Hypothesis test in long-range dependence processes with stable innovations

Detalhes bibliográficos
Autor(a) principal: Anesi, Gennaro
Data de Publicação: 2013
Tipo de documento: Trabalho de conclusão de curso
Idioma: por
Título da fonte: Repositório Institucional da UFRGS
Texto Completo: http://hdl.handle.net/10183/152998
Resumo: The main objetive of this paper is to analyze hypothesis tests for the stability parameter of the stable innovations, which determines the heaviness of the distribution's tails. We will consider both a simple z-test and also the likelihood ratio test. Power analysis for both situations will be studied as well. Four estimators for the long-range dependence parameter d will be used, including parametric and semi-parametric procedures with robust versions. Three di erent estimators for the tail index will be considered in this work. A Monte Carlo study will be presented, as well as an application to real data.
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spelling Anesi, GennaroLinhares, Raquel Romes2017-02-23T02:25:51Z2013http://hdl.handle.net/10183/152998000941579The main objetive of this paper is to analyze hypothesis tests for the stability parameter of the stable innovations, which determines the heaviness of the distribution's tails. We will consider both a simple z-test and also the likelihood ratio test. Power analysis for both situations will be studied as well. Four estimators for the long-range dependence parameter d will be used, including parametric and semi-parametric procedures with robust versions. Three di erent estimators for the tail index will be considered in this work. A Monte Carlo study will be presented, as well as an application to real data.application/pdfporTeste de hipoteseDependências (Estatística)DistribuicaoHypothesis testLong-range dependenceStable distributionsHypothesis test in long-range dependence processes with stable innovationsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/bachelorThesisUniversidade Federal do Rio Grande do SulInstituto de Matemática. Departamento de EstatísticaPorto Alegre, BR-RS2013Estatística: Bachareladograduaçãoinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRGSinstname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSORIGINAL000941579.pdf000941579.pdfTexto completoapplication/pdf846700http://www.lume.ufrgs.br/bitstream/10183/152998/1/000941579.pdf245b0146386546d2a1c4de282f32a3b8MD51TEXT000941579.pdf.txt000941579.pdf.txtExtracted Texttext/plain42268http://www.lume.ufrgs.br/bitstream/10183/152998/2/000941579.pdf.txt8a42c9c79d8591ecb52f3e58e9c7b8a5MD5210183/1529982017-02-24 02:25:09.091268oai:www.lume.ufrgs.br:10183/152998Repositório de PublicaçõesPUBhttps://lume.ufrgs.br/oai/requestopendoar:2017-02-24T05:25:09Repositório Institucional da UFRGS - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.pt_BR.fl_str_mv Hypothesis test in long-range dependence processes with stable innovations
title Hypothesis test in long-range dependence processes with stable innovations
spellingShingle Hypothesis test in long-range dependence processes with stable innovations
Anesi, Gennaro
Teste de hipotese
Dependências (Estatística)
Distribuicao
Hypothesis test
Long-range dependence
Stable distributions
title_short Hypothesis test in long-range dependence processes with stable innovations
title_full Hypothesis test in long-range dependence processes with stable innovations
title_fullStr Hypothesis test in long-range dependence processes with stable innovations
title_full_unstemmed Hypothesis test in long-range dependence processes with stable innovations
title_sort Hypothesis test in long-range dependence processes with stable innovations
author Anesi, Gennaro
author_facet Anesi, Gennaro
author_role author
dc.contributor.author.fl_str_mv Anesi, Gennaro
dc.contributor.advisor1.fl_str_mv Linhares, Raquel Romes
contributor_str_mv Linhares, Raquel Romes
dc.subject.por.fl_str_mv Teste de hipotese
Dependências (Estatística)
Distribuicao
topic Teste de hipotese
Dependências (Estatística)
Distribuicao
Hypothesis test
Long-range dependence
Stable distributions
dc.subject.eng.fl_str_mv Hypothesis test
Long-range dependence
Stable distributions
description The main objetive of this paper is to analyze hypothesis tests for the stability parameter of the stable innovations, which determines the heaviness of the distribution's tails. We will consider both a simple z-test and also the likelihood ratio test. Power analysis for both situations will be studied as well. Four estimators for the long-range dependence parameter d will be used, including parametric and semi-parametric procedures with robust versions. Three di erent estimators for the tail index will be considered in this work. A Monte Carlo study will be presented, as well as an application to real data.
publishDate 2013
dc.date.issued.fl_str_mv 2013
dc.date.accessioned.fl_str_mv 2017-02-23T02:25:51Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/bachelorThesis
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