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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

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

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

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