Robustness tests– full time-series estimation
Nonlinear Time Series Model: Model Estimation and Stability Tests
... the time-varying and nonl inear features of macroeconomic time series ...three-stage estimation method and establish the asymptotic properties of the proposed ...ime series models ...
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On rank tests for shift detection in time series
... small time delay and without unnecessary false alarms. We filter this time series by a running median with window width ...each time point t the ranks of y t+1 , ...the time point at ...
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Portmanteau tests for linearity of stationary time series
... portmanteau tests based on the generalized correlations of residuals from linear ...proposed tests are easy to implement and the relevant test statistics have standard asymptotic null distributions under ...
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Portmanteau tests for linearity of Stationary Time Series
... to tests based on the empirical autocorrelations of the second or higher power of residuals, we also investigate tests that involve empirical cross-correlations between residuals and their squares (or, more ...
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Portmanteau tests for linearity of Stationary Time Series
... to tests based on the empirical autocorrelations of the second or higher power of residuals, we also investigate tests that involve empirical cross-correlations between residuals and their squares (or, more ...
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On rank tests for shift detection in time series
... the estimation of σ t to avoid masking of a shift at time t because of a biased estimate of σ t ...of time series filtering (Gather and Fried, ...
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Goodness of Fit Tests via Exponential Series Density Estimation
... the tests have powers which are a significant fraction of those for the point optimal ...lished tests, although the advantage over the AD statistic is less than it is over the ...the tests is lower ...
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Bootstrap Power of Time Series Goodness of fit tests
... Portmanteau tests; Bootstrapping; Power. 1. Introduction Time series model building is a science and art as ...identification, estimation and diagnostic checking (Box and Jenkins, ...These ...
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Tests for an end of sample bubble in financial time series
... the tests are largely una¤ected by the presence of serially correlated ...0 tests exhibit some modest oversize; the size of these tests is also increasing in the window width, m 0 , used in their ...
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Goodness-of-Fit Tests for Copulas of Multivariate Time Series
... perform tests of change point on the full distribution, the margins or the copula, as if the parameters of the conditional mean and volatility were ...consistent tests of specification for the copula ...
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Some aspects of time series frequency estimation
... In th is th esis, th e observed frequency b a n d will alw ays b e m a p p e d onto [—7r,7r], so ra d ia n frequency will be used. F or specific exam ples th is m u st be re -tra n s la te d to th e original frequency ...
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Robust estimation for structural time series models
... Unless we are sure of the underlying distribution of the data set , which is rare when dealing with real data , estimators are no longer derived from some optimal principles for a particular distributional assumption . ...
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Variance Estimation in Time Series Regression Models
... variance estimation of regression coefficients when disturbances are serially correlated in time series regression models is ...Variance estimation enters into confidence interval ...
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Variance Estimation in Time Series Regression Models
... variance estimation of regression coefficients when disturbances are serially correlated in time series regression models is ...Variance estimation enters into confidence interval ...
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Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models
... these tests rely on asymptotic ...macroeconomic time series ...adaptive estimation does not rely on asymptotic results and does not thus place any requirements on the number of ob- servations ...
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Assessing the Robustness of Time-to-Event Abundance Estimation
... density of unmarked species could help address many of the issues with monitoring species such as cougars and make multi-species monitoring more feasible. Rare species and species that live at low densities typically ...
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Tests for stationarity of a time series: update
... a series of statistical ...computing tests that can be used in a specification search, great care is ...these tests all involve multiple ...sequential tests, there is a danger of overfitting ...
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Changepoint tests for INARCH time series
... CUSUM-type tests for changepoints in nonlinear, possibly misspecified autoregressions correspond- ing to neural network based autoregressive ...integer-valued time series, Weiß and Testik [31] have ...
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The Bootstrap Estimation In Time Series
... data series is divided into blocks in block bootstrap ...the estimation of block length for these two bootstrap methods, since we only consider most basic models in this paper, then the estimation of ...
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Qualitative Robustness in Estimation
... Qualitative robustness, influence function, and breakdown point are three main concepts to judge an estimator from the viewpoint of robust ...qualitative robustness as forwarded by first proponents and its ...
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