£54.98

Physica Analyse kointegrierter Variablen mittels vektorautoregressiver Modelle: 35 (Arbeiten zur Angewandten Statistik, 35)

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Description

An dieser Stelle möchte ich mich insbesondere bei Herrn Prof. Dr. Helmut Lütkepohl für seine Ideen und wohlwollende Kritik herzlich bedanken, der jederzeit ein offenes Ohr für meine Pro bleme hatte. Ohne seine vielfältige und nicht nachlassende Unterstützung wäre die Arbeit nicht in der jetzigen Form entstanden. Herrn Prof. Dr. Gerd Hansen und Herrn Prof. Dr. Wolfgang Wetzel danke ich für ihre anregenden Diskussionen im Seminar des Instituts für Statistik und Ökonometrie. Zu dritt haben sie eine sehr fruchtbare Atmosphäre am Institut geschaffen. Naturgemäß steht man als Autor in der Dankesschuld weiterer Personen, die das Entstehen der Arbeit hilfreich unterstützt haben. Stellvertretend möchte ich hier zwei meiner Kollegen nen nen, die auch auf dem Gebiet der Kointegration arbeiten: Herrn Wolfgang Kohn danke ich für die Unterstützung bei verzwickten Softwareproblemen; Herrn Wolfgang Hauschulz gebührt das Verdienst, das Manuskript sehr sorgfältig durchgesehen und wenig geschickte Formulierungen in eine flüssigere Form gebracht zu haben. Hans-Eggert Reimers Frankfurt, im Juli 1991 PS: Dank an Karin, Bernd, Christiane, UHrich und Renate, die auf ihre Art zum Gelingen dieser Arbeit beitrugen. Inhaltsverzeichnis xiü Tabellenverzeichnis XV Abbildungsverzeichnis 1 Einleitung 1 2 Nichtstationarität von univariaten Zeitreihen 6 2.1 Vorbemerkungen und Definitionen .... 6 2.2 Statistische Theorie von AR(1)-Modellen 10 2.2.1 Konvergenzeigenschaft des KQ-Schä.tzers für AR(1)-Modelle 10 2.2.2 Ein Exkurs zur Verbindung zwischen Random-Walk- und Wiener-Prozeß 12 2.3 Einheitswurzeltests ..................... .

Product Specifications

Brand
Physica
Format
perfect
Domain
Amazon UK
Release Date
12 November 1991
Listed Since
21 February 2011

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No barcode data available

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