Time-varying first-order autoregressive processes with irregular innovations:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Braunschweig
2022
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | 129 Seiten Diagramme 30 cm |
Internformat
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| 245 | 1 | 0 | |a Time-varying first-order autoregressive processes with irregular innovations |c von Hanna Gruber |
| 264 | 1 | |a Braunschweig |c 2022 | |
| 300 | |a 129 Seiten |b Diagramme |c 30 cm | ||
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| 502 | |b Dissertation |c Technische Universität Carolo-Wilhelmina zu Braunschweig |d 2022 | ||
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Datensatz im Suchindex
| _version_ | 1804184964356374528 |
|---|---|
| adam_text | CONTENTS
1
INTRODUCTION
5
1.1
THE
MODEL
AND
OUR
APPROACH
..........................................................
5
1.2
POSSIBLE
FIELDS
OF
APPLICATION
..........................................................
6
1.3
LITERATURE
OVERVIEW
..........................................................................
7
1.4
NOTATION
............................................................................................
10
1.5
STRUCTURE
OF
THE
THESIS
.......................................................................
11
2
METHODOLOGY
AND
MAIN
RESULTS
13
2.1
MOTIVATIONAL
EXAMPLE
..........................................................................
13
2.2
ASSUMPTIONS
.........................................................................................
14
2.3
OUR
ESTIMATOR
.......................................................................................
16
2.4
MAIN
RESULTS
..........................................................................................
17
3
FIXED-BANDWIDTH
ESTIMATION
21
3.1
OUTLINE
FOR
THE
UPPER
BOUND
................................................................
21
3.1.1
MODEL
REFORMULATION
...............................................................
21
3.1.2
ERROR
DECOMPOSITION
AND
OTHER
PREREQUISITES
.......................
22
3.1.3
LEADBETTER
S
BLOCKING
ARGUMENT
............................................
25
3.1.4
DERIVING
THE
FIXED-BANDWIDTH
RESULTS
...................................
27
3.2
OUTLINE
FOR
THE
LOWER
BOUND
..............................................................
27
3.2.1
REDUCING
THE
TASK
....................................................................
28
3.2.2
ARGUMENTATION
FOR
TWO
HYPOTHESES
......................................
29
1
2
CONTENTS
3.2.3
CONCLUSION
.................................................................................
31
4
ADAPTIVE
BANDWIDTH
SELECTION
33
4.1
OVERVIEW
.................................................................................................
33
4.2
ESTIMATING
THE
EXTREME
VALUE
INDEX
..................................................
34
4.2.1
A
NEGATIVE
HILL
ESTIMATOR
FOR
OUR
CAUSE
.................................
34
4.2.2
PRE-ESTIMATION
OF
THE
INNOVATIONS
.........................................
36
4.2.3
CONCENTRATION
INEQUALITY
FOR
OUR
NEGATIVE
HILL
ESTIMATOR
.
38
4.3
LEPSKI
S
METHOD
....................................................................................
41
4.3.1
OVERVIEW
..................................................................................
41
4.3.2
CHOOSING
THE
CRITICAL
VALUES
...................................................
42
4.3.3
BOUNDING
THE
ERROR
..................................................................
43
4.4
UPPER
BOUND
FOR
POINTWISE
ADAPTATION
............................................
47
5
SIMULATIONS
AND
REAL
DATA
ANALYSIS
49
5.1
PIECEWISE
LINEAR
EXAMPLE
...................................................................
51
5.2
CONTINUOUS
EXAMPLE
.........................................................................
53
5.3
REAL
DATA
............................................................................................
54
6
PROOFS
OF
THE
MAIN
RESULTS
57
6.1
METHODOLOGY
AND
MAIN
RESULTS
..........................................................
57
6.2
FIXED-BANDWIDTH
ESTIMATION
.............................................................
60
6.2.1
PROOFS
FOR
THE
UPPER
BOUND
..................................................
60
6.2.2
PROOFS
FOR
THE
LOWER
BOUND
.....................................................
68
6.3
ADAPTIVE
BANDWIDTH
SELECTION
..........................................................
72
6.3.1
ESTIMATING
THE
EXTREME
VALUE
INDEX
.......................................
72
6.3.2
LEPSKI
S
METHOD
.......................................................................
84
6.3.3
UPPER
BOUND
FOR
POINTWISE
ADAPTATION
...............................
85
7
PROOFS
OF
AUXILIARY
RESULTS
91
7.1
METHODOLOGY
AND
MAIN
RESULTS
..........................................................
91
CONTENTS
3
7.2
FIXED-BANDWIDTH
ESTIMATION
.............................................................
91
7.2.1
PROOFS
FOR
THE
UPPER
BOUND
................................................
91
7.2.2
PROOFS
FOR
THE
LOWER
BOUND
....................................................
96
7.3
ADAPTIVE
BANDWIDTH
SELECTION
..........................................................
98
7.3.1
ESTIMATING
THE
EXTREME
VALUE
INDEX
.......................................
98
A
SIMULATION
DATA
113
A.1
1500M
OUTDOOR
MEN
S
SEASON
S
BESTS
................................................
113
DANKSAGUNG
117
BIBLIOGRAPHY
119
LIST
OF
PROOFS
127
NOTATION
AND
ABBREVIATIONS
129
|
| adam_txt |
CONTENTS
1
INTRODUCTION
5
1.1
THE
MODEL
AND
OUR
APPROACH
.
5
1.2
POSSIBLE
FIELDS
OF
APPLICATION
.
6
1.3
LITERATURE
OVERVIEW
.
7
1.4
NOTATION
.
10
1.5
STRUCTURE
OF
THE
THESIS
.
11
2
METHODOLOGY
AND
MAIN
RESULTS
13
2.1
MOTIVATIONAL
EXAMPLE
.
13
2.2
ASSUMPTIONS
.
14
2.3
OUR
ESTIMATOR
.
16
2.4
MAIN
RESULTS
.
17
3
FIXED-BANDWIDTH
ESTIMATION
21
3.1
OUTLINE
FOR
THE
UPPER
BOUND
.
21
3.1.1
MODEL
REFORMULATION
.
21
3.1.2
ERROR
DECOMPOSITION
AND
OTHER
PREREQUISITES
.
22
3.1.3
LEADBETTER
'
S
BLOCKING
ARGUMENT
.
25
3.1.4
DERIVING
THE
FIXED-BANDWIDTH
RESULTS
.
27
3.2
OUTLINE
FOR
THE
LOWER
BOUND
.
27
3.2.1
REDUCING
THE
TASK
.
28
3.2.2
ARGUMENTATION
FOR
TWO
HYPOTHESES
.
29
1
2
CONTENTS
3.2.3
CONCLUSION
.
31
4
ADAPTIVE
BANDWIDTH
SELECTION
33
4.1
OVERVIEW
.
33
4.2
ESTIMATING
THE
EXTREME
VALUE
INDEX
.
34
4.2.1
A
NEGATIVE
HILL
ESTIMATOR
FOR
OUR
CAUSE
.
34
4.2.2
PRE-ESTIMATION
OF
THE
INNOVATIONS
.
36
4.2.3
CONCENTRATION
INEQUALITY
FOR
OUR
NEGATIVE
HILL
ESTIMATOR
.
38
4.3
LEPSKI
'
S
METHOD
.
41
4.3.1
OVERVIEW
.
41
4.3.2
CHOOSING
THE
CRITICAL
VALUES
.
42
4.3.3
BOUNDING
THE
ERROR
.
43
4.4
UPPER
BOUND
FOR
POINTWISE
ADAPTATION
.
47
5
SIMULATIONS
AND
REAL
DATA
ANALYSIS
49
5.1
PIECEWISE
LINEAR
EXAMPLE
.
51
5.2
CONTINUOUS
EXAMPLE
.
53
5.3
REAL
DATA
.
54
6
PROOFS
OF
THE
MAIN
RESULTS
57
6.1
METHODOLOGY
AND
MAIN
RESULTS
.
57
6.2
FIXED-BANDWIDTH
ESTIMATION
.
60
6.2.1
PROOFS
FOR
THE
UPPER
BOUND
.
60
6.2.2
PROOFS
FOR
THE
LOWER
BOUND
.
68
6.3
ADAPTIVE
BANDWIDTH
SELECTION
.
72
6.3.1
ESTIMATING
THE
EXTREME
VALUE
INDEX
.
72
6.3.2
LEPSKI
'
S
METHOD
.
84
6.3.3
UPPER
BOUND
FOR
POINTWISE
ADAPTATION
.
85
7
PROOFS
OF
AUXILIARY
RESULTS
91
7.1
METHODOLOGY
AND
MAIN
RESULTS
.
91
CONTENTS
3
7.2
FIXED-BANDWIDTH
ESTIMATION
.
91
7.2.1
PROOFS
FOR
THE
UPPER
BOUND
.
91
7.2.2
PROOFS
FOR
THE
LOWER
BOUND
.
96
7.3
ADAPTIVE
BANDWIDTH
SELECTION
.
98
7.3.1
ESTIMATING
THE
EXTREME
VALUE
INDEX
.
98
A
SIMULATION
DATA
113
A.1
1500M
OUTDOOR
MEN
'
S
SEASON
'
S
BESTS
.
113
DANKSAGUNG
117
BIBLIOGRAPHY
119
LIST
OF
PROOFS
127
NOTATION
AND
ABBREVIATIONS
129 |
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| author | Gruber, Hanna 1987- |
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| bvnumber | BV048847513 |
| ctrlnum | (OCoLC)1343642202 (DE-599)KXP1815789298 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:39:24Z |
| indexdate | 2024-07-10T09:47:42Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-034112840 |
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| owner_facet | DE-83 DE-355 DE-BY-UBR |
| physical | 129 Seiten Diagramme 30 cm |
| publishDate | 2022 |
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| spelling | Gruber, Hanna 1987- Verfasser (DE-588)1280320036 aut Time-varying first-order autoregressive processes with irregular innovations von Hanna Gruber Braunschweig 2022 129 Seiten Diagramme 30 cm txt rdacontent n rdamedia nc rdacarrier Dissertation Technische Universität Carolo-Wilhelmina zu Braunschweig 2022 Zusammenfassung in deutscher und englischer Sprache (DE-588)4113937-9 Hochschulschrift gnd-content B:DE-101 application/pdf https://d-nb.info/1279763213/04 Inhaltsverzeichnis DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034112840&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p emasg 0,58418 20230208 DE-101 https://d-nb.info/provenance/plan#emasg |
| spellingShingle | Gruber, Hanna 1987- Time-varying first-order autoregressive processes with irregular innovations |
| subject_GND | (DE-588)4113937-9 |
| title | Time-varying first-order autoregressive processes with irregular innovations |
| title_auth | Time-varying first-order autoregressive processes with irregular innovations |
| title_exact_search | Time-varying first-order autoregressive processes with irregular innovations |
| title_exact_search_txtP | Time-varying first-order autoregressive processes with irregular innovations |
| title_full | Time-varying first-order autoregressive processes with irregular innovations von Hanna Gruber |
| title_fullStr | Time-varying first-order autoregressive processes with irregular innovations von Hanna Gruber |
| title_full_unstemmed | Time-varying first-order autoregressive processes with irregular innovations von Hanna Gruber |
| title_short | Time-varying first-order autoregressive processes with irregular innovations |
| title_sort | time varying first order autoregressive processes with irregular innovations |
| topic_facet | Hochschulschrift |
| url | https://d-nb.info/1279763213/04 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034112840&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT gruberhanna timevaryingfirstorderautoregressiveprocesseswithirregularinnovations |
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