Diagnostic tests based on quantile residuals for nonlinear time series models:
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Helsinki
2009
|
| Series: | Research reports / Helsingin Yliopisto, Kansantaloustieteen Laitos
118 Dissertationes oeconomicae |
| Subjects: | |
| Online Access: | Volltext Inhaltsverzeichnis |
| Item Description: | Online-Ausg. im Internet |
| Physical Description: | VIII, 165 S. graph. Darst. |
| ISBN: | 9789521053436 9789521053443 |
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Record in the Search Index
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| adam_text | RESEARCH REPORTS KANSANTALOUSTIETEEN LAITOKSEN TUTKIMUKSIA, NO. 118:2009
DISSERTATIONES OECONOMICAE LEENA KALLIOVIRTA DIAGNOSTIC TESTS BASED ON
QUANTILE RESIDUALS FOR NONLINEAR TIME SERIES MODELS ISBN:
978-952-10-5343-6 (NID.) ISBN: 978-952-10-5344-3 (PDF) ISSN: 0357-3257
CONTENTS ACKNOWLEDGEMENTS VN 1 INTRODUCTION 1 1.1 BACKGROUND AND
OVERVIEW 1 1.2 SUMMARIES OF THE CHAPTERS 5 1.2.1 CHAPTER 2:
MISSPECIFICATION TESTS BASED ON QUANTILE RESIDUALS 5 1.2.2 CHAPTER 3:
QUANTILE RESIDUALS FOR MULTIVARIATE MODELS 6 1.2.3 CHAPTER 4:
MISSPECIFICATION TESTS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION OF
QUANTILE RESIDUALS 8 BIBLIOGRAPHY 10 2 MISSPECIFICATION TESTS BASED ON
QUANTILE RESIDUALS 15 2.1 INTRODUCTION 15 2.2 QUANTILE RESIDUALS 18
2.2.1 MOTIVATION 18 2.2.2 DEFINITION AND THEORETICAL PROPERTIES 20 2.2.3
PRELIMINARIES ON MAXIMUM LIKELIHOOD ESTIMATION 22 2.2.4 CENTRAL LIMIT
THEOREM FOR TRANSFORMED QUANTILE RESIDUALS 24 2.3 TESTS BASED ON
QUANTILE RESIDUALS 28 2.3.1 NORMALITY TESTS 28 2.3.2 TEST FOR
AUTOCORRELATION 30 2.3.3 TEST FOR CONDITIONAL HETEROSCEDASTICITY 31 2.4
SIMULATION STUDY 32 III IV CONTENTS 2.4.1 MODELS 32 2.4.2 SIMULATIONS
BASED ON MIXTURE MODELS 33 2.4.3 COMPARISONS TO OTHER TESTS 39 2.5
EMPIRICAL EXAMPLE 43 2.6 CONCLUSION 48 APPENDIX 2.A PROOFS 50 APPENDIX
2.B DERIVATIVES V .- .*R 53 APPENDIX 2.C LM INTERPRETATIONS 54 2.C.1
NORMALITY TEST 55 2.C.2 AUTOCORRELATION TEST 56 2.C.3 HETEROSCEDASTICITY
TEST 57 2.C.4 UNIFORMLY DISTRIBUTED QUANTILE RESIDUALS 58 BIBLIOGRAPHY
59 3 QUANTILE RESIDUALS FOR MULTIVARIATE MODELS 65 3.1 INTRODUCTION 66
3.2 QUANTILE RESIDUALS 68 3.2.1 DEFINITION IN UNIVARIATE DATA 68 3.2.2
DEFINITION IN MULTIVARIATE DATA 69 3.2.3 THEORETICAL PROPERTIES 70 3.2.4
PRELIMINARIES ON MAXIMUM LIKELIHOOD ESTIMATION 72 3.2.5 CENTRAL LIMIT
THEOREM FOR TRANSFORMED QUANTILE RESIDUALS 74 3.3 TESTS BASED ON
QUANTILE RESIDUALS 78 3.3.1 NORMALITY TESTS , 78 3.3.2 TEST FOR
AUTOCORRELATION 80 3.3.3 TEST FOR CONDITIONAL HETEROSCEDASTICITY 82 3.4
EMPIRICAL EXAMPLE 84 3.4.1 THE MODEL 84 3.4.2 COMPARISON OF THE
ESTIMATED MODELS 86 3.5 SIMULATIONS 93 CONTENTS V 3.5.1 MODELS 94 3.5.2
SIZE AND POWER PROPERTIES 95 3.6 CONCLUSION 100 APPENDIX 3.A PROOFS 101
3.A.1 PROOF OF LEMMA 3.3 102 APPENDIX 3.B LM INTERPRETATIONS ( 110 3.B.1
NORMALITY TEST V .-.-R 110 3.B.2 AUTOCORRELATION TEST ILL 3.B.3
CONDITIONAL HETEROSCEDASTICITY TEST 112 APPENDIX 3.C MULTIVARIATE
QUANTILE RESIDUALS 114 BIBLIOGRAPHY 117 4 TESTS BASED ON THE EMPIRICAL
DISTRIBUTION FUNCTION 121 4.1 INTRODUCTION 122 4.2 QUANTILE RESIDUALS
123 4.2.1 DEFINITION 123 4.2.2 THEORETICAL PROPERTIES 125 4.3 THE
EMPIRICAL PROCESS OF QUANTILE RESIDUALS 126 4.3.1 KHMALADZE S MARTINGALE
TRANSFORMATION 126 4.3.2 COMPUTING THE TRANSFORMATION IN PRACTICE 128
4.4 TEST STATISTICS BASED ON THE EMPIRICAL PROCESS 130 4.4.1 PEARSON S
CLASSICAL TEST 130 4.4.2 GENERALIZATION OF PEARSON S TEST 131 4.4.3
ANDERSON-DARLING AND CRAMER-VON MISES TYPE TESTS 133 4.4.4 LOCAL POWER
ANALYSIS 135 4.5 CRITICAL BOUNDS 137 4.6 SIMULATIONS 141 4.7 USD
INTEREST RATE SERIES 146 4.8 CONCLUSION 152 APPENDIX 4.A 154 VI CONTENTS
4.A.I CRITICAL BOUNDS FOR P-P AND Q-Q PLOTS AND HISTOGRAMS 154 4. A.2
COMPUTATION OF KHMALADZE S MARTINGALE TRANSFORMATION 154 BIBLIOGRAPHY .
156
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| id | DE-604.BV036093759 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:11:25Z |
| institution | BVB |
| isbn | 9789521053436 9789521053443 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018984312 |
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| physical | VIII, 165 S. graph. Darst. |
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| publishDate | 2009 |
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| series2 | Research reports / Helsingin Yliopisto, Kansantaloustieteen Laitos Dissertationes oeconomicae |
| spelling | Kalliovirta, Leena Verfasser aut Diagnostic tests based on quantile residuals for nonlinear time series models Leena Kalliovirta Helsinki 2009 VIII, 165 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Research reports / Helsingin Yliopisto, Kansantaloustieteen Laitos 118 Dissertationes oeconomicae Online-Ausg. im Internet Helsinki, Univ., Diss., 2009 ARCH-Modell stw Autokorrelation stw Maximum-Likelihood-Methode stw Multivariate Analyse stw Nichtlineares Verfahren stw Regression stw Statistischer Test stw Theorie stw Zeitreihenanalyse stw (DE-588)4113937-9 Hochschulschrift gnd-content Helsingin Yliopisto, Kansantaloustieteen Laitos Research reports 118 (DE-604)BV012172978 118 https://oa.doria.fi/bitstream/handle/10024/47166/diagnost.pdf?sequence=1 Verlag kostenfrei Volltext GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018984312&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kalliovirta, Leena Diagnostic tests based on quantile residuals for nonlinear time series models ARCH-Modell stw Autokorrelation stw Maximum-Likelihood-Methode stw Multivariate Analyse stw Nichtlineares Verfahren stw Regression stw Statistischer Test stw Theorie stw Zeitreihenanalyse stw |
| subject_GND | (DE-588)4113937-9 |
| title | Diagnostic tests based on quantile residuals for nonlinear time series models |
| title_auth | Diagnostic tests based on quantile residuals for nonlinear time series models |
| title_exact_search | Diagnostic tests based on quantile residuals for nonlinear time series models |
| title_full | Diagnostic tests based on quantile residuals for nonlinear time series models Leena Kalliovirta |
| title_fullStr | Diagnostic tests based on quantile residuals for nonlinear time series models Leena Kalliovirta |
| title_full_unstemmed | Diagnostic tests based on quantile residuals for nonlinear time series models Leena Kalliovirta |
| title_short | Diagnostic tests based on quantile residuals for nonlinear time series models |
| title_sort | diagnostic tests based on quantile residuals for nonlinear time series models |
| topic | ARCH-Modell stw Autokorrelation stw Maximum-Likelihood-Methode stw Multivariate Analyse stw Nichtlineares Verfahren stw Regression stw Statistischer Test stw Theorie stw Zeitreihenanalyse stw |
| topic_facet | ARCH-Modell Autokorrelation Maximum-Likelihood-Methode Multivariate Analyse Nichtlineares Verfahren Regression Statistischer Test Theorie Zeitreihenanalyse Hochschulschrift |
| url | https://oa.doria.fi/bitstream/handle/10024/47166/diagnost.pdf?sequence=1 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018984312&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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| work_keys_str_mv | AT kalliovirtaleena diagnostictestsbasedonquantileresidualsfornonlineartimeseriesmodels |