Diagnostic Methods in Time Series is popular PDF and ePub book, written by Fumiya Akashi in 2021, it is a fantastic choice for those who relish reading online the Uncategoriezed genre. Let's immerse ourselves in this engaging Uncategoriezed book by exploring the summary and details provided below. Remember, Diagnostic Methods in Time Series can be Read Online from any device for your convenience.
Diagnostic Methods in Time Series Book PDF Summary
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.
Detail Book of Diagnostic Methods in Time Series PDF
- Author : Fumiya Akashi
- Release : 21 September 2024
- Publisher : Unknown
- ISBN : 9811622655
- Genre : Uncategoriezed
- Total Page : 0 pages
- Language : English
- PDF File Size : 11,7 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book Diagnostic Methods in Time Series by Fumiya Akashi, don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.