Asymptotic properties of least-squares estimators in semimartingale regression models PDF Download
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Author: Norbert Christopeit
Publisher:
ISBN:
Category :
Languages : de
Pages : 14
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Author: Norbert Christopeit
Publisher:
ISBN:
Category :
Languages : de
Pages : 14
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Author: Stanford University. Department of Statistics
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
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Author: Michael Mohr
Publisher:
ISBN:
Category :
Languages : de
Pages : 25
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Author: Denzil G. Fiebig
Publisher:
ISBN:
Category : Least squares
Languages : en
Pages : 44
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Author: P. K. Bhattacharya (Mathematician)
Publisher:
ISBN:
Category : Matrices
Languages : en
Pages : 32
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For the linear regression of y on x observations the loss in estimating the true regression function by another function is considered as a loss function. For the loss function, it is shown under certain conditions that if the class of estimates which are linear in y's and have bounded risk is non-empty, then the estimate obtained by the method of least squares belongs to this class and has uniformly minimum risk in this class. A necessary and sufficient condition on the distribution function of x observations is obtained for this class to be non-empty, which unfortunately is not easy to verify in particular cases and is violated in a ver simple situation. owever, by a sequential modification of the sampling scheme, this condition may always be satisfied at the cost of an arbitrarily small increase in the expected sa ple size. I T IS ALSO SHOWN UNDER CERTAIN FURTHER C NDITIONS ON THE FAMILY OF ADMISSIBLE DISTRIB TIONS THAT THE LEAST SQUARES ESTIMATOR IS MINIMAX IN THE CLASS OF ALL ESTIMATORS. (Author).
Author: Stanford University. Department of Statistics
Publisher:
ISBN:
Category : Time-series analysis
Languages : en
Pages : 318
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The author considers estimation procedures for the moving average model of order q. Walker's method uses k sample autocovariances (k> or = q). Assume that k depends on T in such a way that k nears infinity as T nears infinity. The estimates are consistent, asymptotically normal and asymptotically efficient if k = k (T) dominates log T and is dominated by (T sub 1/2). The approach in proving these theorems involves obtaining an explicit form for the components of the inverse of a symmetric matrix with equal elements along its five central diagonals, and zeroes elsewhere. The asymptotic normality follows from a central limit theorem for normalized sums of random variables that are dependent of order k, where k tends to infinity with T. An alternative form of the estimator facilitates the calculations and the analysis of the role of k, without changing the asymptotic properties.
Author: Ian W. McKeague
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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This paper studies the estimation of functions alpha sub 1 ..., alpha sub p describing the temporal influence of p covariate processes in a regression model for semi-martingales. McKeague (1986) introduced sieve estimators for alpha sub 1 ..., alpha sub p and established consistency in sq l-norm. In this paper the asymptotic distribution theory for the integrated sieve estimators is developed. Smoothed sieve estimators are shown to be pointwise consistent and rates of convergence are provided. (Author).
Author: Jeremy Sin-hing Wu
Publisher:
ISBN:
Category :
Languages : en
Pages : 246
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Author: B.L.S. Prakasa Rao
Publisher: Routledge
ISBN: 1351416928
Category : Mathematics
Languages : en
Pages : 247
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Statistical inference carries great significance in model building from both the theoretical and the applications points of view. Its applications to engineering and economic systems, financial economics, and the biological and medical sciences have made statistical inference for stochastic processes a well-recognized and important branch of statistics and probability. The class of semimartingales includes a large class of stochastic processes, including diffusion type processes, point processes, and diffusion type processes with jumps, widely used for stochastic modeling. Until now, however, researchers have had no single reference that collected the research conducted on the asymptotic theory for semimartingales. Semimartingales and their Statistical Inference, fills this need by presenting a comprehensive discussion of the asymptotic theory of semimartingales at a level needed for researchers working in the area of statistical inference for stochastic processes. The author brings together into one volume the state-of-the-art in the inferential aspect for such processes. The topics discussed include: Asymptotic likelihood theory Quasi-likelihood Likelihood and efficiency Inference for counting processes Inference for semimartingale regression models The author addresses a number of stochastic modeling applications from engineering, economic systems, financial economics, and medical sciences. He also includes some of the new and challenging statistical and probabilistic problems facing today's active researchers working in the area of inference for stochastic processes.
Author: B. Grigelionis
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3112319028
Category : Mathematics
Languages : en
Pages : 624
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No detailed description available for "PROB. TH. MATH. ST. ( GRIGELIONIS) VOL. 2 PROC.5/1989 E-BOOK".
