Robust multivariate and nonlinear time series models: Application of robust estimators for the vector autoregressive and bilinear time series models - Couverture souple

Ramakrishnan, Ravi

 
9783843357814: Robust multivariate and nonlinear time series models: Application of robust estimators for the vector autoregressive and bilinear time series models
Couverture souple
ISBN 10 : 3843357811 ISBN 13 : 9783843357814
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

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.

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Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3843357811
ISBN 13 
9783843357814
Reliure
Broché
Nombre de pages
156
Coordonnées du fabricant
non disponible
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