EAN: 9789811001512

SPRINGERBRIEFS IN STATISTICS EMPIRICAL LIKELI...

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.

Aktuelle Preise zur EAN 9789811001512

Produktinformationen zur 9789811001512