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Spezifikation in Nicht-Stationaeren Zeitreihen

Spezifikation in Nicht-Stationaeren Zeitreihen


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About the Book

In den letzten Jahren ist eine Vielzahl von Arbeiten uber nicht-stationare Zeitreihen sowohl in der okonometrischen als auch in der statistischen Literatur erschienen. Ist eine okonomische Zeitreihe nicht-stationar, so haben die zufalligen Storungen, anders als bei einer stationaren Zeitreihe, einen dauerhaften Einfluss auf den Verlauf des okonomischen Prozesses. Daruber hinaus haben nicht-stationare Zeitreihen andere statistische Eigenschaften als stationare. Die vorliegende Arbeit behandelt im ersten Teil die Frage der Nicht-Stationaritat des eindimensionalen AR (1)-Modells mit und ohne Anfangswert. Den Schwerpunkt der Arbeit bildet der zweite Teil, in dem das zweidimensionale AR(1)-Modell mit komplexen Wurzeln untersucht wird. Unter diesem Modell weisen die beiden eindimensionalen Komponenten eine zyklische Struktur auf. Zum Testen, ob das Modell nicht-stationar ist, wird eine einfache Teststatistik vorgeschlagen. Die asymptotische Verteilung dieser Statistik wird explizit als Funktion zweier unabhangiger Wiener-Prozesse angegeben. Anhand von verschiedenen Simulationen wird die Gute des vorgeschlagenen Tests untersucht."
About the Author: Der Autor: Ladislao N. Siccha Siccha wurde 1960 in La Libertad/Peru geboren. Von 1982 bis 1988 studierte er Mathematik mit Nebenfach Angewandte Statistik und Okonometrie an der Freien Universitat Berlin. Dort promovierte er von 1988 bis 1991 am Fachbereich Wirtschaftswissenschaften. Zur Zeit (1992) ist er als Statistiker im Bundesgesundheitsamt Berlin tatig."


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Product Details
  • ISBN-13: 9783631452646
  • Publisher: Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
  • Publisher Imprint: Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften
  • Edition: New edition
  • Language: German
  • Returnable: N
  • Weight: 230 gr
  • ISBN-10: 3631452640
  • Publisher Date: 01 Aug 1992
  • Binding: Paperback
  • Height: 210 mm
  • No of Pages: 121
  • Series Title: Europaeische Hochschulschriften / European University Studie
  • Width: 148 mm


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Spezifikation in Nicht-Stationaeren Zeitreihen
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