustness, Optimality, and Prediction: SpringerBriefs in Statistics

Autor Yan Liu, Fumiya Akashi, Masanobu Taniguchi
en Limba Engleză Paperback – 17 dec 2018
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 makesanalysis 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.

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Specificații

ISBN-13: 9789811001512
ISBN-10: 9811001510
Pagini: 135
Ilustrații: X, 136 p. 10 illus., 9 illus. in color.
Dimensiuni: 155 x 235 mm
Greutate: 0.22 kg
Ediția:1st ed. 2018
Editura: Springer Nature Singapore
Colecția Springer
Seriile SpringerBriefs in Statistics, JSS Research Series in Statistics

Locul publicării:Singapore, Singapore

Cuprins

Chapter 1. Introduction to Nonstandard Analysis in Time Series Analysis.- Chapter 2. Parameter Estimation by Quantile Prediction Error.- Chapter 3. Hypotheses Testing by Generalized Empirical Likelihood for Stable Processes.- Chapter 4. Higher Order Efficiency of Generalized Empirical Likelihood for Dependent Data.- Chapter 5. Robust Aspects of Empirical Likelihood for Unified Prediction Error.- Chapter 6. Applications.

Recenzii

“The book is devoted to some questions of statistical inference for time series models. … The book can be useful for researches who are interested in time series analysis and statistical inference.” (Jonas Šiaulys, zbMath 1418.62012, 2019)

Notă biografică

Yan Liu, Dr., Waseda University, y.liu2@kurenai.waseda.jp, 3-4-1 Okubo, Shinjuku-ku, Tokyo 169-8555, Japan

Fumiya Akashi, Dr., Waseda University, f.akashi@kurenai.waseda.jp, 3-4-1 Okubo, Shinjuku-ku, Tokyo 169-8555, Japan

Masanobu Taniguchi, Professor, Research Importance Position, Research Institute for Science & Engineering, Waseda University, taniguchi@waseda.jp, 3-4-1 Okubo, Shinjuku-ku, Tokyo 169-8555, Japan


Caracteristici

Deals with nonstandard settings such as infinite variance rather than weakly stationary time series Demonstrates that methods for parameter estimation and hypotheses testing are essentially nonparametric so that they are appropriate for economics and finance Explains that the methods are advanced and unified developments of multiple-point extrapolation and interpolation in frequency domain