Results 21 to 30 of about 40,934 (281)
Local linear modelling of the conditional distribution function for functional ergodic data
Mathematical Modelling and Analysis, 2022 The focus of functional data analysis has been mostly on independent functional observations. It is therefore hoped that the present contribution will provide an informative account of a useful approach that merges the ideas of the ergodic theory and ...
Somia Ayad +3 more
doaj +1 more source
Inference in non stationary asymmetric garch models [PDF]
, 2013 This paper considers the statistical inference of the class of asymmetric power-transformed GARCH(1,1) models in presence of possible explosiveness. We study the explosive behavior of volatility when the strict stationarity condition is not met. This
Francq, Christian, Zakoian, Jean-Michel
core +2 more sources
Integral Least-Squares Inferences for Semiparametric Models with Functional Data
Journal of Applied Mathematics, 2014 The inferences for semiparametric models with functional data are investigated. We propose an integral least-squares technique for estimating the parametric components, and the asymptotic normality of the resulting integral least-squares estimator is ...
Limian Zhao, Peixin Zhao
doaj +1 more source
Efficient Estimation in Heteroscedastic Varying Coefficient Models
Econometrics, 2015 This paper considers statistical inference for the heteroscedastic varying coefficient model. We propose an efficient estimator for coefficient functions that is more efficient than the conventional local-linear estimator.
Chuanhua Wei, Lijie Wan
doaj +1 more source
Pseudo-Gaussian and Rank-Based Tests for First-Order Superdiagonal Bilinear Models in Panel Data
Revstat Statistical Journal, 2021 In this paper, locally asymptotically optimal (in the H´ajek-Le Cam sense) parametric, pseudo-Gaussian and rank-based procedures are proposed for the problem of testing randomness against first-order superdiagonal bilinear panel dependence (in large n ...
Aziz Lmakri +3 more
doaj +1 more source
LAMN property for hidden processes: the case of integrated diffusions [PDF]
, 2007 In this paper we prove the Local Asymptotic Mixed Normality (LAMN) property for the statistical model given by the observation of local means of a diffusion process $X$.
Gloter, Arnaud, Gobet, Emmanuel
core +4 more sources
The Local Linear M-Estimation with Missing Response Data
Journal of Applied Mathematics, 2014 This paper studies the nonparametric regressive function with missing response data. Three local linear M-estimators with the robustness of local linear regression smoothers are presented such that they have the same asymptotic normality and consistency.
Shuanghua Luo +2 more
doaj +1 more source
Discrete Dynamics in Nature and Society, 2021 In this paper, we focus on heteroscedastic partially linear varying-coefficient errors-in-variables models under right-censored data with censoring indicators missing at random.
Yuye Zou, Chengxin Wu
doaj +1 more source
Variable bandwidth local maximum likelihood type estimation for diffusion processes
Advances in Difference Equations, 2018 The method of robust approach is applied to estimate drift function and diffusion function of diffusion processes with discrete-time observations. The proposed method combines the ideas of local linear regression technique and maximum likelihood type ...
Ming T. Tang, Yun Y. Wang
doaj +1 more source
Statistical eigen-inference from large Wishart matrices [PDF]
, 2008 We consider settings where the observations are drawn from a zero-mean multivariate (real or complex) normal distribution with the population covariance matrix having eigenvalues of arbitrary multiplicity.
Edelman, Alan +3 more
core +1 more source