Estimating deterministics in univariate time series

Walsh, Christopher

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URN: urn:nbn:de:bsz:180-madoc-366333
Document Type: Doctoral dissertation
Year of publication: 2014
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Mammen, Enno
Date of oral examination: 26 May 2014
Publication language: English
Institution: School of Law and Economics > Graduiertenkolleg VWL/BWL
Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSE (Economics)
School of Law and Economics > Statistik (Mammen)
Subject: 310 Statistics
330 Economics
Subject headings (SWD): Nichtparametrische Regression , Nichtstationäre Zeitreihenanalyse
Keywords (English): Univariate Time Series , Nonprametric Regression , Nonstationarities , Deterministics , Time Series Decomposition
Abstract: This thesis deals with regression approaches to analyse discrete univariate time series allowing for certain types of nonstationarities. It contains three chapters that each deal with a model containing some sort of deterministic components leading to the nonstationarity of the series. In Chapter 2 we analyse an additive model allowing for deterministics in the form of seasonal effects and a smooth time trend. Chapter 3 looks at a multiplicative volatility model that allows for a deterministic scale function. Finally, Chapter 4 looks at a model that combines the information about season and trend in a single deterministic function.

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