Empirical likelihood and quantile methods for time series : efficiency, robustness, optimality, and prediction /: efficiency, robustness, optimality, and prediction. ([2018])

• Record Type: Book
• Further Information: Note: Yan Liu, Fumiya Akashi, Masanobu Taniguchi.
• Authors: Liu, Yan; Akashi, Fumiya; Taniguchi, Masanobu
• Contents: Intro; Preface; Contents; 1 Introduction; 1.1 Stationary Time Series; 1.2 Prediction Problem; 1.3 Interpolation and Extrapolation Problem; 1.4 Robust Interpolation and Extrapolation; 2 Parameter Estimation Based on Prediction; 2.1 Introduction; 2.1.1 Location Disparity; 2.1.2 Scale Disparity; 2.1.3 A New Disparity Based on Prediction; 2.2 Fundamentals of the New Disparity; 2.3 Parameter Estimation Based on Disparity; 2.3.1 Finite Variance Innovations Case; 2.3.2 Infinite Variance Innovations Case; 2.4 Efficiency and Robustness; 2.4.1 Robustness Against the Fourth-Order Cumulant 5 Self-weighted GEL Methods for Infinite Variance Processes5.1 Introduction to Self-weighted Least Absolute Deviations Approach; 5.2 Self-weighted GEL Statistics; 5.3 Application to the Change Point Test; 5.4 Numerical Studies; 5.5 Auxiliary Results; Bibliography; ; Index
• Publisher Details: Singapore : Springer
• Publication Date: 2018
• Copyright Date: 2018
• Extent: 1 online resource
• Subjects: 519.55; Time-series analysis; Finance -- Econometric models; MATHEMATICS / Applied; MATHEMATICS / Probability & Statistics / General; Finance -- Econometric models; Time-series analysis; Statistical Theory and Methods; Statistics for Business, Management, Economics, Finance, Insurance; Statistics for Social Sciences, Humanities, Law; Electronic books
• Languages: English
• ISBNs: 9789811001529; 9811001529
• Related ISBNs: 9789811001512
• Notes: Note: Includes bibliographical references and index.; Note: Vendor-supplied metadata.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.