Search Results - subject:"Limit theorem"

Conditional-sum-of-squares estimation of models for stationary time series with long memory

Robinson, Peter - London School of Economics (LSE) - 2006

Employing recent results of Robinson (2005) we consider the asymptotic properties of conditional-sum-of-squares (CSS) estimates of parametric models for stationary time series with long memory. CSS estimation has been considered as a rival to Gaussian maximum likelihood and Whittle estimation of...

Persistent link: https://www.econbiz.de/10010745068

Characteristic function approach to the sum of stochastic variables

Figueiredo, Annibal; Gleria, Iram; Matsushita, Raul; Da … - Volkswirtschaftliche Fakultät, … - 2006

the conditions for the central limit theorem to hold. We also consider processes that are correlated and analyze the role …

Persistent link: https://www.econbiz.de/10005621807

Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments

Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...

Persistent link: https://www.econbiz.de/10005263920

Central limit theorems for the integrated squared error of derivative estimators

Birke, Melanie - Institut für Wirtschafts- und Sozialstatistik, … - 2006

A central limit theorem for the weighted integrated squared error of kernel type estimators of the first two …

Persistent link: https://www.econbiz.de/10009216934

Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps

Vetter, Mathias; Podolskij, Mark - Institut für Wirtschafts- und Sozialstatistik, … - 2006

We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower...

Persistent link: https://www.econbiz.de/10009219823

Conditional-Sum-of-Squares Estimation ofModels for Stationary Time Series with Long Memory

Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2006

: Long memory, conditional-sum-of-squares estimation, central limit theorem, almost sure convergence … properties, it would be extraordinary if the proof for CSS were very much easier than for the other estimates. A central limit … theorem for ^ n is given in Section 3. Prior to that, in the following section, we provide the almost convergence of ^ n …

Persistent link: https://www.econbiz.de/10005670797

Turning the Wheels: The Cost Factor

Majumdar, Mukul; Mukherjee, Priya - In: Studies in Microeconomics 1 (2013) 1, pp. 81-90

Corruption scandals are increasingly becoming rampant, especially in developing countries. The recent corruption scandals in India, in particular, have led to calls for legislation to establish an independent Public Ombudsman, who will be able to initiate investigations into allegations of...

Persistent link: https://www.econbiz.de/10011137852

Maximum likelihood estimation for small noise multiscale diffusions

Spiliopoulos, Konstantinos; Chronopoulou, Alexandra - In: Statistical Inference for Stochastic Processes 16 (2013) 3, pp. 237-266

We study the problem of parameter estimation for stochastic differential equations with small noise and fast oscillating parameters. Depending on how fast the intensity of the noise goes to zero relative to the homogenization parameter, we consider three different regimes. For each regime, we...

Persistent link: https://www.econbiz.de/10010728060

The functional central limit theorem for ARMA–GARCH processes

Lee, O. - In: Economics Letters 121 (2013) 3, pp. 432-435

In this paper, we study the functional central limit theorem for ARMA–GARCH processes. We prove that, under the finite … second moment assumption, the stationary ARMA–GARCH process is geometricallyL2-NED and that the functional central limit … theorem holds. …

Persistent link: https://www.econbiz.de/10010729477

A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models

Ngatchou-Wandji, Joseph; Harel, Michel - In: Statistical Inference for Stochastic Processes 16 (2013) 3, pp. 207-236

This paper has to do with a Cramér-von Mises test for symmetry of the error distribution in a class of absolutely regular and non-necessarily stationary heteroscedastic models. The test statistic is based on the empirical characteristic function. Its convergence, as well as that of the...

Persistent link: https://www.econbiz.de/10010843771