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Essays in Nonlinear Time Series Analysis
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| 자료유형 | 학위논문 |
|---|---|
| 서명/저자사항 | Essays in Nonlinear Time Series Analysis. |
| 개인저자 | Michel, Jonathan. |
| 단체저자명 | The Ohio State University. Economics. |
| 발행사항 | [S.l.]: The Ohio State University., 2019. |
| 발행사항 | Ann Arbor: ProQuest Dissertations & Theses, 2019. |
| 형태사항 | 140 p. |
| 기본자료 저록 | Dissertations Abstracts International 81-02A. Dissertation Abstract International |
| ISBN | 9781085581882 |
| 학위논문주기 | Thesis (Ph.D.)--The Ohio State University, 2019. |
| 일반주기 |
Source: Dissertations Abstracts International, Volume: 81-02, Section: A.
Advisor: de Jong, Robert. |
| 이용제한사항 | This item must not be sold to any third party vendors. |
| 요약 | This dissertation consists of six papers. Each of these papers are on a different aspect of statistical analysis of nonlinear time series. In the first paper, we study the behavior of a nonstationary time series which has different behavior for ``high" and ``low" levels. This consists of the introduction of a new nonlinear time series model, a mathematical analysis of the functional limit theorem for this model, a statistical test for behavior similar to this new model, and a proposed technique for robust cointegration in the presence of this new model. The second paper consists of an extension of this idea into volatility modeling.The third paper considers experimental design and sampling of Markov chains. In particular, it focuses on how to feasibly optimally sample a continuous two-state Markov chain.The fourth paper is on integer valued time series. The focus here is on studying the properties of the INGARCH(1,1) model in the nonstationary case. This consists of applying mathematical machinery rarely used in econometrics. Additionally, in this paper extensions towards stationarity tests are considered.The fifth paper studies the dynamic Tobit, a time series model often used when data is censored below. In this paper, weak dependence and mixing properties are shown to hold, which is relevant for studying the statistical properties of estimation for this model.The sixth paper studies the reciprocal of the random walk. This is relevant in time series econometrics as such a process is a possible model for time series with a stochastic diminishing trend. |
| 일반주제명 | Economics. |
| 언어 | 영어 |
| 바로가기 | 
: 이 자료의 원문은 한국교육학술정보원에서 제공합니다. |
