Forecasting economic time series using locally stationary processes: a new approach with applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main [u.a.]
Lang
2012
|
| Schriftenreihe: | Volkswirtschaftliche Analysen
19 |
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | 138 S. graph. Darst. |
| ISBN: | 9783631621875 3631621876 |
Internformat
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Datensatz im Suchindex
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IMAGE 1
CONTENTS
1 INTRODUCTION 11
2 FROM STATIONARITY T O LOCAL STATIONARITY 19
2.1 STATIONARY STOCHASTIC PROCESSES 19
2.1.1 A SHORT INTRODUCTION TO STATIONARITY 19
2.1.2 SPECTRAL REPRESENTATION OF STATIONARY PROCESSES 22 2.1.3
STATIONARY ARM A PROCESSES 25
2.1.4 ASYMPTOTICAL PROPERTIES OF THE SAMPLE PARTIAL AUTOCORRELATIONS OF
A STATIONARY AR(P) PROCESS 29 2.2 LOCALLY STATIONARY PROCESSES 35
2.2.1 EVOLUTIONARY SPECTRUM 35
2.2.2 DEFINITION OF LOCAL STATIONARITY 36
2.2.3 LOCAL COVARIANCE ESTIMATION 40
2.2.4 LOCAL PARTIAL AUTOCORRELATION 41
2.2.5 TVAR 42
3 E S T I M A T I O N 45
3.1 MAXIMUM LIKELIHOOD ESTIMATION WITH THE KULLBACK- LEIBLER INFORMATION
DIVERGENCE 45
3.2 SIEVE ESTIMATION 50
4 FORECASTING 59
4.1 PREDICTION IN THE CASE OF STATIONARITY 59
4.2 APPROACHES T O FORECAST TIME SERIES USING TVAR PROCESSES . 61 4.3
ITERATIVE STAGES IN THE SELECTION OF A MODEL 65
HTTP://D-NB.INFO/1019449071
IMAGE 2
8 CONTENTS
4.4 SIMULATIONS 67
4.4.1 COURSE OF ACTION 67
4.4.2 RESULTS 71
5 APPLICATION 79
5.1 MOTIVATION 79
5.2 FUTURES D A T A 80
5.2.1 COURSE OF ACTION 81
5.2.2 PRACTICAL EVALUATION OF TVAR PROCESSES ON FUTURES SERIES 84
5.3 DOW JONES INDEX D A T A 89
6 CONCLUSION 91
6.1 CONTRIBUTIONS 91
6.2 POSSIBLE DIRECTIONS FOR FUTURE RESEARCH 92
REFERENCES 95
N O T A T I O N S A N D ABBREVIATIONS 101
LIST O F TABLES 105
LIST O F FIGURES 107
A P P E N D I X I L L
G A U S S SOURCE C O D E I . . 117
B.L FITTING TIME-VARYING AUTOREGRESSIVE MODELS T O NON- STATIONARY
PROCESSES 117
B . L . L M O D E L S E L E C T ( ) 117
B.L.2 M O D E L S E L E C T 3 ( ) 124
B.L.3 I N F O D I V O 124
B.L.4 P E N O 126
B.L.5 C O U N T ( ) 126
B.L.6 COUNT_UNEQ_ZERO() 126
B.2 PROCEDURES FOR COMPUTING THE COEFFICIENT FUNCTIONS 127 B.2.1 COEF F
_ T H E T A ( ) 127
B.2.2 COEF () 127
B.2.3 C O E F _ L E G ( ) 127
IMAGE 3
CONTENTS 9
B.2.4 TVARO 128
B.2.5 A C O E F O 129
B.3 PROCEDURES FOR COMPUTING DIFFERENT MEASURES OF FORECAST ACCURACY 129
B.3.1 MEAN ERROR 129
B.3.2 MEAN ABSOLUTE DEVIATION 129
B.3.3 MEAN SQUARE ERROR 130
B.4 PROCEDURES SIMULATING AND APPLYING THE MODEL SELECTION PROCEDURE AND
PREDICTIONS FOR TVAR PROCESSES 130
B.4.1 SIMULTVARO 130
B.4.2 P R A C T E V A L T V A R O 136 |
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| dewey-full | 330.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
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| dewey-search | 330.015195 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| series | Volkswirtschaftliche Analysen |
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| spelling | Loll, Tina Verfasser aut Forecasting economic time series using locally stationary processes a new approach with applications Tina Loll Frankfurt am Main [u.a.] Lang 2012 138 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Volkswirtschaftliche Analysen 19 Zugl.: Hamburg, Univ., Diss., 2011 Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Nichtparametrisches Modell (DE-588)4434654-2 gnd rswk-swf Regressionsmodell (DE-588)4127980-3 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Ökonometrisches Modell (DE-588)4043212-9 s Prognoseverfahren (DE-588)4358095-6 s Zeitreihenanalyse (DE-588)4067486-1 s Regressionsmodell (DE-588)4127980-3 s Nichtparametrisches Modell (DE-588)4434654-2 s DE-604 Volkswirtschaftliche Analysen 19 (DE-604)BV035420142 19 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3973084&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024778784&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Loll, Tina Forecasting economic time series using locally stationary processes a new approach with applications Volkswirtschaftliche Analysen Prognoseverfahren (DE-588)4358095-6 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Nichtparametrisches Modell (DE-588)4434654-2 gnd Regressionsmodell (DE-588)4127980-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
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| title | Forecasting economic time series using locally stationary processes a new approach with applications |
| title_auth | Forecasting economic time series using locally stationary processes a new approach with applications |
| title_exact_search | Forecasting economic time series using locally stationary processes a new approach with applications |
| title_full | Forecasting economic time series using locally stationary processes a new approach with applications Tina Loll |
| title_fullStr | Forecasting economic time series using locally stationary processes a new approach with applications Tina Loll |
| title_full_unstemmed | Forecasting economic time series using locally stationary processes a new approach with applications Tina Loll |
| title_short | Forecasting economic time series using locally stationary processes |
| title_sort | forecasting economic time series using locally stationary processes a new approach with applications |
| title_sub | a new approach with applications |
| topic | Prognoseverfahren (DE-588)4358095-6 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Nichtparametrisches Modell (DE-588)4434654-2 gnd Regressionsmodell (DE-588)4127980-3 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Prognoseverfahren Zeitreihenanalyse Nichtparametrisches Modell Regressionsmodell Ökonometrisches Modell Hochschulschrift |
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| volume_link | (DE-604)BV035420142 |
| work_keys_str_mv | AT lolltina forecastingeconomictimeseriesusinglocallystationaryprocessesanewapproachwithapplications |