Diagnostic Methods in Time Series
暫譯: 時間序列中的診斷方法

Akashi, Fumiya, Taniguchi, Masanobu, Monti, Anna Clara

Diagnostic Methods in Time Series
  • 出版商: Springer
  • 出版日期: 2021-06-09
  • 售價: $2,990
  • 貴賓價: 9.5 折 $2,841
  • 語言: 英文
  • 頁數: 108
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 9811622639
  • ISBN-13: 9789811622632

    • 海外代購書籍(需單獨結帳)

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商品描述

This book contains new aspects of model diagnostics in time series analysis, including variable selection problems and higher-order asymptotics of tests. This is the first book to cover systematic approaches and widely applicable results for nonstandard models including infinite variance processes. The book begins by introducing a unified view of a portmanteau-type test based on a likelihood ratio test, useful to test general parametric hypotheses inherent in statistical models. The conditions for the limit distribution of portmanteau-type tests to be asymptotically pivotal are given under general settings, and very clear implications for the relationships between the parameter of interest and the nuisance parameter are elucidated in terms of Fisher-information matrices. A robust testing procedure against heavy-tailed time series models is also constructed in the context of variable selection problems. The setting is very reasonable in the context of financial data analysis and econometrics, and the result is applicable to causality tests of heavy-tailed time series models. In the last two sections, Bartlett-type adjustments for a class of test statistics are discussed when the parameter of interest is on the boundary of the parameter space. A nonlinear adjustment procedure is proposed for a broad range of test statistics including the likelihood ratio, Wald and score statistics.

商品描述(中文翻譯)

本書包含時間序列分析中模型診斷的新面向，包括變數選擇問題和檢驗的高階漸近性。這是第一本涵蓋系統性方法和廣泛適用結果的書籍，針對包括無限方差過程在內的非常規模型。本書首先介紹了一種基於似然比檢驗的統一觀點的綜合型檢驗，這對於檢驗統計模型中固有的一般參數假設非常有用。給出了綜合型檢驗的極限分佈條件，使其漸近上重要，並且通過Fisher信息矩陣清楚闡明了感興趣的參數與干擾參數之間的關係。在變數選擇問題的背景下，還構建了一種針對重尾時間序列模型的穩健檢驗程序。這一設定在金融數據分析和計量經濟學的背景下非常合理，且該結果適用於重尾時間序列模型的因果檢驗。在最後兩個部分中，討論了當感興趣的參數位於參數空間邊界時，對一類檢驗統計量的Bartlett型調整。對於包括似然比、Wald和得分統計量在內的廣泛檢驗統計量，提出了一種非線性調整程序。

作者簡介

Fumiya Akashi is an Assistant Professor in the Faculty of Economics at the University of Tokyo. His research interests include time series analysis, robust inference for infinite variance processes and empirical likelihood method for time series models.
Masanobu Taniguchi is a Professor in the Research Institute for Science and Engineering at Waseda University. His research interests include time series analysis, mathematical statistics, multivariate analysis, information geometry, signal processing, econometric theory and financial engineering. His main contributions in time series analysis are collected in his book "Asymptotic Theory of Statistical Inference for Time Series" (New York: Springer-Verlag, 2000). He received the Ogawa Prize (Japan) in 1989, the Econometric Theory Award (USA) in 2000, the Japan Statistical Society Prize in 2004, and Analysis Award in 2013 (Mathematical Society of Japan). He is a Fellow of the Institute of Mathematical Statistics (USA, 1987-).
Anna Clara Monti is a Professor in the Department of Law, Economics, Management and Quantitative Methods at University of Sannio. Her research interests concern Statistical Inference, Robustness, Ordinal Response Models and Time Series.
Tomoyuki Amano is an Associate Professor in Division of General Education at The University of Electro-Communications. He received the doctorate degrees in science from Waseda University, Japan and is now an associate professor in the Division of General Education at University of Electro-Communications, Japan. He is interested in research on financial time series and estimating function estimator for time series.

作者簡介(中文翻譯)

秋月文彌（Fumiya Akashi）是東京大學經濟學院的助理教授。他的研究興趣包括時間序列分析、無限方差過程的穩健推斷以及時間序列模型的經驗似然方法。

谷口正信（Masanobu Taniguchi）是早稻田大學科學與工程研究所的教授。他的研究興趣包括時間序列分析、數學統計、多變量分析、資訊幾何、信號處理、計量經濟學理論和金融工程。他在時間序列分析方面的主要貢獻收錄在他的著作《時間序列的統計推斷漸近理論》（Asymptotic Theory of Statistical Inference for Time Series，紐約：Springer-Verlag，2000年）中。他於1989年獲得小川獎（Ogawa Prize，日本）、2000年獲得計量經濟學理論獎（Econometric Theory Award，美國）、2004年獲得日本統計學會獎，以及2013年獲得分析獎（日本數學會）。他是美國數學統計學會的會士（Fellow，1987年至今）。

安娜·克拉拉·蒙蒂（Anna Clara Monti）是薩尼奧大學法律、經濟、管理與定量方法系的教授。她的研究興趣涉及統計推斷、穩健性、有序反應模型和時間序列。

天野智之（Tomoyuki Amano）是電氣通信大學通識教育部的副教授。他在日本早稻田大學獲得科學博士學位，目前是日本電氣通信大學通識教育部的副教授。他對金融時間序列的研究以及時間序列的估計函數估計器感興趣。

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