000 -LEADER |
fixed length control field |
01804nam a2200265Ia 4500 |
003 - CONTROL NUMBER IDENTIFIER |
control field |
DE-boiza |
005 - DATE AND TIME OF LATEST TRANSACTION |
control field |
20191029162757.0 |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
fixed length control field |
190909 |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
International Standard Book Number |
3-7908-1132-7 |
040 ## - CATALOGING SOURCE |
Transcribing agency |
IZA |
100 ## - MAIN ENTRY--PERSONAL NAME |
Personal name |
Moryson, Martin |
9 (RLIN) |
2688 |
245 #0 - TITLE STATEMENT |
Title |
Testing for Random Walk Coefficients in Regression and State Space Models |
260 ## - PUBLICATION, DISTRIBUTION, ETC. |
Date of publication, distribution, etc. |
1998 |
Name of publisher, distributor, etc. |
Physica-Verlag, |
Place of publication, distribution, etc. |
New York, |
300 ## - PHYSICAL DESCRIPTION |
Extent |
317 pages |
340 ## - PHYSICAL MEDIUM |
Location within medium |
C1 41 |
440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
Title |
Contributions to Statistics |
9 (RLIN) |
5208 |
520 ## - SUMMARY, ETC. |
Summary, etc. |
Regression and state space models with time varying coefficients are treated in a thorough manner. State space models are introduced as a means to model time varying regression coefficients. The Kalman filter and smoother recursions are explained in an easy to understand fashion. The main part of the book deals with testing the null hypothesis of constant regression coefficients against the alternative that they follow a random walk. Different exact and large sample tests are presented and extensively compared based on Monte Carlo studies, so that the reader is guided in the question which test to choose in a particular situation. Moreover, different new tests are proposed which are suitable in situations with autocorrelated or heteroskedastic errors. Additionally, methods are developed to test for the constancy of regression coefficients in situations where one knows already that some coefficients follow a random walk, thereby one is enabled to find out which of the coefficients varies over time. |
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name entry element |
linear regression model |
9 (RLIN) |
2689 |
|
Topical term or geographic name entry element |
regression coefficient |
9 (RLIN) |
2690 |
|
Topical term or geographic name entry element |
statistical analysis |
9 (RLIN) |
959 |
|
Topical term or geographic name entry element |
stochastic decision space |
9 (RLIN) |
2691 |
653 ## - INDEX TERM--UNCONTROLLED |
Uncontrolled term |
Statistics |
856 ## - ELECTRONIC LOCATION AND ACCESS |
Uniform Resource Identifier |
<a href="https://link.springer.com/book/10.1007/978-3-642-99799-0#toc">https://link.springer.com/book/10.1007/978-3-642-99799-0#toc</a> |
Link text |
Publisher's website |
942 ## - ADDED ENTRY ELEMENTS (KOHA) |
Koha item type |
Monography |
Source of classification or shelving scheme |
|