Articles liés à Mathematical Statistics: Time Series Analysis

Mathematical Statistics: Time Series Analysis - Couverture souple

Dimy Anguima Ibondzi, Herve; Kulik, Rafal

 
9783659543807: Mathematical Statistics: Time Series Analysis
Couverture souple
ISBN 10 : 3659543802 ISBN 13 : 9783659543807
Editeur : LAP LAMBERT Academic Publishing, 2014

Synopsis

Financial data have, among others, a particular feature: large values of such series cluster, we are concerned with estimation of clustering probabilities for univariate heavy tailed time series. We describe regular variation as a tool to model heavy tails. We summarize some results on the central limit theorem (CLT) and tightness of stochastic processes. These tools are needed to prove asymptotic normality of our estimator. We employ functional convergence of a bivariate tail empirical process,regular variation property and Lindeberg’s CLT and the α−mixing property with geometric rates to conclude asymptotic normality of an estimator of the clustering probabilities. Theoretical results are illustrated by simulation studies.

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

Présentation de l'éditeur

Financial data have, among others, a particular feature: large values of such series cluster, we are concerned with estimation of clustering probabilities for univariate heavy tailed time series. We describe regular variation as a tool to model heavy tails. We summarize some results on the central limit theorem (CLT) and tightness of stochastic processes. These tools are needed to prove asymptotic normality of our estimator. We employ functional convergence of a bivariate tail empirical process,regular variation property and Lindeberg’s CLT and the α−mixing property with geometric rates to conclude asymptotic normality of an estimator of the clustering probabilities. Theoretical results are illustrated by simulation studies.

Biographie de l'auteur

M. Sc. in Mathematics and Statistics, University of Ottawa, Canada (2013). Postgraduate Diploma in Statistics, African Institute for Mathematical Sciences, South Africa (2011). Honours B. Sc. in Mathematics and Statistics, University Marien Ngouabi, Congo Brazzaville (2009). Research Interests: Time Series Analysis

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2014
Langue
anglais
ISBN 10 
3659543802
ISBN 13 
9783659543807
Reliure
Broché
Nombre de pages
60
Coordonnées du fabricant
non disponible
Personne responsable
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