Search Results - subject:"Limit theorem"

Asymptotic theory for nonparametric regression with spatial data

Robinson, Peter M. - 2011

regression estimates. When the cross-sectional dependence is sufficiently mild, the asymptotic variance in the central limit … theorem is the same as when observations are independent; otherwise, the rate of convergence is slower. We discuss application …

Persistent link: https://www.econbiz.de/10010288370

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …

Persistent link: https://www.econbiz.de/10009644466

Asymptotics of Asynchronicity

Bibinger, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

-frequency asymptotics and prove a feasible stable central limit theorem. The characteristics of non-synchronous observation schemes …

Persistent link: https://www.econbiz.de/10009644467

Order book dynamics in liquid markets: limit theorems and diffusion approximations

Cont, Rama; Larrard, Adrien De - HAL - 2011

high frequency. We derive a functional central limit theorem for the joint dynamics of the bid and ask queues and show that …

Persistent link: https://www.econbiz.de/10009650053

Weak convergence to the t-distribution

Schluter, Christian; Trede, Mark - Center for Quantitative Economics (CQE), … - 2011

We present a new limit theorem for random means: if the sample size is not deterministic but has a negative binomial or …

Persistent link: https://www.econbiz.de/10009320157

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...

Persistent link: https://www.econbiz.de/10009327870

On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes

Christensen, Kim; Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2011

time method) and it is robust to some dependence structure of the noise process. We show the associated central limit … theorem for the proposed estimator and provide a feasible asymptotic result. Our proofs are based on a blocking technique and …

Persistent link: https://www.econbiz.de/10009399367

Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends

Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - Center for Policy Research, Maxwell School - 2011

trends. We consider both the cases of observable and nonobservable common trends, deriving a Functional Central Limit Theorem …

Persistent link: https://www.econbiz.de/10008922715

Nonparametric estimation of risk measures of collective risks

Lauer, Alexandra; Zähle, Henryk - In: Statistics & Risk Modeling 32 (2016) 2, pp. 89-102

. For both estimators divided by n we derive a sort of Marcinkiewicz–Zygmund strong law as well as a weak limit theorem. The …

Persistent link: https://www.econbiz.de/10014621243

A central limit theorem for temporally nonhomogeneous Markov chains with applications to dynamic programming

Arlotto, Alessandro; Steele, John Michael - In: Mathematics of operations research 41 (2016) 4, pp. 1448-1468

Persistent link: https://www.econbiz.de/10011595100