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.
id UFRGS-2_d2d486ebcdeb52e49e0928b3db9003ce
oai_identifier_str oai:www.lume.ufrgs.br:10183/152998
network_acronym_str UFRGS-2
network_name_str Repositório Institucional da UFRGS
repository_id_str
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
format bachelorThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10183/152998
dc.identifier.nrb.pt_BR.fl_str_mv 000941579
url http://hdl.handle.net/10183/152998
identifier_str_mv 000941579
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFRGS
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Repositório Institucional da UFRGS
collection Repositório Institucional da UFRGS
bitstream.url.fl_str_mv http://www.lume.ufrgs.br/bitstream/10183/152998/1/000941579.pdf
http://www.lume.ufrgs.br/bitstream/10183/152998/2/000941579.pdf.txt
bitstream.checksum.fl_str_mv 245b0146386546d2a1c4de282f32a3b8
8a42c9c79d8591ecb52f3e58e9c7b8a5
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
repository.name.fl_str_mv Repositório Institucional da UFRGS - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv
_version_ 1815447189430730752

Registros relacionados