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The main objective for this paper is twofold. We first present a method for the derivation of an arbitrarily exact approximation to the distribution of Cramér-von Mises type functionals of any given Gaussian process X = {X(t): 0[less-than-or-equals, slant]t[less-than-or-equals, slant]1}....
Persistent link: https://www.econbiz.de/10008875537
For a sequence of partial sums ofd-dimensional independent identically distributed random vectors a corresponding multivariate renewal process is defined componentwise. Via strong invariance together with an extreme value limit theorem for Rayleigh processes, a number of weak asymptotic results...
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Aragon, Daouia, and Thomas-Agnan (2005, <italic>Econometric Theory</italic> 21, 358–389) introduced a new nonparametric frontier estimation. We prove the weak convergence of the empirical conditional quantile function. The distribution of the limit depends on the unknown conditional quantile density function....
Persistent link: https://www.econbiz.de/10005411974
We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between different reasons for these changes, such as (1) shifting means, (2) random walk behavior, and (3) constant means but innovations switching from stationary to...
Persistent link: https://www.econbiz.de/10004967765
type="main" xml:id="jtsa12095-abs-0001"There are numerous examples of functional data in areas ranging from earth science to finance where the problem of interest is to compare several functional populations. In many instances, the observations are obtained consecutively in time, and thus, the...
Persistent link: https://www.econbiz.de/10011204116
We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may...
Persistent link: https://www.econbiz.de/10010898702
Variance targeting estimation (VTE) is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood estimation (QMLE) of GARCH models. It relies on a reparameterization of the model and a first-step estimation of the unconditional variance. The remaining...
Persistent link: https://www.econbiz.de/10010970340