Robustní odhad persistence ve finančních časových řadách
The goal of this thesis is to develop a novel robust log-periodogram regression method to detect the presence of long memory in time series. By the use of the Least Trimmed Squares regression we obtain an estimator that is less sensitive to outliers and leverage points, which is highly desirable par...
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| Format: | Dissertation |
| Language: | English |
| Published: |
2009
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| Online Access: | http://www.nusl.cz/ntk/nusl-282856 |