Menu
Zistiť stav objednávky
Kontaktujte nás
Kniha Extended Switching Regression Models Arie Preminger

Extended Switching Regression Models

Theory and Applications

Autor: Arie Preminger
Jazyk: Angličtina
Väzba: Brožovaná
Vydavateľ: VDM Verlag
Dostupnosť: U vydavateľa na objednávku
Odosielame za 17-27 dní
48.32 €
Switching regression models are models that allow §parameters of the conditional distribution, such...

Informácie o knihe

Autor
Arie Preminger
Jazyk
Angličtina
Väzba
Kniha - Brožovaná
Vydalo
2009
Stránok
116
EAN
9783639151510
ISBN
3639151518
Enbook ID
06823680
Vydavateľ
VDM Verlag
Hmotnosť
181
Rozmery
152 x 229 x 7

Kompletný popis

Switching regression models are models that allow §parameters of the conditional distribution, such as §the mean and variance, to vary according to a finite-§valued stochastic process with states or regimes. §The regime changes aim at capturing changes in the §underlying financial and economic mechanism through §the observed time series. These models have proven §very useful in modeling economic and financial time §series. §In this book, we generalized this modeling approach. §We consider models that allow occasional, recurrent §and independent switches in disjoint subsets of the §parameters of the conditional distribution. These §are determined by the realization of several latent §state variables. The state variable probabilities §can be constant or change over time. We call these §extended switching regression models. We develop an §EM algorithm for estimation, give conditions for §consistency and asymptotic normality and apply our §models to combine conditional volatility forecasts §of several exchange rates. We also consider the §penalized likelihood method for selecting the §correct latent structure of these models.

Mohlo by vás zaujímať

Bitter Angels

C L Anderson
6.74 €

Biogeochemistry of Ancient and Modern Environments

B. J. Ralph
99.59 €

Zákazníci, ktorí si kúpili túto knihu, kúpili tiež

Die Sprache der Vögel

Géza von Neményi
12.12 €

Modes de gouvernance des ressources en eau

Gregoire Sewade Sokegbe
34.53 €

501 факт, який треба знати з... iсторiї України

Andrij Shimanskij
16.92 €