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Gaussian Semiparametric Estimation Of Non Stationary Time Series
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Author :Torben Gustav Andersen Publisher :Springer Science & Business Media ISBN 13 :3540712976 Total Pages :1045 pages Book Rating :4.5/5 (47 download)
Book Synopsis Handbook of Financial Time Series by : Torben Gustav Andersen
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Book Synopsis Asymptotics, Nonparametrics, and Time Series by : Subir Ghosh
Download or read book Asymptotics, Nonparametrics, and Time Series written by Subir Ghosh and published by CRC Press. This book was released on 1999-02-18 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Contains over 2500 equations and exhaustively covers not only nonparametrics but also parametric, semiparametric, frequentist, Bayesian, bootstrap, adaptive, univariate, and multivariate statistical methods, as well as practical uses of Markov chain models."
Book Synopsis Time Series with Long Memory by : Peter M. Robinson
Download or read book Time Series with Long Memory written by Peter M. Robinson and published by Advanced Texts in Econometrics. This book was released on 2003 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long memory time series are characterized by a strong dependence between distant events.
Book Synopsis Unit Root Tests in Time Series Volume 2 by : K. Patterson
Download or read book Unit Root Tests in Time Series Volume 2 written by K. Patterson and published by Springer. This book was released on 2012-07-05 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Book Synopsis Long-Memory Processes by : Jan Beran
Download or read book Long-Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Book Synopsis Modeling and Using Context by : Anind Dey
Download or read book Modeling and Using Context written by Anind Dey and published by Springer Science & Business Media. This book was released on 2005-06-24 with total page 1392 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 5th International and Interdisciplinary Conference on Modeling and Using Context, CONTEXT 2005, held in Paris, France in July 2005. The 42 revised full papers presented were carefully reviewed and selected from a total of 120 submissions. The papers presented deal with the interdisciplinary topic of modeling and using context from various points of view, ranging through cognitive science, formal logic, artifical intelligence, computational intelligence, philosophical and psychological aspects, and information processing. Highly general philosophical and theoretical issues are complemented by specific applications in various fields.
Book Synopsis Time Series Analysis: Methods and Applications by :
Download or read book Time Series Analysis: Methods and Applications written by and published by Elsevier. This book was released on 2012-05-18 with total page 777 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments.The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. - Comprehensively presents the various aspects of statistical methodology - Discusses a wide variety of diverse applications and recent developments - Contributors are internationally renowened experts in their respective areas
Book Synopsis XploRe® - Application Guide by : W. Härdle
Download or read book XploRe® - Application Guide written by W. Härdle and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a detailed application guide to XploRe - an interactive statistical computing environment. As a guide it contains case studies of real data analysis situations. It helps the beginner in statistical data analysis to learn how XploRe works in real life applications. Many examples from practice are discussed and analysed in full length. Great emphasis is put on a graphic based understanding of the data interrelations. The case studies include: Survival modelling with Cox's proportional hazard regression, Vitamin C data analysis with Quantile Regression, and many others.
Book Synopsis Time Series Analysis with Long Memory in View by : Uwe Hassler
Download or read book Time Series Analysis with Long Memory in View written by Uwe Hassler and published by John Wiley & Sons. This book was released on 2018-10-30 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs Contains many new results on long memory processes which have not appeared in previous and existing textbooks Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory Contains 25 illustrative figures as well as lists of notations and acronyms Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis.
Book Synopsis Statistics in Industry by : Ravindra Khattree
Download or read book Statistics in Industry written by Ravindra Khattree and published by Gulf Professional Publishing. This book was released on 2003-07-18 with total page 1222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents an exposition of topics in industrial statistics. It serves as a reference for researchers in industrial statistics/industrial engineering and a source of information for practicing statisticians/industrial engineers. A variety of topics in the areas of industrial process monitoring, industrial experimentation, industrial modelling and data analysis are covered and are authored by leading researchers or practitioners in the particular specialized topic. Targeting the audiences of researchers in academia as well as practitioners and consultants in industry, the book provides comprehensive accounts of the relevant topics. In addition, whenever applicable ample data analytic illustrations are provided with the help of real world data.
Book Synopsis Modelling Non-Stationary Economic Time Series by : S. Burke
Download or read book Modelling Non-Stationary Economic Time Series written by S. Burke and published by Springer. This book was released on 2005-06-14 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.
Book Synopsis Long-Range Dependence and Self-Similarity by : Vladas Pipiras
Download or read book Long-Range Dependence and Self-Similarity written by Vladas Pipiras and published by Cambridge University Press. This book was released on 2017-04-18 with total page 693 pages. Available in PDF, EPUB and Kindle. Book excerpt: A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.
Book Synopsis Athens Conference on Applied Probability and Time Series Analysis by : Edward James Hannan
Download or read book Athens Conference on Applied Probability and Time Series Analysis written by Edward James Hannan and published by Springer. This book was released on 1996-08-09 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Athens Conference on Applied Probability and Time Series in 1995 brought together researchers from across the world. The published papers appear in two volumes. Volume II presents papers on time series analysis, many of which were contributed to a meeting in March 1995 partly in honour of E.J. Hannan. The initial paper by P.M. Robinson discusses Ted Hannan's researches and their influence on current work in time series analysis. Other papers discuss methods for finite parameter Gaussian models, time series with infinite variance or stable marginal distribution, frequency domain methods, long range dependent processes, nonstationary processes, and nonlinear time series. The methods presented can be applied in a number of fields such as statistics, applied mathematics, engineering, economics and ecology. The papers include many of the topics of current interest in time series analysis and will be of interest to a wide range of researchers.
Book Synopsis Time Series and Panel Data Econometrics by : M. Hashem Pesaran
Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press. This book was released on 2015 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
Book Synopsis Kondratieff Waves: Dimensions and Prospects at the Dawn of the 21st Century by : Leonid Grinin
Download or read book Kondratieff Waves: Dimensions and Prospects at the Dawn of the 21st Century written by Leonid Grinin and published by ООО "Издательство "Учитель". This book was released on 2012-05-30 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kondratieff waves constitute a sort of mystery that has been haunting economic and social researchers for almost a century. Why do we observe such regularity in the long-term behavior of economic and non-economic indicators? Why in certain periods do we observe prolonged upswings, whereas in other periods – notwithstanding all the enormous efforts of interested macroeconomic actors – economic development is accompanied by prolonged depressions? What gets out of order in social and economic mechanisms? Since the seminal works published by Kondratieff, a number of outstanding researchers have made significant contributions to our understanding of the possible factors affecting and provoking long-term fluctuations of human economic affairs. On the other hand, it has become more and more clear that K-waves influence many social-related processes. However, nobody appears to have found yet an entirely satisfactory solution of ‘Kondratieff's mystery’, and it continues to attract researchers. That is why we have decided to try to unite the forces of such researchers around the new almanac. This first issue offers a wide panorama of views on the Kondratieff waves' phenomenon; here one can also find information on Kondratieff’s life and works. This edition will be useful for economists, social scientists, as well as for a wide circle of those interested in the problems of the past, present, and future of world economics and globalization.
Book Synopsis Multivariate Modelling of Non-Stationary Economic Time Series by : John Hunter
Download or read book Multivariate Modelling of Non-Stationary Economic Time Series written by John Hunter and published by Springer. This book was released on 2017-05-08 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
Book Synopsis Multifractal Volatility by : Laurent E. Calvet
Download or read book Multifractal Volatility written by Laurent E. Calvet and published by Academic Press. This book was released on 2008-10-13 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. - Presents a powerful new technique for forecasting volatility - Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities - The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research
