Diagnostic methods in time series / Fumiya Akashi, Masanobu Taniguchi, Anna Clara Monti, Tomoyuki Amano.

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Diagnostic methods in time series / Fumiya Akashi, Masanobu Taniguchi, Anna Clara Monti, Tomoyuki Amano.

9789811622649 (electronic book)
9811622647 (electronic book)
9789811622632 (paperback)
9811622639 (paperback)

Singapore : Springer, [2021]

©2021

English

1 online resource (x, 108 pages) : illustrations (some color).

10.1007/978-981-16-2264-9 doi

QA280 .A43 2021

519.5/5

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.-- Provided by publisher.

Includes bibliographical references and index.

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Fumiya Akashi is an Assistant Professor in the Faculty of Economics at the University of Tokyo. Masanobu Taniguchi is a Professor in the Research Institute for Science and Engineering at Waseda University. Anna Clara Monti is a Professor in the Department of Law, Economics, Management and Quantitative Methods at University of Sannio. Tomoyuki Amano is an Associate Professor in Division of General Education at The University of Electro-Communications.

Description based on print version record.

SpringerBriefs in statistics. JSS research series in statistics.

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