Bøger af Marc S. (University of Zurich Paolella

A comprehensive and timely edition on an emerging new trend in time seriesLinear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation.The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work.* Covers traditional time series analysis with new guidelines* Provides access to cutting edge topics that are at the forefront of financial econometrics and industry* Includes latest developments and topics such as financial returns data, notably also in a multivariate context* Written by a leading expert in time series analysis* Extensively classroom tested* Includes a tutorial on SAS* Supplemented with a companion website containing numerous Matlab programs* Solutions to most exercises are provided in the bookLinear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

A handsΓÇôon approach to statistical inference that addresses the latest developments in this everΓÇôgrowing field This clear and accessible book for beginning graduate students offers a practical and detailed approach to the field of statistical inference, providing complete derivations of results, discussions, and MATLAB programs for computation. It emphasizes details of the relevance of the material, intuition, and discussions with a view towards very modern statistical inference. In addition to classic subjects associated with mathematical statistics, topics include an intuitive presentation of the (single and double) bootstrap for confidence interval calculations, shrinkage estimation, tail (maximal moment) estimation, and a variety of methods of point estimation besides maximum likelihood, including use of characteristic functions, and indirect inference. Practical examples of all methods are given. Estimation issues associated with the discrete mixtures of normal distribution, and their solutions, are developed in detail. Much emphasis throughout is on nonΓÇôGaussian distributions, including details on working with the stable Paretian distribution and fast calculation of the noncentral StudentΓÇ▓s t. An entire chapter is dedicated to optimization, including development of HessianΓÇôbased methods, as well as heuristic/genetic algorithms that do not require continuity, with MATLAB codes provided. The book includes both theory and nontechnical discussions, along with a substantial reference to the literature, with an emphasis on alternative, more modern approaches. The recent literature on the misuse of hypothesis testing and pΓÇôvalues for model selection is discussed, and emphasis is given to alternative model selection methods, though hypothesis testing of distributional assumptions is covered in detail, notably for the normal distribution.  Presented in three partsΓÇöEssential Concepts in Statistics; Further Fundamental Concepts in Statistics; and Additional TopicsΓÇöFundamental Statistical Inference: A Computational Approach offers comprehensive chapters on: Introducing Point and Interval Estimation; Goodness of Fit and Hypothesis Testing; Likelihood; Numerical Optimization; Methods of Point Estimation; QΓÇôQ Plots and Distribution Testing; Unbiased Point Estimation and Bias Reduction; Analytic Interval Estimation; Inference in a HeavyΓÇôTailed Context; The Method of Indirect Inference; and, as an appendix, A Review of Fundamental Concepts in Probability Theory, the latter to keep the book selfΓÇôcontained, and giving material on some advanced subjects such as saddlepoint approximations, expected shortfall in finance, calculation with the stable Paretian distribution, and convergence theorems and proofs. 

This publication provides an introduction to the theory and techniques of probability and grew from a set of notes written by the author to accompany a two semester course consisting of senior undergraduate and first year graduate students from quantitative business (50%), economics (40%) and mathematics (10% ).