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Produktbild: Time Series Analysis

Time Series Analysis Nonstationary and Noninvertible Distribution Theory

Aus der Reihe Wiley Series in Probability and Statistics

169,99 €

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

03.04.2017

Verlag

John Wiley & Sons

Seitenzahl

904

Maße (L/B/H)

24,1/15,9/5,5 cm

Gewicht

1397 g

Auflage

2nd edition

Sprache

Englisch

ISBN

978-1-119-13209-7

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

03.04.2017

Verlag

John Wiley & Sons

Seitenzahl

904

Maße (L/B/H)

24,1/15,9/5,5 cm

Gewicht

1397 g

Auflage

2nd edition

Sprache

Englisch

ISBN

978-1-119-13209-7

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: GPSR Kontakt

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  • Produktbild: Time Series Analysis
  • Preface to the Second Edition xi
     
    Preface to the First Edition xiii
     
    Part I Analysis of Non Fractional Time Series 1
     
    1 Models for Nonstationarity and Noninvertibility 3
     
    1.1 Statistics from the One-Dimensional Random Walk 3
     
    1.1.1 Eigenvalue Approach 4
     
    1.1.2 Stochastic Process Approach 11
     
    1.1.3 The Fredholm Approach 12
     
    1.1.4 An Overview of the Three Approaches 14
     
    1.2 A Test Statistic from a Noninvertible Moving Average Model 16
     
    1.3 The AR Unit Root Distribution 23
     
    1.4 Various Statistics from the Two-Dimensional Random Walk 29
     
    1.5 Statistics from the Cointegrated Process 41
     
    1.6 Panel Unit Root Tests 47
     
    2 Brownian Motion and Functional Central Limit Theorems 51
     
    2.1 The Space L2 of Stochastic Processes 51
     
    2.2 The Brownian Motion 55
     
    2.3 Mean Square Integration 58
     
    2.3.1 The Mean Square Riemann Integral 59
     
    2.3.2 The Mean Square Riemann-Stieltjes Integral 62
     
    2.3.3 The Mean Square Ito Integral 66
     
    2.4 The Ito Calculus 72
     
    2.5 Weak Convergence of Stochastic Processes 77
     
    2.6 The Functional Central Limit Theorem 81
     
    2.7 FCLT for Linear Processes 87
     
    2.8 FCLT for Martingale Differences 91
     
    2.9 Weak Convergence to the Integrated Brownian Motion 99
     
    2.10 Weak Convergence to the Ornstein-Uhlenbeck Process 103
     
    2.11 Weak Convergence of Vector-Valued Stochastic Processes 109
     
    2.11.1 Space Cq 109
     
    2.11.2 Basic FCLT for Vector Processes 110
     
    2.11.3 FCLT for Martingale Differences 112
     
    2.11.4 FCLT for the Vector-Valued Integrated Brownian Motion 115
     
    2.12 Weak Convergence to the Ito Integral 118
     
    3 The Stochastic Process Approach 127
     
    3.1 Girsanov's Theorem: O-U Processes 127
     
    3.2 Girsanov's Theorem: Integrated Brownian Motion 137
     
    3.3 Girsanov's Theorem: Vector-Valued Brownian Motion 142
     
    3.4 The Cameron-Martin Formula 145
     
    3.5 Advantages and Disadvantages of the Present Approach 147
     
    4 The Fredholm Approach 149
     
    4.1 Motivating Examples 149
     
    4.2 The Fredholm Theory: The Homogeneous Case 155
     
    4.3 The c.f. of the Quadratic Brownian Functional 161
     
    4.4 Various Fredholm Determinants 171
     
    4.5 The Fredholm Theory: The Nonhomogeneous Case 190
     
    4.5.1 Computation of the Resolvent - Case 1 192
     
    4.5.2 Computation of the Resolvent - Case 2 199
     
    4.6 Weak Convergence of Quadratic Forms 203
     
    5 Numerical Integration 213
     
    5.1 Introduction 213
     
    5.2 Numerical Integration: The Nonnegative Case 214
     
    5.3 Numerical Integration: The Oscillating Case 220
     
    5.4 Numerical Integration: The General Case 228
     
    5.5 Computation of Percent Points 236
     
    5.6 The Saddlepoint Approximation 240
     
    6 Estimation Problems in Nonstationary Autoregressive Models 245
     
    6.1 Nonstationary Autoregressive Models 245
     
    6.2 Convergence in Distribution of LSEs 250
     
    6.2.1 Model A 251
     
    6.2.2 Model B 253
     
    6.2.3 Model C 255
     
    6.2.4 Model D 257
     
    6.3 The c.f.s for the Limiting Distributions of LSEs 260
     
    6.3.1 The Fixed Initial Value Case 261
     
    6.3.2 The Stationary Case 265
     
    6.4 Tables and Figures of Limiting Distributions 267
     
    6.5 Approximations to the Distributions of the LSEs 276
     
    6.6 Nearly Nonstationary Seasonal AR Models 281
     
    6.7 Continuous Record Asymptotics 289
     
    6.8 Complex Roots on the Unit Circle 292
     
    6.9 Autoregressive Models with Multiple Unit Roo