爆炸性气泡的测试:综述

IF 0.6 Q4 STATISTICS & PROBABILITY

Dependence Modeling Pub Date : 2023-01-01 DOI:10.1515/demo-2022-0152

Anton Skrobotov

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引用次数: 2

摘要

摘要本文综述了爆炸性气泡的时间序列检测方法。大量的最新开发的测试方法在各种假设下的创新误差被涵盖。这篇综述还考虑了爆炸(气泡)政权测年的方法。特别注意误差的时变波动。此外，还讨论了时间序列与爆炸状态之间可能关系的建模。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Testing for explosive bubbles: a review

Abstract This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered. The review also considers the methods for dating explosive (bubble) regimes. Special attention is devoted to time-varying volatility in the errors. Moreover, the modelling of possible relationships between time series with explosive regimes is discussed.

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来源期刊

Dependence Modeling STATISTICS & PROBABILITY-

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

12 weeks

期刊介绍： The journal Dependence Modeling aims at providing a medium for exchanging results and ideas in the area of multivariate dependence modeling. It is an open access fully peer-reviewed journal providing the readers with free, instant, and permanent access to all content worldwide. Dependence Modeling is listed by Web of Science (Emerging Sources Citation Index), Scopus, MathSciNet and Zentralblatt Math. The journal presents different types of articles: -"Research Articles" on fundamental theoretical aspects, as well as on significant applications in science, engineering, economics, finance, insurance and other fields. -"Review Articles" which present the existing literature on the specific topic from new perspectives. -"Interview articles" limited to two papers per year, covering interviews with milestone personalities in the field of Dependence Modeling. The journal topics include (but are not limited to):　 -Copula methods -Multivariate distributions -Estimation and goodness-of-fit tests -Measures of association -Quantitative risk management -Risk measures and stochastic orders -Time series -Environmental sciences -Computational methods and software -Extreme-value theory -Limit laws -Mass Transportations