Items related to Mathematical Statistics: Time Series Analysis
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.
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About the Author
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
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Mathematical Statistics
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 -mixing property with geometric rates to conclude asymptotic normality of an estimator of the clustering probabilities. Theoretical results are illustrated by simulation studies. 60 pp. Englisch. Seller Inventory # 9783659543807
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Mathematical Statistics
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Dimy Anguima Ibondzi HerveM. 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 . Seller Inventory # 5163674
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Mathematical Statistics
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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 ¿¿mixing property with geometric rates to conclude asymptotic normality of an estimator of the clustering probabilities. Theoretical results are illustrated by simulation studies.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 60 pp. Englisch. Seller Inventory # 9783659543807
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Mathematical Statistics : Time Series Analysis
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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 -mixing property with geometric rates to conclude asymptotic normality of an estimator of the clustering probabilities. Theoretical results are illustrated by simulation studies. Seller Inventory # 9783659543807
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Mathematical Statistics | Time Series Analysis
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Taschenbuch. Condition: Neu. Mathematical Statistics | Time Series Analysis | Herve Dimy Anguima Ibondzi (u. a.) | Taschenbuch | 60 S. | Englisch | 2014 | LAP LAMBERT Academic Publishing | EAN 9783659543807 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Seller Inventory # 105240841