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A note on estimating censored quantile regressions
Fitzenberger, Bernd - 1994
, called BRCENS, is developed as an adaption of the Barrodale-Roberts algorithm for the standard quantile regression problem …
Persistent link: https://www.econbiz.de/10010332101
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Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier; Nielsen, Morten Ørregaard - 2017
different forms of nonstationarity and noninvertibility. As in related settings, the proof of consistency (which is a … stochastic and deterministic components. We establish consistency and asymptotic normality under quite general circumstances …
Persistent link: https://www.econbiz.de/10011583219
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A Time-Varying Parameter Model for Local Explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018
the data generated by our model. Furthermore, we obtain the consistency and asymptotic normality of the maximum likelihood …
Persistent link: https://www.econbiz.de/10011932359
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Asymptotic properties of the weighted average least squares (WALS) estimator
De Luca, Giuseppe; Magnus, Jan; Peracchi, Franco - 2022
We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown...
Persistent link: https://www.econbiz.de/10013356478
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Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde, Javier; Nielsen, Morten Ørregaard - 2021
consistency (which is a prerequisite for proving asymptotic normality) is challenging due to non-uniform convergence of the … components. In contrast, we establish consistency and asymptotic normality of parameter estimates related to the stochastic …
Persistent link: https://www.econbiz.de/10012670894
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Asymptotic and finite sample properties for multivariate rotated GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics 9 (2021) 2, pp. 1-21
(2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second …-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth …
Persistent link: https://www.econbiz.de/10012696326
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Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; … - 2022
robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …
Persistent link: https://www.econbiz.de/10012797266
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Estimating a gradual parameter change in an AR(1)-process
Hušková, Marie; Prášková, Zuzana; Steinebach, Josef G. - In: Metrika 85 (2021) 7, pp. 771-808
Persistent link: https://www.econbiz.de/10014497477
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The quarter median
Baringhaus, Ludwig; Grübel, Rudolf - In: Metrika 85 (2021) 4, pp. 419-458
We introduce and discuss a multivariate version of the classical median that is based on an equipartition property with respect to quarter spaces. These arise as pairwise intersections of the half-spaces associated with the coordinate hyperplanes of an orthogonal basis. We obtain results on...
Persistent link: https://www.econbiz.de/10014497608
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Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2014
We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, asymptotic normality …
Persistent link: https://www.econbiz.de/10010377233