Empirical Likelihood and Quantile Methods for Time Series (inbunden)
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Format
Häftad (Paperback / softback)
Språk
Engelska
Serie
SpringerBriefs in Statistics
Antal sidor
136
Utgivningsdatum
2018-12-17
Förlag
Springer Verlag, Singapore
Dimensioner
234 x 156 x 8 mm
Vikt
218 g
ISBN
9789811001512

Empirical Likelihood and Quantile Methods for Time Series

Efficiency, Robustness, Optimality, and Prediction

av Yan Liu, Fumiya Akashi, Masanobu Taniguchi
Häftad,  Engelska, 2018-12-17
601
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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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Fler böcker av författarna

Yan Liu, Fumiya Akashi, Masanobu Taniguchi

Övrig information

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

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