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Statistical Modeling Using Local Gaussian Approximation
- 1st Edition - October 5, 2021
- Authors: Dag Tjøstheim, Håkon Otneim, Bård Støve
- Language: English
- Paperback ISBN:9 7 8 - 0 - 1 2 - 8 1 5 8 6 1 - 6
- eBook ISBN:9 7 8 - 0 - 1 2 - 8 1 5 4 4 5 - 8
Statistical Modeling using Local Gaussian Approximation extends powerful characteristics of the Gaussian distribution, perhaps, the most well-known and most used distribut… Read more
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Request a sales quoteStatistical Modeling using Local Gaussian Approximation extends powerful characteristics of the Gaussian distribution, perhaps, the most well-known and most used distribution in statistics, to a large class of non-Gaussian and nonlinear situations through local approximation. This extension enables the reader to follow new methods in assessing dependence and conditional dependence, in estimating probability and spectral density functions, and in discrimination. Chapters in this release cover Parametric, nonparametric, locally parametric, Dependence, Local Gaussian correlation and dependence, Local Gaussian correlation and the copula, Applications in finance, and more.
Additional chapters explores Measuring dependence and testing for independence, Time series dependence and spectral analysis, Multivariate density estimation, Conditional density estimation, The local Gaussian partial correlation, Regression and conditional regression quantiles, and a A local Gaussian Fisher discriminant.
- Reviews local dependence modeling with applications to time series and finance markets
- Introduces new techniques for density estimation, conditional density estimation, and tests of conditional independence with applications in economics
- Evaluates local spectral analysis, discovering hidden frequencies in extremes and hidden phase differences
- Integrates textual content with three useful R packages
Graduate students and 1st year PhD students researching problems in econometrics, statistics, financial econometrics and related areas where it is important to model statistical dependence, do density and conditional density estimation, and seek for periodicities and cycles in data
1. Introduction
2. Parametric, nonparametric, locally parametric
3. Dependence
4. Local Gaussian correlation and dependence
5. Local Gaussian correlation and the copula
6. Applications in finance
7. Measuring dependence and testing for independence
8. Time series dependence and spectral analysis
9. Multivariate density estimation
10. Conditional density estimation
11. The local Gaussian partial correlation
12. Regression and conditional regression quantiles
13. A local Gaussian Fisher discriminant
2. Parametric, nonparametric, locally parametric
3. Dependence
4. Local Gaussian correlation and dependence
5. Local Gaussian correlation and the copula
6. Applications in finance
7. Measuring dependence and testing for independence
8. Time series dependence and spectral analysis
9. Multivariate density estimation
10. Conditional density estimation
11. The local Gaussian partial correlation
12. Regression and conditional regression quantiles
13. A local Gaussian Fisher discriminant
- No. of pages: 458
- Language: English
- Edition: 1
- Published: October 5, 2021
- Imprint: Academic Press
- Paperback ISBN: 9780128158616
- eBook ISBN: 9780128154458
DT
Dag Tjøstheim
Dag Tjøstheim is Emeritus Professor, Department of Mathematics, University of Bergen. He has a PhD in applied mathematics from Princeton University (1974). He has authored more than 120 papers in international journals. He is a member of the Norwegian Academy of Sciences and has received several prizes for his scientific work. His main interests are in econometrics, nonlinear time series, nonparametric methods, modeling of dependence, spatial variables, and fishery statistics.
Affiliations and expertise
Emeritus Professor, Department of Mathematics, University of Bergen, NorwayHO
Håkon Otneim
Håkon Otneim is Associate Professor at the Norwegian School of Economics. He has a PhD in statistics from the University of Bergen (2016). He has published papers in international journals about multivariate density estimation and conditional density estimation. His research interests include development and application of non- and semiparametric statistics, statistical programming, and data visualization.
Affiliations and expertise
Norwegian School of Economics, Bergen, NorwayBS
Bård Støve
Bård Støve is Professor of Statistics at the University of Bergen. He received his PhD degree in Statistics, 2005. He was Assistant Professor at the Norwegian School of Economics (2007--2011) and worked as an Actuary in a consulting firm (2005--2007). He has been working on the development of nonparametric models and application of such models to areas in finance and economics. He has published several research papers in journals such as Econometric Theory and Scandinavian Journal of Statistics.
Affiliations and expertise
Associate Professor, Department of Mathematics, University of Bergen, NorwayRead Statistical Modeling Using Local Gaussian Approximation on ScienceDirect