Download or read book Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes written by K. Shimotsu and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Long Range Dependence and Self Similarity written by Vladas Pipiras and published by Cambridge University Press. This book was released on 2017-04-18 with total page 693 pages. Available in PDF, EPUB and Kindle. Book excerpt: A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.

Download or read book Nonparametric Statistics written by Patrice Bertail and published by Springer. This book was released on 2019-03-08 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents the latest advances and trends in nonparametric statistics, and gathers selected and peer-reviewed contributions from the 3rd Conference of the International Society for Nonparametric Statistics (ISNPS), held in Avignon, France on June 11-16, 2016. It covers a broad range of nonparametric statistical methods, from density estimation, survey sampling, resampling methods, kernel methods and extreme values, to statistical learning and classification, both in the standard i.i.d. case and for dependent data, including big data. The International Society for Nonparametric Statistics is uniquely global, and its international conferences are intended to foster the exchange of ideas and the latest advances among researchers from around the world, in cooperation with established statistical societies such as the Institute of Mathematical Statistics, the Bernoulli Society and the International Statistical Institute. The 3rd ISNPS conference in Avignon attracted more than 400 researchers from around the globe, and contributed to the further development and dissemination of nonparametric statistics knowledge.

Download or read book Semiparametric Estimation with Clustered Right Censored Data Via Multivariate Gaussian Random Fields written by Fathima Zahra Sainul Abdeen and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Consider a fixed number of clustered areas identified by their geographical coordinate that are monitored for the occurrences of an event such as pandemic, epidemic, migration to name a few. Data collected on units at all areas include time varying covariates and other environmental factors that may affect event occurrences. The event times in every area can be independent. They can also be correlated with correlation between two units induced by an unobservable frailty. In both cases, the collected data is considered pairwise to account for spatial correlation between all pair of areas. The pairwise right censored data is probit-transformed yielding a multivariate Gaussian random field preserving the spatial correlation function. The data is analyzed using counting process and geostatistical formulation that led to a class of weighted pairwise semiparametric estimating functions. In the independence case, estimators of models unknowns are shown to be consistent and asymptotically normally distributed under infill-type spatial statistics asymptotic. Detailed small sample numerical studies that are in agreement with the theoretical results are provided in the independence case. In the dependence case, the estimators are shown to be inefficiency when the dependence is ignored. The foregoing procedures are applied to Leukemia survival data in Northeast England"--Abstract, page iv.

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 Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Download or read book Semiparametric Estimation of Multivariate Fractional written by Willa W. Chen and published by . This book was released on 2009 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the semiparametric estimation of fractional cointegration ina multivariate process of cointegrating rank r amp;gt; 0. We estimate thecointegrating relationships by the eigenvectors corresponding to the rsmallest eigenvalues of an averaged periodogram matrix of tapered,differenced observations. The number of frequencies m used in theperiodogram average is held fixed as the sample size grows. We firstshow that the averaged periodogram matrix converges in distribution to asingular matrix whose null eigenvectors span the space of cointegratingvectors. We then show that the angle between the estimated cointegratingvectors and the space of true cointegrating vectors is Op(nduamp;ocirc;d)where d and du are the memory parameters of the observations andcointegrating errors, respectively. The proposed estimator is invariantto the labeling of the component series, and therefore does not requireone of the variables to be specified as a dependent variable. Wedetermine the rate of convergence of the r smallest eigenvalues of theperiodogram matrix, and present a criterion which allows for consistentestimation of r. Finally, we apply our methodology to the analysis offractional cointegration in interest rates.

Download or read book Palgrave Handbook of Econometrics written by Terence C. Mills and published by Springer. This book was released on 2009-06-25 with total page 1406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.

Download or read book Selected Proceedings of the Symposium on Inference for Stochastic Processes written by Ishwar V. Basawa and published by IMS. This book was released on 2001 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Multivariate Analysis III written by Paruchuri R. Krishnaiah and published by . This book was released on 1973 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time series and stochastic processes; Distribution theory and inference; Characteristic functions and characterizations; Design and analysis of experiments; Classification, modelling, and reliability.

Download or read book Unit Roots and Structural Breaks written by Pierre Perron and published by MDPI. This book was released on 2018-04-13 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics

Download or read book Journal of Econometrics written by and published by . This book was released on 2002 with total page 814 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Gaussian Semiparametric Estimation of Non stationary Time Series written by Carlos Velasco and published by . This book was released on 1998 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Time Series Analysis with Long Memory in View written by Uwe Hassler and published by John Wiley & Sons. This book was released on 2018-09-07 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a simple exposition of the basic time series material, and insights into underlying technical aspects and methods of proof Long memory time series are characterized by a strong dependence between distant events. This book introduces readers to the theory and foundations of univariate time series analysis with a focus on long memory and fractional integration, which are embedded into the general framework. It presents the general theory of time series, including some issues that are not treated in other books on time series, such as ergodicity, persistence versus memory, asymptotic properties of the periodogram, and Whittle estimation. Further chapters address the general functional central limit theory, parametric and semiparametric estimation of the long memory parameter, and locally optimal tests. Intuitive and easy to read, Time Series Analysis with Long Memory in View offers chapters that cover: Stationary Processes; Moving Averages and Linear Processes; Frequency Domain Analysis; Differencing and Integration; Fractionally Integrated Processes; Sample Means; Parametric Estimators; Semiparametric Estimators; and Testing. It also discusses further topics. This book: Offers beginning-of-chapter examples as well as end-of-chapter technical arguments and proofs Contains many new results on long memory processes which have not appeared in previous and existing textbooks Takes a basic mathematics (Calculus) approach to the topic of time series analysis with long memory Contains 25 illustrative figures as well as lists of notations and acronyms Time Series Analysis with Long Memory in View is an ideal text for first year PhD students, researchers, and practitioners in statistics, econometrics, and any application area that uses time series over a long period. It would also benefit researchers, undergraduates, and practitioners in those areas who require a rigorous introduction to time series analysis.

Download or read book Multivariate Analysis II written by Paruchuri R. Krishnaiah and published by . This book was released on 1969 with total page 728 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonparametric methods; Multivariate analysis of variance and related topics; Distribution theory; Characteristic functions and characterization problems; Time series and stochastic processes; Decision procedures; Econometrics, principal components, reliability, and applications.

Download or read book Time Series with Long Memory written by Peter M. Robinson and published by Advanced Texts in Econometrics. This book was released on 2003 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long memory time series are characterized by a strong dependence between distant events.

Download or read book Essays in Honor of Joon Y Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.