| 书目名称 | Diagnostic Methods in Time Series |
| 编辑 | Fumiya Akashi,Masanobu Taniguchi,Tomoyuki Amano |
| 视频video | |
| 概述 | Covers a broad range of techniques for model diagnostics of time series models under general settings.Provides robust testing procedures including variable selection and causality without any moment c |
| 丛书名称 | SpringerBriefs in Statistics |
| 图书封面 |  |
| 描述 | 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 par |
| 出版日期 | Book 2021 |
| 关键词 | Time Series Analysis; Infinite Variance Process; Variable Selection; Test of Causality; Empirical Likeli |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-981-16-2264-9 |
| isbn_softcover | 978-981-16-2263-2 |
| isbn_ebook | 978-981-16-2264-9Series ISSN 2191-544X Series E-ISSN 2191-5458 |
| issn_series | 2191-544X |
| copyright | The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2021 |
发表于 2025-3-21 18:42:28
