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On optimal spatial subsample size for variance estimation

Nordman, Daniel J.; Lahiri, Soumendra N. - 2002

In this paper, we consider the problem of determining the optimal block size for a spatial subsampling method for spatial processes observed on regular grids. We derive expansions for the mean square error of the subsampling variance estimator, which yields an expression for the theoretical...

Persistent link: https://www.econbiz.de/10009770911

Asymptotically valid bootstrap inference for proxy SVARs

Jentsch, Carsten; Lunsford, Kurt G. - 2019

Persistent link: https://www.econbiz.de/10012003975

Adaptive non-parametric instrumental regression in the presence of dependence

Asin, Nicolas; Johannes, Jan - In: Annals of economics and statistics 128 (2017), pp. 5-66

Persistent link: https://www.econbiz.de/10011776887

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - In: Journal of econometrics 191 (2016) 1, pp. 69-85

Persistent link: https://www.econbiz.de/10011594405

Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity

Kuersteiner, Guido M. - In: Journal of econometrics 211 (2019) 1, pp. 243-261

Persistent link: https://www.econbiz.de/10012303619

Extreme M-quantiles as risk measures : from L1 to Lp optimization

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2017

Persistent link: https://www.econbiz.de/10012266461

Regularized estimation of high-dimensional vector autoregressions with weakly dependent innovations

Masini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F. - 2020

-dimensional models. In time series context, it is mostly restricted to Gaussian autoregressions or mixing sequences. We study oracle … and strong (ff-) mixing sequences as particular examples. From a modeling perspective, it covers several multivariate …

Persistent link: https://www.econbiz.de/10012390033

On using triples to assess symmetry under weak dependence

Psaradakis, Zacharias G.; Vávra, Marián - 2020

Persistent link: https://www.econbiz.de/10012493111

Gayer, Gabi; Lieberman, Offer; Yaffe, Omer - In: Econometric reviews 38 (2019) 3, pp. 263-278

Persistent link: https://www.econbiz.de/10012181274

Tail risk inference via expectiles in heavy-tailed time series

Davison, Anthony C.; Padoan, Simone A.; Stupfler, Gilles - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 876-889

Persistent link: https://www.econbiz.de/10014448453