Search for dissertations about: "nonnegative autoregression"

Found 1 swedish dissertation containing the words nonnegative autoregression.

  1. 1. Essays on Time Series Analysis With Applications to Financial Econometrics

    University dissertation from Uppsala : Acta Universitatis Upsaliensis

    Author : Daniel Preve; Rolf Larsson; Bent Nielsen; [2008]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-Gaussian time series; nonnegative autoregression; robust estimation; strong convergence; realized volatility; volatility forecast; forecast comparison; Diebold-Mariano test; SOCIAL SCIENCES Statistics; computer and systems science Statistics; SAMHĂ„LLSVETENSKAP Statistik; data- och systemvetenskap Statistik;

    Abstract : This doctoral thesis is comprised of four papers that all relate to the subject of Time Series Analysis.The first paper of the thesis considers point estimation in a nonnegative, hence non-Gaussian, AR(1) model. The parameter estimation is carried out using a type of extreme value estimators (EVEs). READ MORE