Empirical Likelihood and Quantile Methods for Time Series

Efficiency, Robustness, Optimality, and Prediction

Business & Finance, Economics, Statistics, Nonfiction, Science & Nature, Mathematics
Cover of the book Empirical Likelihood and Quantile Methods for Time Series by Yan Liu, Fumiya Akashi, Masanobu Taniguchi, Springer Singapore
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Yan Liu, Fumiya Akashi, Masanobu Taniguchi ISBN: 9789811001529
Publisher: Springer Singapore Publication: December 5, 2018
Imprint: Springer Language: English
Author: Yan Liu, Fumiya Akashi, Masanobu Taniguchi
ISBN: 9789811001529
Publisher: Springer Singapore
Publication: December 5, 2018
Imprint: Springer
Language: English

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 makes analysis 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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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 makes analysis 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.

More books from Springer Singapore

Cover of the book The Philosophy of Ch’eng I by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Advanced Computational Methods in Energy, Power, Electric Vehicles, and Their Integration by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Chinese as a Second and Foreign Language Education by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Metallogenic Mechanism of the Galinge Polymetallic Iron Skarn Deposit, Qiman Tagh Mountains, Qinghai Province by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Pet bird diseases and care by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Representations of Lie Algebras and Partial Differential Equations by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Design, Analysis and Application of Magnetless Doubly Salient Machines by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Subjectivity within Cultural-Historical Approach by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Solid-State NMR in Zeolite Catalysis by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Retinal and Choroidal Imaging in Systemic Diseases by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Conference Proceedings of the Second International Conference on Recent Advances in Bioenergy Research by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Women's Entrepreneurship and Microfinance by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Assessing Global Water Megatrends by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book Practical Approach to Peripheral Arterial Chronic Total Occlusions by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Cover of the book How Water Influences Our Lives by Yan Liu, Fumiya Akashi, Masanobu Taniguchi
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy