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Multivariate tail copula: modeling and estimation

Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang - 2006

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...

Persistent link: https://www.econbiz.de/10010266194

Estimating tail dependence of elliptical distributions

Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang - 2006

Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution. In this...

Persistent link: https://www.econbiz.de/10010266221

Asymptotic properties of the weighted average least squares (WALS) estimator

De Luca, Giuseppe; Magnus, Jan; Peracchi, Franco - 2022

We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown...

Persistent link: https://www.econbiz.de/10013356478

Estimating a gradual parameter change in an AR(1)-process

Hušková, Marie; Prášková, Zuzana; Steinebach, Josef G. - In: Metrika 85 (2021) 7, pp. 771-808

Persistent link: https://www.econbiz.de/10014497477

The quarter median

Baringhaus, Ludwig; Grübel, Rudolf - In: Metrika 85 (2021) 4, pp. 419-458

We introduce and discuss a multivariate version of the classical median that is based on an equipartition property with respect to quarter spaces. These arise as pairwise intersections of the half-spaces associated with the coordinate hyperplanes of an orthogonal basis. We obtain results on...

Persistent link: https://www.econbiz.de/10014497608

Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models

Tinkl, Fabian - 2013

In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of …

Persistent link: https://www.econbiz.de/10010312004

A note on estimating censored quantile regressions

Fitzenberger, Bernd - 1994

This note is concerned with estimating censored quantile regressions (CQR). As its major contribution, a' new algorithm, called BRCENS, is developed as an adaption of the Barrodale-Roberts algorithm for the standard quantile regression problem. In a subsequent simulation study, BRCENS performs...

Persistent link: https://www.econbiz.de/10010332101

Maximum Likelihood Estimation for Generalized Autoregressive Score Models

Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2014

We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, asymptotic normality …

Persistent link: https://www.econbiz.de/10010377233

Maximum likelihood estimation for non-stationary location models with mixture of normal distributions

Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; … - 2022

robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …

Persistent link: https://www.econbiz.de/10012797266

Truncated sum-of-squares estimation of fractional time series models with generalized power law trend

Hualde, Javier; Nielsen, Morten Ørregaard - 2021

We consider truncated (or conditional) sum-of-squares estimation of a parametric fractional time series model with an … consistency (which is a prerequisite for proving asymptotic normality) is challenging due to non-uniform convergence of the … components. In contrast, we establish consistency and asymptotic normality of parameter estimates related to the stochastic …

Persistent link: https://www.econbiz.de/10012670894