Yan Liu

(Author)

Empirical Likelihood and Quantile Methods for Time Series: Efficiency, Robustness, Optimality, and Prediction (2018)Paperback - 2018, 17 December 2018

Empirical Likelihood and Quantile Methods for Time Series: Efficiency, Robustness, Optimality, and Prediction (2018)
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Part of Series
Springerbriefs in Statistics
Part of Series
Jss Research Series in Statistics
Part of Series
Jss Research Statistics
Print Length
136 pages
Language
English
Publisher
Springer
Date Published
17 Dec 2018
ISBN-10
9811001510
ISBN-13
9789811001512

Description

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.

Product Details

Authors:
Yan LiuFumiya AkashiMasanobu Taniguchi
Book Edition:
2018
Book Format:
Paperback
Country of Origin:
NL
Date Published:
17 December 2018
Dimensions:
23.39 x 15.6 x 0.81 cm
ISBN-10:
9811001510
ISBN-13:
9789811001512
Language:
English
Location:
Singapore
Pages:
136
Publisher:
Weight:
217.72 gm

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