Essay on Testing Serial Independence
Language: English
Published by LAP LAMBERT Academic Publishing Aug 2010, 2010
- Softcover
- New
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
AbeBooks seller since January 11, 2012
Condition: New
£ 42.64
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Add to basketItem description from seller
This item is printed on demand - it takes 3-4 days longer - Neuware -Serial independence forms the basis for classical economic and financial theories. The author contributed score tests for serial independence against alternative copula structures, leaving the marginals unspecified. Thus the score tests, which are not only invariant but also powerful against fixed alternatives under mis-specified marginals, even with the case of weak dependence, will be favorable in that the chance to commit Type I error is smaller comparing to the traditional tests. The test's performances were numerically examined with the effects of mis-specification on both the marginals and the copula by simulation. Finally, an application of testing serial independence in log-returns of stock indices was presented. The book is written for theoretical econometricians and statisticians who has a background of dependence theory, hypothesis testing and time series analysis. 100 pp. Englisch.
Seller Inventory # 9783838363950
- Title
- Essay on Testing Serial Independence
- Author
- Zhaopeng Xing
- Publisher
- LAP LAMBERT Academic Publishing Aug 2010
- Publication year
- 2010
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3838363957
- ISBN 13
- 9783838363950
- Item weight
- 167 grams
- Dimensions
- 220x150x6 mm
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About the Author
"About the title" may belong to another edition of this title.
BuchWeltWeit Ludwig Meier e.K.
Bergisch Gladbach, Germany
AbeBooks seller since January 11, 2012
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