Search Results - subject:"parameter estimation"

Comparing the Fisher information in record data and random observations

Hofmann, Glenn - In: Statistical Papers 45 (2004) 4, pp. 517-528

Persistent link: https://www.econbiz.de/10008533766

Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions

Lee, Tae-Hwy; Hong, Yongmiao - Econometric Society - 2004

optimality and that its asymptotic distribution is not affected by the parameter estimation uncertainty, provided that the …

Persistent link: https://www.econbiz.de/10005329017

Parameter estimation in general state-space models using particle methods

Doucet, Arnaud; Tadić, Vladislav - In: Annals of the Institute of Statistical Mathematics 55 (2003) 2, pp. 409-422

Persistent link: https://www.econbiz.de/10005616283

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2003

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

Persistent link: https://www.econbiz.de/10005750228

Bootstrap Specification Tests for Diffusion Processes

Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

that reflect data dependence and parameter estimation error (PEE). In order to obtain asymptotically valid critical values …

Persistent link: https://www.econbiz.de/10005839064

Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification

Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

distribution tests when there is dynamic misspecification and parameter estimation error. Our approach di®ers from the literature … misspecification and parameter estimation error. In order to provide valid asymptotic critical values we suggest an extention of the … empirical process version of the block bootstrap to the case of non vanishing parameter estimation error. The findings from …

Persistent link: https://www.econbiz.de/10005839091

The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2003

-t-hat - THETA-plus)). This parameter estimation error bootstrap for recursive estimation schemes can be used to provide valid … generalization of the reality check test of White (2000) that allows for non vanishing parameter estimation error. The second is an …

Persistent link: https://www.econbiz.de/10005839094

Estimation of Cusp Location by Poisson Observations

Dachian, S. - In: Statistical Inference for Stochastic Processes 6 (2003) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10005169110

Limit results for the empirical process of squared residuals in GARCH models

Berkes, István; Horváth, Lajos - In: Stochastic Processes and their Applications 105 (2003) 2, pp. 271-298

We study the asymptotic behavior of the empirical distribution function and the empirical process of squared residuals. We prove the Glivenko-Cantelli theorem for the empirical distribution function. We show that the two-parameter empirical process converges to a Gaussian process.

Persistent link: https://www.econbiz.de/10008874321

Weiss-Hill estimator

Alves, M. - In: TEST: An Official Journal of the Spanish Society of … 10 (2001) 1, pp. 203-224

Persistent link: https://www.econbiz.de/10005613361