ISBN: 9783843357814 - robust multivariate and nonlinear time series models: application of robust estimators for the vector autoregressive and bilinear time series models (5 risultati)

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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Time series modeling and analysis is central to most financial and econometric data modeling. With increased globalization in trade, commerce and finance, national variables like gross domestic productivity (GDP) and unemployment rate, market variables like indices and stock prices and global variables like commodity prices are more tightly coupled than ever before. This translates to the use of multivariate or vector time series models and algorithms in analyzing and understanding the relationships that these variables share with each other. While robustness and time series modeling have been vastly researched individually in the past, application of robust methods to estimate time series models is still quite open. The central goal of this thesis is the study of the S-estimator, a robust estimator, applied to some simple vector and nonlinear time series models. In each case, we will look at the important aspect of stationarity of the model and analyze the asymptotic behavior of the S-estimator. 156 pp. Englisch.…

Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Time series modeling and analysis is central to most financial and econometric data modeling. With increased globalization in trade, commerce and finance, national variables like gross domestic productivity (GDP) and unemployment rate, market variables like indices and stock prices and global variables like commodity prices are more tightly coupled than ever before. This translates to the use of multivariate or vector time series models and algorithms in analyzing and understanding the relationships that these variables share with each other. While robustness and time series modeling have been vastly researched individually in the past, application of robust methods to estimate time series models is still quite open. The central goal of this thesis is the study of the S-estimator, a robust estimator, applied to some simple vector and nonlinear time series models. In each case, we will look at the important aspect of stationarity of the model and analyze the asymptotic behavior of the S-estimator.…

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Ramakrishnan RaviDr. Ravi Ramakrishnan completed his Ph.D in Mathematics from the Swiss Federal Institute of Technology, Lausanne (EPFL), Switzerland. Presently, he works with Banque Cantonale Vaudoise (BCV), Lausanne, Switzerland, a.…

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Time series modeling and analysis is central to most financial and econometric data modeling. With increased globalization in trade, commerce and finance, national variables like gross domestic productivity (GDP) and unemployment rate, market variables like indices and stock prices and global variables like commodity prices are more tightly coupled than ever before. This translates to the use of multivariate or vector time series models and algorithms in analyzing and understanding the relationships that these variables share with each other. While robustness and time series modeling have been vastly researched individually in the past, application of robust methods to estimate time series models is still quite open. The central goal of this thesis is the study of the S-estimator, a robust estimator, applied to some simple vector and nonlinear time series models. In each case, we will look at the important aspect of stationarity of the model and analyze the asymptotic behavior of the S-estimator.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 156 pp. Englisch.…