Search Results - subject:"functional central limit theorem"

Testing for change in mean of heteroskedastic time series

Boutahar, Mohamed - HAL - 2010

In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, and prove the consistency of the test against the alternative of either an abrupt or smooth...

Persistent link: https://www.econbiz.de/10008855583

Testing for change in mean of heteroskedastic time series

Boutahar, Mohamed - HAL - 2010

Persistent link: https://www.econbiz.de/10008855586

A necessary moment condition for the fractional functional central limit theorem

Johansen, Søren; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2010

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x …

Persistent link: https://www.econbiz.de/10008671793

A necessary moment condition for the fractional functional central limit theorem

Johansen, Søren; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2010

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x …

Persistent link: https://www.econbiz.de/10008680679

A Necessary Moment Condition for the Fractional Functional Central Limit Theorem

Johansen, Søren; Nielsen, Morten Ørregaard - Økonomisk Institut, Københavns Universitet - 2010

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x …

Persistent link: https://www.econbiz.de/10008684785

The Half-Half Plot

Einmahl, John; Gantner, M. - Tilburg University, Center for Economic Research - 2009

. The plot displays jumps clearly and reveals further features of the regression curve. We prove a functional central limit … theorem for the empirical HH-plot, with rate of convergence 1=p n. In a simulation study the good performance of the plot is …

Persistent link: https://www.econbiz.de/10011090765

Nonparametric estimation of the service time distribution in the discrete-time GI/G/∞ queue with partial information

Schweer, Sebastian; Wichelhaus, Cornelia - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 233-253

differences”. Existing results for this approach are substantially extended by proving a functional central limit theorem for the …

Persistent link: https://www.econbiz.de/10011077903

Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval

Kim, Seonjin; Zhao, Zhibiao; Shao, Xiaofeng - In: Journal of Multivariate Analysis 133 (2015) C, pp. 277-290

functional central limit theorem for recursive nonparametric mean regression function estimates under primitive conditions and …

Persistent link: https://www.econbiz.de/10011116246

Novel panel cointegration tests emending for cross-section dependence with N fixed

Hadri, Kaddour; Kurozumi, Eiji; Rao, Yao - In: The econometrics journal 18 (2015) 3, pp. 363-411

Persistent link: https://www.econbiz.de/10011473812

Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution

Einmahl, John; Segers, J.J.J. - Tilburg University, Center for Economic Research - 2008

AMS 2000 subject classifications: Primary 62G05, 62G30, 62G32; secondary 60G70, 60F05, 60F17, JEL: C13, C14.

Persistent link: https://www.econbiz.de/10011091150

A service of the

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