Download or read book Estimation and Testing in a Perturbed Multivariate Long Memory Framework written by Vivien Less and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture the perturbation given in the long memory process. Explicitly addressing the noise term when approximating the spectral density near the origin results in a bias reduction, but at the cost of an increase in the asymptotic variance of the estimator. Further, we introduce a multivariate testing procedure to detect spurious long memory under a perturbed fractional framework. The test statistic is based on the weighted sum of the partial derivatives of the multivariate local Whittle with noise estimator. We show consistency of the test against the alternatives of smooth trend and random level shift processes. In addition, we prove consistency and asymptotic normality of the local Whittle estimator and we derive the limiting distribution of the test. An empirical example on the squared returns and the realised volatilities from the BEL 20, S&P BSE SENSEX, and the Spanish IBEX is conducted, and shows the usefulness of the procedures.
Download or read book Multivariate Tests for Time Series Models written by Jeff B. Cromwell and published by SAGE. This book was released on 1994 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Which time series test should researchers choose to best describe the interactions among a set of time series variables? Providing guidelines for identifying the appropriate multivariate time series model to use, this book explores the nature and application of these increasingly complex tests.
Download or read book On Estimation and testing in the generalized multivariate linear model written by Jackie Dale Tubbs and published by . This book was released on 1974 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Modelling of Long Memory Processes With Common Components written by Claudio Morana and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A new approach to the modelling of common components in long memory processes is introduced. The approach is based on a two-step procedure relying on Fourier transform methods (first step) and principal components analysis (second step). Differently from other available methods, it allows the modelling of large data sets, both in terms of temporal and cross-sectional dimensions. Monte Carlo evidence, supporting the two-step estimation procedure, is also provided, as well as an empirical application to real data.
Download or read book Multivariate analysis of long memory series in the frequency domain written by Ignacio Norberto Lobato Garcia and published by . This book was released on 1995 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimation and Hypothesis Testing for Generalized Multivariate Linear Models written by David G. Kleinbaum and published by . This book was released on 1970 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimation and Hypothesis Testing for Generalizaed Multivariate Linear Models written by David G. Kleinbaum and published by . This book was released on 1970 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Multivariate Preconditioned Conjugate Gradient Approach for Maximum Likelihood Estimation in Vector Long Memory Processes written by Jeffrey S. Pai and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Index to Theses with Abstracts Accepted for Higher Degrees by the Universities of Great Britain and Ireland and the Council for National Academic Awards written by and published by . This book was released on 1997 with total page 992 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theses on any subject submitted by the academic libraries in the UK and Ireland.
Download or read book Modern Multivariate Statistical Techniques written by Alan J. Izenman and published by Springer Science & Business Media. This book was released on 2009-03-02 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book on multivariate analysis to look at large data sets which describes the state of the art in analyzing such data. Material such as database management systems is included that has never appeared in statistics books before.
Download or read book Journal of the American Statistical Association written by and published by . This book was released on 2006 with total page 1800 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Current Index to Statistics Applications Methods and Theory written by and published by . This book was released on 1999 with total page 948 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.
Download or read book Long Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Download or read book Mathematical Reviews written by and published by . This book was released on 2004 with total page 1524 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Index Medicus written by and published by . This book was released on 2003 with total page 2214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vols. for 1963- include as pt. 2 of the Jan. issue: Medical subject headings.
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1978 with total page 730 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cluster Analysis written by Brian S. Everitt and published by . This book was released on 1977 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
