Sinossi
Serial independence forms the basis for classical economic and financial theories. The author contributed score tests for serial independence against alternative copula structures, leaving the marginals unspecified. Thus the score tests, which are not only invariant but also powerful against fixed alternatives under mis-specified marginals, even with the case of weak dependence, will be favorable in that the chance to commit Type I error is smaller comparing to the traditional tests. The test's performances were numerically examined with the effects of mis-specification on both the marginals and the copula by simulation. Finally, an application of testing serial independence in log-returns of stock indices was presented. The book is written for theoretical econometricians and statisticians who has a background of dependence theory, hypothesis testing and time series analysis.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Informazioni sull'autore
Drs. Zhaopeng Xing is Ph.D. candidate at the Tinbergen Institute and research fellow at CEMAC, National Bureau of Statistics of China. He received a Master's degree from CCER of Peking University in 2005. He fulfills duties of anonymous reviewer for several A-ranking journals. His research interests are Time Series Econometrics and Business cycle.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
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Essay on Testing Serial Independence
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LAP LAMBERT Academic Publishing Aug 2010, 2010
ISBN 10: 3838363957
ISBN 13: 9783838363950
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Serial independence forms the basis for classical economic and financial theories. The author contributed score tests for serial independence against alternative copula structures, leaving the marginals unspecified. Thus the score tests, which are not only invariant but also powerful against fixed alternatives under mis-specified marginals, even with the case of weak dependence, will be favorable in that the chance to commit Type I error is smaller comparing to the traditional tests. The test's performances were numerically examined with the effects of mis-specification on both the marginals and the copula by simulation. Finally, an application of testing serial independence in log-returns of stock indices was presented. The book is written for theoretical econometricians and statisticians who has a background of dependence theory, hypothesis testing and time series analysis. 100 pp. Englisch. Codice articolo 9783838363950
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ISBN 10: 3838363957
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Condizione: New. Print on Demand pp. 100 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam. Codice articolo 131711307
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Essay on Testing Serial Independence
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Xing ZhaopengDrs. Zhaopeng Xing is Ph.D. candidate at the Tinbergen Institute and research fellow at CEMAC, National Bureau of Statistics of China. He received a Master s degree from CCER of Peking University in 2005. He fulfills du. Codice articolo 5416736
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Essay on Testing Serial Independence
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VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2010
ISBN 10: 3838363957
ISBN 13: 9783838363950
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Essay on Testing Serial Independence
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Serial independence forms the basis for classical economic and financial theories. The author contributed score tests for serial independence against alternative copula structures, leaving the marginals unspecified. Thus the score tests, which are not only invariant but also powerful against fixed alternatives under mis-specified marginals, even with the case of weak dependence, will be favorable in that the chance to commit Type I error is smaller comparing to the traditional tests. The test''s performances were numerically examined with the effects of mis-specification on both the marginals and the copula by simulation. Finally, an application of testing serial independence in log-returns of stock indices was presented. The book is written for theoretical econometricians and statisticians who has a background of dependence theory, hypothesis testing and time series analysis.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 100 pp. Englisch. Codice articolo 9783838363950
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Essay on Testing Serial Independence : with the Copula Scores
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LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838363957
ISBN 13: 9783838363950
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Serial independence forms the basis for classical economic and financial theories. The author contributed score tests for serial independence against alternative copula structures, leaving the marginals unspecified. Thus the score tests, which are not only invariant but also powerful against fixed alternatives under mis-specified marginals, even with the case of weak dependence, will be favorable in that the chance to commit Type I error is smaller comparing to the traditional tests. The test's performances were numerically examined with the effects of mis-specification on both the marginals and the copula by simulation. Finally, an application of testing serial independence in log-returns of stock indices was presented. The book is written for theoretical econometricians and statisticians who has a background of dependence theory, hypothesis testing and time series analysis. Codice articolo 9783838363950
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Essay on Testing Serial Independence | with the Copula Scores
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ISBN 13: 9783838363950
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Taschenbuch. Condizione: Neu. Essay on Testing Serial Independence | with the Copula Scores | Zhaopeng Xing | Taschenbuch | 100 S. | Englisch | 2010 | LAP LAMBERT Academic Publishing | EAN 9783838363950 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Codice articolo 107421978
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