Essays on nonlinearities in time series: regime switching, outlying observations, and changes in persistence
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| Main Author: | |
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| Format: | Thesis Electronic eBook |
| Language: | English |
| Published: |
Hannover
2017
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| Subjects: | |
| Online Access: | Volltext Volltext Inhaltsverzeichnis |
| Physical Description: | 1 Online-Ressource ((v, 62 Seiten, 894 KB) Diagramme |
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Record in the Search Index
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| adam_text | Titel: Essays on nonlinearities in time series
Autor: Rinke, Saskia
Jahr: 2017
Contents
1 Introduction ..........................................................................2
2 Information Criteria for Nonlinear Time Series Models....................6
3 The Influence of Additive Outliers on the Performance of Information
Criteria to Detect Nonlinear ity..................................................8
3.1 Introduction ....................................................................8
3.2 Additive Outliers in Linear and Nonlinear Time Series......................9
3.3 Discriminating Linear and Nonlinear Models ................................10
3.3.1 A Test against SETAR Nonlinear ity................................11
3.3.2 Information Criteria..................................................12
3.4 Simulation Study................................................................13
3.4.1 Size Properties........................................................13
3.4.2 Power Properties......................................................16
3.5 Conclusion ......................................................................23
4 Changes in Persistence in Outlier Contaminated Time Series............25
4.1 Introduction ....................................................................25
4.2 Modeling Outliers and Changes in Persistence................................26
4.3 Tests for a Change in Persistence..............................................27
4.3.1 The Kim Test ........................................................27
4.3.2 The Leybourne Test..................................................28
4.4 Outlier Detection and Removal Methods......................................29
4.5 Simulation Study................................................................33
4.5.1 Performance in Uncontaminated Series............................33
4.5.2 Performance in Contaminated Series................................35
4.5.3 Performance in Adjusted Series......................................41
4.6 Empirical Example..............................................................45
4.7 Conclusion......................................................................49
4.8 Supplementary Material........................................................50
A Limiting Distribution................................................50
B Power Plots............................................................54
Bibliography................................................................................58
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| author | Rinke, Saskia |
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| dewey-ones | 330 - Economics |
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| dewey-search | 330 |
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| discipline | Wirtschaftswissenschaften |
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| spelling | Rinke, Saskia Verfasser aut Essays on nonlinearities in time series regime switching, outlying observations, and changes in persistence von M.Sc. Saskia Rinke Hannover 2017 1 Online-Ressource ((v, 62 Seiten, 894 KB) Diagramme txt rdacontent c rdamedia cr rdacarrier Dissertation Hannover, Gottfried Wilhelm Leibniz Universität 2016 Nichtlineare Zeitreihe (DE-588)4304586-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Nichtlineare Zeitreihe (DE-588)4304586-8 s DE-604 Erscheint auch als Druckausgabe Rinke, Saskia Essays on nonlinearities in time series https://nbn-resolving.org/urn:nbn:de:gbv:089-8776315227 Resolving-System kostenfrei Volltext http://edok01.tib.uni-hannover.de/edoks/e01dh17/877631522.pdf PDF kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029744039&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Rinke, Saskia Essays on nonlinearities in time series regime switching, outlying observations, and changes in persistence Nichtlineare Zeitreihe (DE-588)4304586-8 gnd |
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| title | Essays on nonlinearities in time series regime switching, outlying observations, and changes in persistence |
| title_auth | Essays on nonlinearities in time series regime switching, outlying observations, and changes in persistence |
| title_exact_search | Essays on nonlinearities in time series regime switching, outlying observations, and changes in persistence |
| title_full | Essays on nonlinearities in time series regime switching, outlying observations, and changes in persistence von M.Sc. Saskia Rinke |
| title_fullStr | Essays on nonlinearities in time series regime switching, outlying observations, and changes in persistence von M.Sc. Saskia Rinke |
| title_full_unstemmed | Essays on nonlinearities in time series regime switching, outlying observations, and changes in persistence von M.Sc. Saskia Rinke |
| title_short | Essays on nonlinearities in time series |
| title_sort | essays on nonlinearities in time series regime switching outlying observations and changes in persistence |
| title_sub | regime switching, outlying observations, and changes in persistence |
| topic | Nichtlineare Zeitreihe (DE-588)4304586-8 gnd |
| topic_facet | Nichtlineare Zeitreihe Hochschulschrift |
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