Empirical Likelihood and Quantile Methods for Time Series: Efficiency, Robustness, Optimality, and Prediction

by Yan Liu, Masanobu Taniguchi, Fumiya Akashi

This book integrates the fundamentals of asymptotic theory of statistical inference for time series under nonstandard settings, e.g., infinite variance processes, not only from the point of view of efficiency but also from that of robustness and optimality by minimizing prediction error. This is the first book to consider the generalized empirical likelihood applied to time series models in frequency domain and also the estimation motivated by minimizing...

• Format: Paperback
• Language: English
• ISBN: 9811001510
• ISBN13: 9789811001512
• Release Date: December 2018
• Publisher: Springer
• Length: 136 Pages
• Weight: 0.48 lbs.
• Dimensions: 0.3" x 6.1" x 9.2"