Minimum Distance Estimation on Time Series Analysis With Little Data - Couverture souple

Tekin, Hakan

 
9781288327713: Minimum Distance Estimation on Time Series Analysis With Little Data
Couverture souple
ISBN 10 : 1288327714 ISBN 13 : 9781288327713
Editeur : BiblioBazaar, LLC, 2012

Synopsis

Minimum distance estimate is a statistical parameter estimate technique that selects model parameters that minimize a good-of-fit statistic. Minimum distance estimation has been demonstrated better standard approaches, including maximum likelihood estimators and least squares, in estimating statistical distribution parameters with very small data sets. This research applies minimum distance estimation to the task of making time series predictions with very few historical observations. In a Monte Carlo analysis, we test a variety of distance measures and report the results based on many different criteria. Our analysis tests the robustness of the approach by testing its ability to make predictions when the fitted time-series model does not match the data generation model. Our analysis indicates benefits in applying minimum distance estimation when making time series prediction based on less than 30 observations.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
BiblioBazaar, LLC
Date d'édition
2012
Langue
anglais
ISBN 10 
1288327714
ISBN 13 
9781288327713
Reliure
Broché
Nombre de pages
102
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

Friedensallee 273
Hamburg
22763
Allemagne