Search Results - subject:"Asymptotic normality"

Asymptotic normality of cumulative cost in linear quadratic regulators

Sayedana, Borna; Caines, Peter E.; Mahajan, Aditya - 2025

Persistent link: https://www.econbiz.de/10015205379

Maximum likelihood estimation for non-stationary location models with mixture of normal distributions

Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - In: Journal of econometrics 238 (2024) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10015073825

Bias-reduced and variance-corrected asymptotic Gaussian Inference about extreme expectiles

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2023

Persistent link: https://www.econbiz.de/10014286699

Pro-cyclicality beyond business cycle

Bräutigam, Marcel; Dacorogna, Michel M.; Kratz, Marie - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 308-341

Persistent link: https://www.econbiz.de/10014278671

How do empirical estimators of popular risk measures impact pro-cyclicality?

Bräutigam, Marcel; Kratz, Marie - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 547-579

Persistent link: https://www.econbiz.de/10014436789

Monte Carlo and importance sampling estimators of CoVaR

Jiang, Guangxin; Hao, Jianshu; Sun, Tong - In: Operations research letters : a journal of INFORMS … 60 (2025), pp. 1-7

Persistent link: https://www.econbiz.de/10015359125

Asymptotic inference for a sign-double autoregressive (SDAR) model of order one

Iglesias, Emma M. - In: Econometric reviews 44 (2025) 3, pp. 312-334

Persistent link: https://www.econbiz.de/10015196603

Asymptotic properties of the weighted average least squares (WALS) estimator

De Luca, Giuseppe; Magnus, Jan; Peracchi, Franco - 2022

We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown...

Persistent link: https://www.econbiz.de/10013356478

Maximum likelihood estimation for non-stationary location models with mixture of normal distributions

Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; … - 2022

robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …

Persistent link: https://www.econbiz.de/10012797266

On the nonparametric estimation of the conditional hazard estimator in a single functional index

Gagui, Abdelmalek; Chouaf, Abdelhak - In: Statistics in Transition new series (SiTns) 23 (2022) 2, pp. 89-105

asymptotic normality of the proposed estimator under general conditions and in cases where the variables satisfy the strong …

Persistent link: https://www.econbiz.de/10013444134