Search Results - subject:"Optimal rates of convergence"

Estimation of the characteristics of a Lévy process observed at arbitrary frequency

Kappus, Johanna; Reiß, Markus - 2010

-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual …

Persistent link: https://www.econbiz.de/10010270819

Estimation of the characteristics of a Lévy process observed at arbitrary frequency

Kappus, Johanna; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual …

Persistent link: https://www.econbiz.de/10008629514

Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in 'Journal of Time Series Analysis', 18 (1997), pp.49-60.)

Giraitis, Liudas; Robinson, Peter M; Samarov, Alexander - Suntory and Toyota International Centres for Economics … - 1997

There exist several estimators of the memory parameter in long-memory time series models with mean µ and the spectrum specified only locally near zero frequency. In this paper we give a lower bound for the rate of convergence of any estimator of the memory parameter as a function of the degree...

Persistent link: https://www.econbiz.de/10005797502

Nonparametric time series regression

Truong, Young - In: Annals of the Institute of Statistical Mathematics 46 (1994) 2, pp. 279-293

Persistent link: https://www.econbiz.de/10005395670