Statistical Analysis of Econometrics
A special issue of Stats (ISSN 2571-905X).
Deadline for manuscript submissions: closed (31 July 2022) | Viewed by 3068
Special Issue Editor
Interests: > Development of non-asymptotic model choice methods for the problem of estimating diusion processes on the basis of observations at discrete instants. Establishing an Oracle inequality. Study of the effectiveness of statistical procedures in this case. > Study of estimation problems for nonparametric discrete time autoregressive models. Applications of model selection methods for these problems. Establishing an Oracle inequality. > Development of non-asymptotic model selection methods for heteroscedastic observations and their applications to econometrics problems.
Special Issue Information
Dear Colleagues,
The dynamics of the development of modern economic and stochastic financial systems requires a constant complication of the econometric models used, for which it is necessary to improve and develop new effective statistical analysis methods that have an increased speed of information processing and are robust with respect to unpredictable changes in uncontrolled random factors acting on the systems under study. The use of such methods in practical problems of econometric analysis significantly increases the quality and reliability of the statistical inferences obtained on this basis.
Our Special Issue covers all aspects of modern econometric problems, from theoretical developments in important areas such as general econometric analysis (estimation, hypothesis testing and prediction), sequential estimation and changepoint detection in econometric time series to different practical applications: econometric modelling of financial markets, econometric analysis of the COVID-19 pandemic’s impact in the economic sphere, digital economics, practical predictions in economic time series, etc.
Topics of interest include regression models in discrete and continuous time, big data models, parametric and nonparametric time series, statistical models with memory, optimization portfolio problems and econometric modelling.
Prof. Dr. Serge Pergamenchtchikov
Guest Editor
Manuscript Submission Information
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Keywords
- regression models
- economic times series
- big data models
- parametric estimation
- non-parametric estimation
- hypothesis testing
- adaptive methods
- robust estimation
- sequential analysis
- financial markets
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