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Bootstrapping Stationary Arma-Garch Models

Bootstrapping Stationary Arma-Garch Models

          
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About the Book

Im Jahre 1979 hat Bradley Efron mit seiner Arbeit Bootstrap Methods: Another Look at the Jackknife das Tor zu einem in den vergangenen 30 Jahren intensiv bearbeiteten Forschungsgebiet aufgestoßen. Die simulationsbasierte Methode des Bootstraps hat sich in den verschiedensten Bereichen als ein außerordentlich - ?zientes Werkzeug zur Approximation der stochastischen Fluktuation eines Sch- zers um die zu schätzende Größe erwiesen. Präzise Kenntnis dieser stochastischen Fluktuation ist zum Beispiel notwendig, um Kon?denzbereiche für Schätzer an- geben, die die unbekannte interessierende Größe mit einer vorgegebenen Wa- scheinlichkeit von, sagen wir, 95 oder 99% enthalten. In vielen Fällen und bei korrekter Anwendung ist das Bootstrapverfahren dabei der konkurrierenden und auf der Approximation durch eine Normalverteilung basierenden Methode üb- legen. Die Anzahl der Publikationen im Bereich des Bootstraps ist seit 1979 in einem atemberaubenden Tempo angestiegen. Die wesentliche und im Grunde e- fache Idee des Bootstraps ist die Erzeugung vieler (Pseudo-) Datensätze, die von ihrer wesentlichen stochastischen Struktur dem Ausgangsdatensatz möglichst ä- lich sind. Die aktuellen Forschungsinteressen im Umfeld des Bootstraps bewegen sich zu einem großen Teil im Bereich der stochastischen Prozesse. Hier stellt sich die zusätzliche Herausforderung, bei der Erzeugung die Abhängigkeitsstruktur der Ausgangsdaten adäquat zu imitieren. Dabei ist eine präzise Analyse der zugrunde liegenden Situation notwendig, um beurteilen zu können, welche Abhängigkei- aspekte für das Verhalten der Schätzer wesentlich sind und welche nicht, um a- reichend komplexe, aber eben auch möglichst einfache Resamplingvorschläge für die Erzeugung der Bootstrapdaten entwickeln zu können.


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Product Details
  • ISBN-13: 9783834809926
  • Publisher: Springer Fachmedien Wiesbaden
  • Binding: Paperback
  • Height: 208 mm
  • No of Pages: 148
  • Series Title: English
  • Weight: 181 gr
  • ISBN-10: 3834809926
  • Publisher Date: 27 Jan 2010
  • Edition: 2010 ed.
  • Language: English
  • Returnable: Y
  • Spine Width: 10 mm
  • Width: 147 mm


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