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André Lucas Outlier robust unit root analysis
This book focuses on statistical methods for discriminating between competing models for the long-run behavior of economic time series. Traditional methods that are used in this context are sensitive to outliers in the data. Therefore, this book considers alternative methods that take into account the possibility that not all observations are generated by the postulated model. These methods are called outlier robust. The basic principle underlying outlier robust methods is that discordant observations...
Non-fictie
Engels | 239 pagina's | Thesis Publishers, Amsterdam | 1996
Gedrukt boek
André A. Monteiro | Georgi V. Smirnov | André Lucas Non-parametric estimation for non-homogeneous semi-Markov processes
an application to credit risk
Non-fictie
Engels | 40 pagina's | Tinbergen Institute, Amsterdam [etc.] | 2006
Gedrukt boek
Karim M. Abadir | André Lucas A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Non-fictie
Engels | 21 pagina's | Tinbergen Institute, Amsterdam [etc.] | 2000
Gedrukt boek
André Lucas Least median of squares for autoregressions with additive outliers
Non-fictie
Engels | 17 pagina's | Vrije Universiteit, Amsterdam | 1996
Gedrukt boek
Drew Creal | Siem-Jan Koopman | André Lucas A general framework for observation driven time-varying parameter models
Non-fictie
Engels | 52 pagina's | Tinbergen Institute, Amsterdam [etc.] | 2008
Gedrukt boek
Konrad Banachewicz | André Lucas Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models
Non-fictie
Engels | 37 pagina's | Tinbergen Institute, Amsterdam [etc.] | 2007
Gedrukt boek
Siem-Jan Koopman | André Lucas | André A. Monteiro The multi-state latent factor intensity model for credit rating transitions
Non-fictie
Engels | 31 pagina's | Tinbergen Institute, Amsterdam [etc.] | 2005
Gedrukt boek
Philip Hans Franses | Teun Kloek | André Lucas Outlier robust analysis of market share and distribution relations for weekly scanning data
Non-fictie
Engels | 32 pagina's | Econometric Institute, Erasmus University Rotterdam, Rotterdam | 1996
Gedrukt boek
Siem-Jan Koopman | André Lucas | Bernd Schwaab Macro, industry and frailty effects in defaults
the 2008 credit crisis in perspective
Non-fictie
Engels | 38 pagina's | Tinbergen Institute, Amsterdam [etc.] | 2010
Gedrukt boek
Siem-Jan Koopman | André Lucas | Bernd Schwaab Forecasting cross-sections of frailty-correlated default
Non-fictie
Engels | 33 pagina's | Tinbergen Institute, Amsterdam [etc.] | 2008
Gedrukt boek
Philip Hans Franses | André Lucas Outlier robust cointegration
Non-fictie
Engels | 24 pagina's | Vrije Universiteit, Amsterdam | 1997
Gedrukt boek
H. Peter Boswijk | André Lucas Semi-nonparametric cointegration testing
Non-fictie
Engels | 23 pagina's | Vrije Universiteit, Amsterdam | 1997
Gedrukt boek
Siem-Jan Koopman | André Lucas | Robert Daniels A non-gaussian panel time series model for estimating and decomposing default risk
Non-fictie
Engels | 29 pagina's | Tinbergen Institute, Amsterdam [etc.] | 2005
Gedrukt boek
Ronald van Dijk | Teun Kloek | André Lucas Forecasting stock returns using bilinearities in fundamentals and macroeconomic variables
Non-fictie
Engels | 30 pagina's | Erasmus University Rotterdam, Rotterdam | 1996
Gedrukt boek