Showing 1 - 10 of 17
The paper continues the authors’ work (Freise et al. The adaptive Wynn-algorithm in generalized linear models with univariate response. arXiv:1907.02708, 2019) on the adaptive Wynn algorithm in a nonlinear regression model. In the present paper the asymptotics of adaptive least squares...
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This paper develops a systematic procedure of statistical inference for the ARMA model with unspecified and heavy-tailed heteroscedastic noises. We first investigate the least absolute deviation estimator (LADE) and the self-weighted LADE for the model. Both estimators are shown to be strongly...
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Testing causality-in-mean and causality-in-variance has been largely studied. However, none of the tests can detect causality-in-mean and causality-in-variance simultaneously. In this article, we introduce a factor double autoregressive (FDAR) model. Based on this model, a score test is proposed...
Persistent link: https://www.econbiz.de/10011113423
Many statistical data are imprecise due to factors such as measurement errors, computation errors, and lack of information. In such cases, data are better represented by intervals rather than by single numbers. Existing methods for analyzing interval-valued data include regressions in the metric...
Persistent link: https://www.econbiz.de/10011241468
This paper presents a new random weighting method to estimation of the stable exponent. Assume that <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$X_1, X_2, \ldots ,X_n$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <msub> <mi>X</mi> <mn>1</mn> </msub> <mo>,</mo> <msub> <mi>X</mi> <mn>2</mn> </msub> <mo>,</mo> <mo>...</mo> <mo>,</mo> <msub> <mi>X</mi> <mi>n</mi> </msub> </mrow> </math> </EquationSource> </InlineEquation> is a sequence of independent and identically distributed random variables with <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$\alpha $$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi mathvariant="italic">α</mi> </math> </EquationSource> </InlineEquation>-stable distribution G, where <InlineEquation ID="IEq3"> <EquationSource...</equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation>
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A vector autoregression with deterministic terms with no restrictions to its characteristic roots is considered. Strong consistency results and also some weak convergence results are given for a number of least squares statistics. These statistics are related to the denominator matrix of the...
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