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Locally adaptive estimation methods with application to univariate time series

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  • Mstislav Elagin
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    Abstract

    The paper offers a unified approach to the study of three locally adaptive estimation methods in the context of univariate time series from both theoretical and empirical points of view. A general procedure for the computation of critical values is given. The underlying model encompasses all distributions from the exponential family providing for great flexibility. The procedures are applied to simulated and real financial data distributed according to the Gaussian, volatility, Poisson, exponential and Bernoulli models. Numerical results exhibit a very reasonable performance of the methods.

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    File URL: http://arxiv.org/pdf/0812.0449
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 0812.0449.

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    Date of creation: Dec 2008
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    Handle: RePEc:arx:papers:0812.0449

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    Web page: http://arxiv.org/

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    6. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 6(03), pages 318-334, September.
    7. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers, Princeton, Department of Economics - Econometric Research Program 338, Princeton, Department of Economics - Econometric Research Program.
    8. Denis Belomestny & Vladimir Spokoiny, 2006. "Spatial aggregation of local likelihood estimates with applications to classification," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2006-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
    10. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 121-138.
    11. Thomas Mikosch & Catalin Starica, 2004. "Changes of structure in financial time series and the GARCH model," Econometrics, EconWPA 0412003, EconWPA.
    12. Jianqing Fan & Juan Gu, 2003. "Semiparametric estimation of Value at Risk," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 6(2), pages 261-290, December.
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