Showing 1 - 10 of 15
Persistent link: https://www.econbiz.de/10012809879
Persistent link: https://www.econbiz.de/10008875788
The Fisher--Bingham distribution is obtained when a multivariate normal random vector is conditioned to have unit length. Its normalising constant can be expressed as an elementary function multiplied by the density, evaluated at 1, of a linear combination of independent noncentral...
Persistent link: https://www.econbiz.de/10005743408
Empirical Bayes approaches to the shrinkage of empirical wavelet coefficients have generated considerable interest in recent years. Much of the work to date has focussed on shrinkage of individual wavelet coefficients in isolation. In this paper we propose an empirical Bayes approach to...
Persistent link: https://www.econbiz.de/10005743479
Let [gamma] denote the covariance function of a real stationary process on . Define a new function on [-K, K] by [lambda]K(t) = [gamma](t), t [epsilon] [-K, K]. Note that by identifying the end points of the interval, we may interpret [lambda]K as a function on the circle with circumference 2K....
Persistent link: https://www.econbiz.de/10005259250
There has been considerable recent interest in testing for a unit root in autoregressive models, especially in the context of cointegration models in econometrics. The likelihood ratio test for a unit root has non-standard asymptotic behaviour. In particular, when the errors are Gaussian, the...
Persistent link: https://www.econbiz.de/10005138330
A formula for the leading bias term in the expected value of a central order statistic from a non-i.i.d. sample is derived. This formula generalises the well-known result in the i.i.d. case and covers various situations in which the underlying observations are not independent and/or not...
Persistent link: https://www.econbiz.de/10005223348
We consider the non-central distribution of the classical Wilks' lambda statistic for testing the general linear hypothesis in MANOVA. We prove that as the dimension of the observation vector goes to infinity, Wilks' lambda obeys a central limit theorem under simple growth conditions on the...
Persistent link: https://www.econbiz.de/10005285103
In almost all documented applications, the normal-based Lugannani and Rice (1980) formula provides an extremely accurate approximation to tail probabilities. However, it would be wrong to conclude that this formula is always reliable. In the present paper, we consider an example, the first...
Persistent link: https://www.econbiz.de/10005254958
Moment inequalities for point process martingales are considered. Our main result is a point process analogue of Rosenthal's inequality for discrete-time martingales. It is also noted that this inequality generalises in a simple way to marked point process martingales.
Persistent link: https://www.econbiz.de/10008873809