Showing 1 - 3 of 3
The problem of subsampling in two-sample and K-sample settings is addressed where both the data and the statistics of interest take values in general spaces. We focus on the case where each sample is a stationary time series, and construct subsampling confidence intervals and hypothesis tests...
Persistent link: https://www.econbiz.de/10008521086
The problem of nonparametric estimation of a multivariate density function is addressed. In particular, a general class of estimators with favorable asymptotic performance (bias, variance, rate of convergence) is proposed. The proposed estimators are characterized by the flatness near the origin...
Persistent link: https://www.econbiz.de/10005153010
Many applied problems require a covariance matrix estimator that is not only invertible, but also well-conditioned (that is, inverting it does not amplify estimation error). For large-dimensional covariance matrices, the usual estimator--the sample covariance matrix--is typically not...
Persistent link: https://www.econbiz.de/10005199670