Empirical Likelihood And Quantile Methods For Time Series
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Empirical Likelihood And Quantile Methods For Time Series
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Author : Yan Liu
language : en
Publisher: Springer
Release Date : 2018-12-05
Empirical Likelihood And Quantile Methods For Time Series written by Yan Liu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-05 with Mathematics categories.
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.
Research Papers In Statistical Inference For Time Series And Related Models
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Author : Yan Liu
language : en
Publisher: Springer Nature
Release Date : 2023-05-31
Research Papers In Statistical Inference For Time Series And Related Models written by Yan Liu and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-05-31 with Mathematics categories.
This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic time series, locally stationary processes, integer-valued time series, Lévy Processes, complex-valued time series, categorical time series, exclusive topic models, and copula models. Many cutting-edge methods such as empirical likelihood methods, quantile regression, portmanteau tests, rank-based inference, change-point detection, testing for the goodness-of-fit, higher-order asymptotic expansion, minimum contrast estimation, optimal transportation, and topological methods are proposed, considered, or applied to complex data based on the statistical inference for stochastic processes. The performances of these methods are illustrated by a variety of data analyses. This collection of original papers provides the reader with comprehensive and state-of-the-art theoretical works on time series and related models. It contains deep and profound treatments of the asymptotic theory of statistical inference. In addition, many specialized methodologies based on the asymptotic theory are presented in a simple way for a wide variety of statistical models. This Festschrift finds its core audiences in statistics, signal processing, and econometrics.
Empirical Likelihood
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Author : Art B. Owen
language : en
Publisher: CRC Press
Release Date : 2001-05-18
Empirical Likelihood written by Art B. Owen and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-05-18 with Mathematics categories.
Empirical likelihood provides inferences whose validity does not depend on specifying a parametric model for the data. Because it uses a likelihood, the method has certain inherent advantages over resampling methods: it uses the data to determine the shape of the confidence regions, and it makes it easy to combined data from multiple sources. It al
Statistical Inference For Financial Engineering
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Author : Masanobu Taniguchi
language : en
Publisher: Springer Science & Business Media
Release Date : 2014-03-26
Statistical Inference For Financial Engineering written by Masanobu Taniguchi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-26 with Business & Economics categories.
This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering. This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics.
Inference For Heavy Tailed Data
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Author : Liang Peng
language : en
Publisher: Academic Press
Release Date : 2017-08-11
Inference For Heavy Tailed Data written by Liang Peng and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-11 with Mathematics categories.
Heavy tailed data appears frequently in social science, internet traffic, insurance and finance. Statistical inference has been studied for many years, which includes recent bias-reduction estimation for tail index and high quantiles with applications in risk management, empirical likelihood based interval estimation for tail index and high quantiles, hypothesis tests for heavy tails, the choice of sample fraction in tail index and high quantile inference. These results for independent data, dependent data, linear time series and nonlinear time series are scattered in different statistics journals. Inference for Heavy-Tailed Data Analysis puts these methods into a single place with a clear picture on learning and using these techniques. Contains comprehensive coverage of new techniques of heavy tailed data analysis Provides examples of heavy tailed data and its uses Brings together, in a single place, a clear picture on learning and using these techniques
Empirical Likelihood Method In Survival Analysis
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Author : Mai Zhou
language : en
Publisher: CRC Press
Release Date : 2015-06-17
Empirical Likelihood Method In Survival Analysis written by Mai Zhou and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-17 with Mathematics categories.
Empirical Likelihood Method in Survival Analysis explains how to use the empirical likelihood method for right censored survival data. The author uses R for calculating empirical likelihood and includes many worked out examples with the associated R code. The datasets and code are available for download on his website and CRAN. The book focuses on all the standard survival analysis topics treated with empirical likelihood, including hazard functions, cumulative distribution functions, analysis of the Cox model, and computation of empirical likelihood for censored data. It also covers semi-parametric accelerated failure time models, the optimality of confidence regions derived from empirical likelihood or plug-in empirical likelihood ratio tests, and several empirical likelihood confidence band results. While survival analysis is a classic area of statistical study, the empirical likelihood methodology has only recently been developed. Until now, just one book was available on empirical likelihood and most statistical software did not include empirical likelihood procedures. Addressing this shortfall, this book provides the functions to calculate the empirical likelihood ratio in survival analysis as well as functions related to the empirical likelihood analysis of the Cox regression model and other hazard regression models.
Empirical Likelihood In Long Memory Time Series Models
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Author : Chun-Yip Yau
language : en
Publisher:
Release Date : 2006
Empirical Likelihood In Long Memory Time Series Models written by Chun-Yip Yau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Time-series analysis categories.
Bayesian Empirical Likelihood For Quantile Regression
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Author :
language : en
Publisher:
Release Date : 2012
Bayesian Empirical Likelihood For Quantile Regression written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Advanced Statistical Methods In Data Science
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Author : Ding-Geng Chen
language : en
Publisher: Springer
Release Date : 2016-11-30
Advanced Statistical Methods In Data Science written by Ding-Geng Chen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-30 with Mathematics categories.
This book gathers invited presentations from the 2nd Symposium of the ICSA- CANADA Chapter held at the University of Calgary from August 4-6, 2015. The aim of this Symposium was to promote advanced statistical methods in big-data sciences and to allow researchers to exchange ideas on statistics and data science and to embraces the challenges and opportunities of statistics and data science in the modern world. It addresses diverse themes in advanced statistical analysis in big-data sciences, including methods for administrative data analysis, survival data analysis, missing data analysis, high-dimensional and genetic data analysis, longitudinal and functional data analysis, the design and analysis of studies with response-dependent and multi-phase designs, time series and robust statistics, statistical inference based on likelihood, empirical likelihood and estimating functions. The editorial group selected 14 high-quality presentations from this successful symposium and invited the presenters to prepare a full chapter for this book in order to disseminate the findings and promote further research collaborations in this area. This timely book offers new methods that impact advanced statistical model development in big-data sciences.
An Adaptive Empirical Likelihood Test For Nonlinear Time Series Models
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Author : Songxi Chen
language : en
Publisher:
Release Date : 2004
An Adaptive Empirical Likelihood Test For Nonlinear Time Series Models written by Songxi Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.