Essay on Testing Serial Independence

Language: English

Published by LAP LAMBERT Academic Publishing Aug 2010, 2010

3838363957 / 9783838363950

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This item is printed on demand - Print on Demand Titel. Neuware -Serial independence forms the basis for classical economic and financial theories. The author contributed score tests for serial independence against alternative copula structures, leaving the marginals unspecified. Thus the score tests, which are not only invariant but also powerful against fixed alternatives under mis-specified marginals, even with the case of weak dependence, will be favorable in that the chance to commit Type I error is smaller comparing to the traditional tests. The test''s performances were numerically examined with the effects of mis-specification on both the marginals and the copula by simulation. Finally, an application of testing serial independence in log-returns of stock indices was presented. The book is written for theoretical econometricians and statisticians who has a background of dependence theory, hypothesis testing and time series analysis.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 100 pp. Englisch.…

Seller Inventory # 9783838363950

Title
Essay on Testing Serial Independence
Author
Zhaopeng Xing
Publisher
LAP LAMBERT Academic Publishing Aug 2010
Publication year
2010
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3838363957
ISBN 13
9783838363950
Item weight
167 grams
Dimensions
220x150x7 mm

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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