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Hall, Peter; Morton, Sally - In: Annals of the Institute of Statistical Mathematics 45 (1993) 1, pp. 69-88

Persistent link: https://www.econbiz.de/10005395613

Stationarity and invertibility of a dynamic correlation matrix

McAleer, Michael - 2017 - Revised: September 2017

the stationarity and invertibility conditions of the DCC model. The derivation of DCC from a vector random coefficient … than the returns shocks. The derivation of the regularity conditions, especially stationarity and invertibility, should … than returns shocks, as well as the associated stationarity and invertibility conditions. …

Persistent link: https://www.econbiz.de/10011715983

Semiparametric Analysis of Recurrent Events Data in the Presence of Dependent Censoring

Ghosh, Debashis; Lin, D. Y. - 2003

Dependent censoring occurs in longitudinal studies of recurrent events when the censoring time depends on the potentially unobserved recurrent event times. To perform regression analysis in this setting, we propose a semiparametric joint model that formulates the marginal distributions of the...

Persistent link: https://www.econbiz.de/10009476569

Asymptotics for Semiparametric Econometric Models: I. Estimation

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1989

This paper provides a general framework for proving the square root of T consistency and asymptotic normality of a wide variety of semiparametric estimators. The results apply in time series and cross-sectional modeling contexts. The class of estimators considered consists of estimators that can...

Persistent link: https://www.econbiz.de/10005593411

Parametric bootstrap tests for continuous and discrete distributions

Szűcs, Gábor - In: Metrika 67 (2008) 1, pp. 63-81

Persistent link: https://www.econbiz.de/10005598707

Rank tests for testing randomness of a regression coefficient in a linear regression model

Ramanathan, T.; Rajarshi, M. - In: Metrika 39 (1992) 1, pp. 113-124

Persistent link: https://www.econbiz.de/10005756351

Non-parametric Estimation for the M/G/∞ Queue

Bingham, N.; Pitts, Susan - In: Annals of the Institute of Statistical Mathematics 51 (1999) 1, pp. 71-97

Persistent link: https://www.econbiz.de/10005760191

Estimation of entropy and other functionals of a multivariate density

Joe, Harry - In: Annals of the Institute of Statistical Mathematics 41 (1989) 4, pp. 683-697

Persistent link: https://www.econbiz.de/10005760206

An Empirical Process Central Limit Theorem for Dependent Non-Identically Distributed Random Variables

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1989

This paper establishes a central limit theorem (CLT) for empirical processes indexed by smooth functions. The underlying random variables may be temporally dependent and non-identically distributed. In particular, the CLT holds for near epoch dependent (i.e., functions of mixing processes)...

Persistent link: https://www.econbiz.de/10005762481

Asymptotics for Semiparametric Econometric Models: II. Stochastic Equicontinuity and Nonparametric Kernel Estimation

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1989

This paper presents several stochastic equicontinuity results that are useful for establishing the asymptotic properties of estimators and tests in parametric, semiparametric, and nonparametric econometric models. In particular, they can be applied straightforwardly in the estimation and testing...

Persistent link: https://www.econbiz.de/10005762563