Search Results - subject:"Distribution function"

Lee, Sokbae; Linton, Oliver; Whang, Yoon-Jae - Suntory and Toyota International Centres for Economics … - 2006

results that only apply to either one or the other case. Key words: Distribution function; Extreme Value Theory …;1 ; where for each n, zn;1 is the (1 ) quantile of the �distribution function�Fn(x) of the form Fn(x) = exp exp … distribution function. J. Amer. Statist. Assoc. 94, 154-163. [8] Hopenhayn, H.A. and E.C. Prescott (1992): �Stochastic Monotonicity …

Persistent link: https://www.econbiz.de/10005797506

Testing for stochastic monotonicity

Lee, Sokbae; Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2006

We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution is Gumbel. The proof is difficult because the approximating Gaussian...

Persistent link: https://www.econbiz.de/10010745504

Convergence of Archimedean Copulas

Charpentier, A.; Segers, J.J.J. - Tilburg University, Center for Economic Research - 2006

Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions.No extra differentiability conditions on the generators are needed.

Persistent link: https://www.econbiz.de/10011091110

Smoothed L-estimation of Regression Function

Cizek, Pavel; Tamine, J.; Härdle, W.K. - Tilburg University, Center for Economic Research - 2006

-estimation is traditionally done using an empirical conditional distribution function, we propose to use instead a smoothed … conditional distribution function.The asymptotic distribution of the proposed estimator is derived under mild ¯-mixing conditions …

Persistent link: https://www.econbiz.de/10011092440