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  • Search: subject:"Invariance principle"
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Year of publication
Subject
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Invariance principle 25 invariance principle 12 Integrated process 4 Stochastic process 4 Stochastischer Prozess 4 Theorie 4 Theory 4 Time series analysis 4 Zeitreihenanalyse 4 Cherny-Shiryaev-Yor invariance principle 3 Instrumental variables 3 Integrable function 3 Invariance Principle 3 Local time 3 Mixed normality 3 Nonlinear cointegration 3 Professional sports 3 Profisport 3 Sports economics 3 Sportökonomik 3 Stationarity 3 Unit roots 3 Weak Instruments 3 revenue sharing 3 stochastic integrals 3 unit root 3 AR(1) model 2 AR(1) modelis 2 Autocorrelation 2 Autokorrelation 2 Autoregressive time series 2 Bootstrap 2 Bubbles 2 Central limit theorem 2 Convergence in law 2 Derivat 2 Derivative 2 Donsker-Prokhorov invariance principle 2 Einheitswurzeltest 2 Explosive model 2
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Online availability
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Undetermined 31 Free 17 CC license 1
Type of publication
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Article 36 Book / Working Paper 20
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Thesis 2 Article 1 Working Paper 1
Language
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Undetermined 34 English 21 Lithuanian 1
Author
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Fort, Rodney 6 Phillips, Peter C.B. 4 Yu, Jun 4 Fabozzi, Frank J. 3 Hu, Yuan 3 Kasparis, Ioannis 3 Lindquist, W. Brent 3 Magdalinos, Tassos 3 Račev, Svetlozar T. 3 Shirvani, Abootaleb 3 Bikelis, Algimantas Jonas 2 Dietl, Helmut 2 Krapavickaitė, Danutė 2 Lang, Markus 2 Leipus, Remigijus 2 Paulauskas, Vygantas 2 Rastenė, Irma 2 Račkauskas, Alfredas 2 Steland, Ansgar 2 Sunklodas, Jonas Kazys 2 Szymanski, Stefan 2 Volný, Dalibor 2 Wang, XiaoHu 2 Wang, Xiaohu 2 Wang, Yizao 2 Čekanavičius, Vydas 2 Čiegis, Raimondas 2 Amari, Shun-ichi 1 An, Qingxian 1 Arnaudon, Marc 1 Balan, R.M. 1 Balan, Raluca 1 Balding, David 1 Bouzebda, Salim 1 Burton, Robert M. 1 Cao, Jinde 1 Caramellino, Lucia 1 Chen, Xinxin 1 Chorro, Christophe 1 Climescu-Haulica, Adriana 1
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Institution
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Cowles Foundation for Research in Economics, Yale University 3 Départment des sciences administratives, Université du Québec en Outaouais (UQO) 2 Institut für Strategie und Unternehmensökonomik (ISU), Wirtschaftswissenschaftliche Fakutät 2 Vilnius University 2 Département d'économique, Faculté d'administration 1 European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1 Faculty of Economics, University of Cambridge 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Maison des Sciences Économiques, Université Paris 1 (Panthéon-Sorbonne) 1 Research Institute for Market Economy, Sogang University 1 School of Economics, Singapore Management University 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1 University of Cyprus Department of Economics 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Stochastic Processes and their Applications 9 Statistics & Probability Letters 5 Cowles Foundation Discussion Papers 3 Journal of Multivariate Analysis 2 Journal of sports economics 2 Physica A: Statistical Mechanics and its Applications 2 RePAd Working Paper Series 2 Working Papers / Institut für Strategie und Unternehmensökonomik (ISU), Wirtschaftswissenschaftliche Fakutät 2 Applied economics 1 Cahiers de la Maison des Sciences Economiques 1 Cahiers de recherche 1 Cambridge Working Papers in Economics 1 Econometric Reviews 1 Econometric reviews 1 Economics Letters 1 Economics letters 1 European journal of operational research : EJOR 1 Insurance / Mathematics & economics 1 Journal of Econometrics 1 Journal of Risk and Financial Management 1 Journal of Sports Economics 1 Journal of econometrics 1 Journal of economic dynamics & control 1 Journal of risk and financial management : JRFM 1 MPRA Paper 1 Research in economics : an international review of economics 1 STICERD - Econometrics Paper Series 1 Statistical Inference for Stochastic Processes 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1 Technical Report 1 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 University of Cyprus Working Papers in Economics 1 Working Papers / Research Institute for Market Economy, Sogang University 1 Working Papers / School of Economics, Singapore Management University 1 Working Papers ECARES 1
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Source
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RePEc 41 ECONIS (ZBW) 11 BASE 2 EconStor 2
Showing 21 - 30 of 56
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An invariance principle for stationary random fields under Hannan’s condition
Volný, Dalibor; Wang, Yizao - In: Stochastic Processes and their Applications 124 (2014) 12, pp. 4012-4029
We establish an invariance principle for a general class of stationary random fields indexed by Zd, under Hannan … principle by developing an orthomartingale approximation. Our invariance principle improves known results in the literature, and … second we establish a coboundary decomposition for certain stationary random fields. At last, we obtain an invariance …
Persistent link: https://www.econbiz.de/10011064918
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Invariance principles for generalized domains of semistable attraction
Wang, Wensheng - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 1-17
Let X,X1,X2,… be independent and identically distributed Rd-valued random vectors and assume X belongs to the generalized domain of attraction of some operator semistable law without normal component. Then without changing its distribution, one can redefine the sequence on a new probability...
Persistent link: https://www.econbiz.de/10011064939
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A strictly stationary β-mixing process satisfying the central limit theorem but not the weak invariance principle
Giraudo, Davide; Volný, Dalibor - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3769-3781
, the weak invariance principle takes place. The question whether for strictly stationary sequences with finite second … moments and a weaker type (α, β, ρ) of mixing the central limit theorem implies the weak invariance principle remained open. …
Persistent link: https://www.econbiz.de/10011065110
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Convergence to the maximum process of a fractional Brownian motion with shot noise
Wang, Yizao - In: Statistics & Probability Letters 90 (2014) C, pp. 33-41
. When the largest noise has the same order as the maximal displacement of the random walk, we establish an invariance … principle for the maximum process in the Skorohod topology. The limiting process is the maximum process of the fractional …
Persistent link: https://www.econbiz.de/10011039872
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Nonlinearity induced weak instrumentation
Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos - In: Econometric reviews 33 (2014) 5/6, pp. 676-712
Persistent link: https://www.econbiz.de/10010363893
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ARMA Sieve bootstrap unit root tests
Richard, Patrick - Département d'économique, Faculté d'administration - 2007
Augmented Dickey-Fuller unit root tests may severely overreject when the DGP is a general linear process. The use of the AR sieve bootstrap, proposed by Park (2002) and Chang and Park (2003), may alleviate this problem. We propose sieve bootstraps based on MA and ARMA approximations. Invariance...
Persistent link: https://www.econbiz.de/10005609422
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A bootstrap view on dickey-fuller control charts for AR(1) series
Steland, Ansgar - 2006
Dickey-Fuller control charts aim at monitoring a random walk until a given time horizon to detect stationarity as early as possible. That problem appears in many fields, especially in econometrics and the analysis of economic equilibria. To improve upon asymptotic control limits (critical...
Persistent link: https://www.econbiz.de/10010296705
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A bootstrap view on dickey-fuller control charts for AR(1) series
Steland, Ansgar - Institut für Wirtschafts- und Sozialstatistik, … - 2006
Dickey-Fuller control charts aim at monitoring a random walk until a given time horizon to detect stationarity as early as possible. That problem appears in many fields, especially in econometrics and the analysis of economic equilibria. To improve upon asymptotic control limits (critical...
Persistent link: https://www.econbiz.de/10009216888
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On bootstrapping panel factor series
Trapani, Lorenzo - In: Journal of Econometrics 172 (2013) 1, pp. 127-141
are shown. Firstly, a bootstrap Invariance Principle is derived pointwise in i, obtaining an upper bound for the order of …
Persistent link: https://www.econbiz.de/10011052318
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Random walks in random environments without ellipticity
Lenci, Marco - In: Stochastic Processes and their Applications 123 (2013) 5, pp. 1750-1764
general form of the quenched Invariance Principle for walks in doubly stochastic environments with zero local drift …
Persistent link: https://www.econbiz.de/10011064991
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