Mathematical Statistics: Time Series Analysis - Softcover

Dimy Anguima Ibondzi, Herve; Kulik, Rafal

Softcover

ISBN 10: 3659543802 ISBN 13: 9783659543807

Verlag: LAP LAMBERT Academic Publishing, 2014

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

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

Details zur Ausgabe

• Verlag: LAP LAMBERT Academic Publishing
• Erscheinungsdatum: 2014
• Sprache: Englisch
• ISBN 10: 3659543802
• ISBN 13: 9783659543807
• Einband: Taschenbuch
• Anzahl der Seiten: 60
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Noor Publishing; customerservice@vdm-vsg.de; ; Brivibas gatve 197; Riga; 1039; Lettland