Narrow search
Showing 1 - 10 of 96
Cover Image
Prediction of the Maximum Size in Wicksell's Corpuscle Problem
Takahashi, Rinya; Sibuya, Masaaki - In: Annals of the Institute of Statistical Mathematics 50 (1998) 2, pp. 361-377
Persistent link: https://www.econbiz.de/10005616093
Cover Image
The maximum size of the planar sections of random spheres and its application to metallurgy
Takahashi, Rinya; Sibuya, Masaaki - In: Annals of the Institute of Statistical Mathematics 48 (1996) 1, pp. 127-144
Persistent link: https://www.econbiz.de/10005616355
Cover Image
Prediction of the Maximum Size in Wicksell's Corpuscle Problem, II
Takahashi, Rinya; Sibuya, Masaaki - In: Annals of the Institute of Statistical Mathematics 53 (2001) 3, pp. 647-660
Persistent link: https://www.econbiz.de/10005616405
Cover Image
Tail Behavior and Breakdown Properties of Equivariant Estimators of Location
Kušnier, Jozef; Mizera, Ivan - In: Annals of the Institute of Statistical Mathematics 53 (2001) 2, pp. 244-261
Persistent link: https://www.econbiz.de/10005169167
Cover Image
Moments of Limits of Lightly Trimmed Sums of Random Vectors in the Generalized Domain of Normal Attraction of Non-Gaussian Operator-Stable Laws
Maejima, Makoto - In: Annals of the Institute of Statistical Mathematics 49 (1997) 4, pp. 737-747
Persistent link: https://www.econbiz.de/10005169271
Cover Image
Moment Estimation for Multivariate Extreme Value Distribution in a Nested Logistic Model
Shi, Daoji; Zhou, Shengsheng - In: Annals of the Institute of Statistical Mathematics 51 (1999) 2, pp. 253-264
Persistent link: https://www.econbiz.de/10005760249
Cover Image
Parametric inference and forecasting in continuously invertible volatility models
Wintenberger, Olivier; Cai, Sixiang - Volkswirtschaftliche Fakultät, … - 2011
results on univariate and multivariate GARCH type models where our estimator coincides with the QMLE. In the EGARCH(1,1)model …
Persistent link: https://www.econbiz.de/10009147705
Cover Image
Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown
Sucarrat, Genaro; Grønneberg, Steffen; Escribano, Alvaro - Volkswirtschaftliche Fakultät, … - 2013
Exponential models of Autoregressive Conditional Heteroscedasticity (ARCH) enable richer dynamics (e.g. contrarian or cyclical), provide greater robustness to jumps and outliers, and guarantee the positivity of volatility. The latter is not guaranteed in ordinary ARCH models, in particular when...
Persistent link: https://www.econbiz.de/10011185384
Cover Image
Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
Sucarrat, Genaro; Escribano, Alvaro - Volkswirtschaftliche Fakultät, … - 2013
A critique that has been directed towards the log-GARCH model is that its log-volatility specification does not exist in the presence of zero returns. A common ``remedy" is to replace the zeros with a small (in the absolute sense) non-zero value. However, this renders Quasi Maximum Likelihood...
Persistent link: https://www.econbiz.de/10011109685
Cover Image
Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Wintenberger, Olivier - Volkswirtschaftliche Fakultät, … - 2013
used by Nelson (1991) for the EGARCH(1,1) model under explicit but non observable conditions. In practice, we propose to …, called Stable QMLE (SQMLE), is strongly consistent when the observations follow an invertible EGARCH(1,1) model. We also give …
Persistent link: https://www.econbiz.de/10011113070