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  • Search: subject:"Sparse transition matrix"
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Sparse transition matrix 2 -mixing 1 Asymptotic normality 1 De-biasing inference 1 Estimation theory 1 Gaussian process 1 Gauß-Prozess 1 High-dimensional time series 1 Identifiability 1 Induktive Statistik 1 Kendall’s tau 1 Latent Gaussian process 1 Lie bracket 1 Multivariate Verteilung 1 Multivariate distribution 1 Parametric estimation 1 Schätztheorie 1 Statistical inference 1 Stochastic process 1 Stochastischer Prozess 1 Time series analysis 1 Time varying Markov process 1 VAR model 1 VAR-Modell 1 Zeitreihenanalyse 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
Author
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Barsotti, Flavia 1 De Castro, Yohann 1 Espinasse, Thibault 1 Fan, Yanqin 1 Han, Fang 1 Park, Hyeonseok 1 Rochet, Paul 1
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Journal of econometrics 1 Statistics & Probability Letters 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin; Han, Fang; Park, Hyeonseok - In: Journal of econometrics 237 (2023) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10014471479
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Estimating the transition matrix of a Markov chain observed at random times
Barsotti, Flavia; De Castro, Yohann; Espinasse, Thibault; … - In: Statistics & Probability Letters 94 (2014) C, pp. 98-105
We want to recover the transition kernel P of a Markov chain X when only a sub-sequence of X is available. The time gaps between the observations are iid with unknown distribution. We propose a method to build an estimator of P under the assumption that it has some zero entries. Its asymptotic...
Persistent link: https://www.econbiz.de/10010930576
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