Showing 1 - 9 of 9
This paper presents a Hayashi–Yoshida-type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent non-synchronous points. The estimator of the covariation matrix is...
Persistent link: https://www.econbiz.de/10010681788
Two stochastic representations of multivariate geometric distributions are analyzed, both are obtained by lifting the lack-of-memory (LM) property of the univariate geometric law to the multivariate case. On the one hand, the narrow-sense multivariate geometric law can be considered a discrete...
Persistent link: https://www.econbiz.de/10011041893
We study Hoeffding decomposable exchangeable sequences with values in a finite set D={d1,…,dK}. We provide a new combinatorial characterization of Hoeffding decomposability and use this result to show that, for every K≥3, there exists a class of neither Pólya nor i.i.d. D-valued...
Persistent link: https://www.econbiz.de/10011041939
In various frameworks, to assess the joint distribution of a k-dimensional random vector X=(X1,…,Xk), one selects some putative conditional distributions Q1,…,Qk. Each Qi is regarded as a possible (or putative) conditional distribution for Xi given (X1,…,Xi−1,Xi+1,…,Xk). The Qi are...
Persistent link: https://www.econbiz.de/10011041946
The paper proposes new procedures for diagnostic checking of fitted models under the assumption of infinite-variance errors which are in the domain of attraction of a stable law. These procedures are functional of residual-based empirical processes. First, the asymptotic distributions of the...
Persistent link: https://www.econbiz.de/10011042010
We give a complete description of the rate of strong consistency of the scaled and unscaled total time on test curves, which are fundamental notions in the statistical theory of reliability and life testing. The proof is crucially based on the general Vervaat process.
Persistent link: https://www.econbiz.de/10005093876
It is well known that, asymptotically, the appropriately normalized Vervaat process behaves like one half times the squared empirical process. Considering these two processes as elements of the Lp-space, 1[less-than-or-equals, slant]p[infinity], we give a complete description of the strong and...
Persistent link: https://www.econbiz.de/10005153186
The paper presents a permutation procedure for testing reflected (or diagonal) symmetry of the distribution of a multivariate variable. The test statistics are based in empirical characteristic functions. The resulting permutation tests are strictly distribution free under the null hypothesis...
Persistent link: https://www.econbiz.de/10005160485
Bootstrap is the standard method in the spatial scan test. However, because the spatial scan statistic lacks theoretical properties, its development and connection to mainstream statistics has been limited. Using the methods of empirical processes with a few weak regularity conditions, the...
Persistent link: https://www.econbiz.de/10010702804