Local Asymptotic Normality for Independent Not Identically Distributed Observations in Semiparametric Models PDF Download
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Author: Byeong U. Park
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 12
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Book Description
Author: Byeong U. Park
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 12
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Book Description
Author: Andreas N. Philippou
Publisher:
ISBN:
Category : Asymptotic distribution (Probability theory)
Languages : en
Pages : 19
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Book Description
Author:
Publisher:
ISBN:
Category : Statistics
Languages : en
Pages : 510
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Book Description
Author:
Publisher:
ISBN:
Category : North Carolina
Languages : en
Pages : 308
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Book Description
Author: Yichun Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 85
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Book Description
Author: North-Holland Publishing Company
Publisher:
ISBN:
Category :
Languages : en
Pages : 1300
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
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Book Description
The consistency and the asymptotic normality of the least squares estimators are derived of the sinusoidal model under the assumption of stationary random error. It is observed that the model does not satisfy the standard sufficient conditions of Jennrich (1969) Wu (1981) or Kundu (1991). Recently the consistency and the asymptotic normality are derived for the sinusoidal signal under the assumption of normal error (Kundu; 1993) and under the assumptions of independent and identically distributed random variables in Kundu and Mitra (1996). This paper will generalize them. Hannan (1971) also considered the similar kind of model and establish the result after making the Fourier transform of the data for one parameter model. We establish the result without making the Fourier transform of the data. We give an explicit expression of the asymptotic distribution of the multiparameter case, which is not available in the literature. Our approach is different from Hannan's approach. We do some simulations study to see the small sample properties of the two types of estimators.
Author: Dag Tjøstheim
Publisher: Academic Press
ISBN: 0128154454
Category : Business & Economics
Languages : en
Pages : 460
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Book Description
Statistical Modeling using Local Gaussian Approximation extends powerful characteristics of the Gaussian distribution, perhaps, the most well-known and most used distribution in statistics, to a large class of non-Gaussian and nonlinear situations through local approximation. This extension enables the reader to follow new methods in assessing dependence and conditional dependence, in estimating probability and spectral density functions, and in discrimination. Chapters in this release cover Parametric, nonparametric, locally parametric, Dependence, Local Gaussian correlation and dependence, Local Gaussian correlation and the copula, Applications in finance, and more. Additional chapters explores Measuring dependence and testing for independence, Time series dependence and spectral analysis, Multivariate density estimation, Conditional density estimation, The local Gaussian partial correlation, Regression and conditional regression quantiles, and a A local Gaussian Fisher discriminant. Reviews local dependence modeling with applications to time series and finance markets Introduces new techniques for density estimation, conditional density estimation, and tests of conditional independence with applications in economics Evaluates local spectral analysis, discovering hidden frequencies in extremes and hidden phase differences Integrates textual content with three useful R packages
Author:
Publisher:
ISBN:
Category : State government publications
Languages : en
Pages : 508
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Book Description
Author: T. K. Chandra
Publisher: Alpha Science International, Limited
ISBN: 9788173192609
Category : Mathematics
Languages : en
Pages : 256
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Book Description
Starting with elementary notions of calculus, statistics and probability, the author introduces in this book the basic results of asymptotic theory through intuitive and motivated approaches with excellent exposure to various problems. Many theoretical and numerical examples have been worked out along with results that are not available in other books.
