Authors:
- Covers a broad range of techniques for model diagnostics of time series models under general settings
- Provides robust testing procedures including variable selection and causality without any moment conditions
- Develops higher-order asymptotics of tests when the parameter of interest is on the parameter space boundary
Part of the book series: SpringerBriefs in Statistics (BRIEFSSTATIST)
Part of the book sub series: JSS Research Series in Statistics (JSSRES)
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Table of contents (6 chapters)
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Front Matter
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Back Matter
About this book
Authors and Affiliations
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Faculty of Economics, University of Tokyo, Tokyo, Japan
Fumiya Akashi
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Research Institute for Science and Engineering, Waseda University, Tokyo, Japan
Masanobu Taniguchi
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Department of DEMM, University of Sannio, Benevento, Italy
Anna Clara Monti
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Division of General Education, University of Electro-Communications, Tokyo, Japan
Tomoyuki Amano
About the authors
Masanobu Taniguchi is a Professor in the Research Institute for Science and Engineering at Waseda University. His research interests include time series analysis, mathematical statistics, multivariate analysis, information geometry, signal processing, econometric theory and financial engineering. His main contributions in time series analysis are collected in his book “Asymptotic Theory of Statistical Inference for Time Series” (New York: Springer-Verlag, 2000). He received the Ogawa Prize (Japan) in 1989, the Econometric Theory Award (USA) in 2000, the Japan Statistical Society Prize in 2004, and Analysis Award in 2013 (Mathematical Society of Japan). He is a Fellow of the Institute of Mathematical Statistics (USA, 1987–).
Anna Clara Monti is a Professor in the Department of Law, Economics, Management and Quantitative Methods at University of Sannio. Her research interests concern Statistical Inference, Robustness, Ordinal Response Models and Time Series.
Tomoyuki Amano is an Associate Professor in Division of General Education at The University of Electro-Communications. He received the doctorate degrees in science from Waseda University, Japan and is now an associate professor in the Division of General Education at University of Electro-Communications, Japan. He is interested in research on financial time series and estimating function estimator for time series.
Bibliographic Information
Book Title: Diagnostic Methods in Time Series
Authors: Fumiya Akashi, Masanobu Taniguchi, Anna Clara Monti, Tomoyuki Amano
Series Title: SpringerBriefs in Statistics
DOI: https://doi.org/10.1007/978-981-16-2264-9
Publisher: Springer Singapore
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2021
Softcover ISBN: 978-981-16-2263-2Published: 09 June 2021
eBook ISBN: 978-981-16-2264-9Published: 08 June 2021
Series ISSN: 2191-544X
Series E-ISSN: 2191-5458
Edition Number: 1
Number of Pages: X, 108
Number of Illustrations: 7 b/w illustrations, 10 illustrations in colour
Topics: Statistical Theory and Methods, Applied Statistics, Statistics for Business, Management, Economics, Finance, Insurance