Download or read book Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form written by Dufour, Jean-Marie and published by Montréal : CIRANO. This book was released on 2005 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form written by Jean-Marie Dufour and published by Centre interuniversitaire de recherche en économie quantitative. This book was released on 2005* with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Distributions for Some Quasi efficient Estimators in Echelon VARMA Models written by Jean-Marie Dufour and published by . This book was released on 2011 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Statistical Modeling and Analysis for Complex Data Problems written by Pierre Duchesne and published by Springer Science & Business Media. This book was released on 2005-12-05 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reviews some of today’s more complex problems, and reflects some of the important research directions in the field. Twenty-nine authors – largely from Montreal’s GERAD Multi-University Research Center and who work in areas of theoretical statistics, applied statistics, probability theory, and stochastic processes – present survey chapters on various theoretical and applied problems of importance and interest to researchers and students across a number of academic domains.

Download or read book Asymptotic Distributions for Quasi efficient Estimators in Echelon VARMA Models written by Jean-Marie Dufour and published by . This book was released on 2015 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Mathematical Reviews written by and published by . This book was released on 2006 with total page 1052 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Distribution of the Bias Corrected Least Squares Estimators in Measurement Error Linear Regression Models Under Long Memory written by Hira Koul and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article derives the consistency and asymptotic distribution of the bias corrected least squares estimators (LSEs) of the regression parameters in linear regression models when covariates have measurement error (ME) and errors and covariates form mutually independent long memory moving average processes. In the structural ME linear regression model, the nature of the asymptotic distribution of suitably standardized bias corrected LSEs depends on the range of the values of where ,, and are the LM parameters of the covariate, ME and regression error processes respectively. This limiting distribution is Gaussian when and non-Gaussian in the case . In the former case some consistent estimators of the asymptotic variances of these estimators and a log()-consistent estimator of an underlying LM parameter are also provided. They are useful in the construction of the large sample confidence intervals for regression parameters. The article also discusses the asymptotic distribution of these estimators in some functional ME linear regression models, where the unobservable covariate is non-random. In these models, the limiting distribution of the bias corrected LSEs is always a Gaussian distribution determined by the range of the values of )-)

Download or read book On the Numerical Evaluation of the Theoretical Variance Covariance Matrix of Least Squares Estimators for Echelon Form VARMA Models written by Moses O. Salau and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Properties of Some Estimators in Moving Average Models written by Stanford University. Department of Statistics and published by . This book was released on 1975 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author considers estimation procedures for the moving average model of order q. Walker's method uses k sample autocovariances (k> or = q). Assume that k depends on T in such a way that k nears infinity as T nears infinity. The estimates are consistent, asymptotically normal and asymptotically efficient if k = k (T) dominates log T and is dominated by (T sub 1/2). The approach in proving these theorems involves obtaining an explicit form for the components of the inverse of a symmetric matrix with equal elements along its five central diagonals, and zeroes elsewhere. The asymptotic normality follows from a central limit theorem for normalized sums of random variables that are dependent of order k, where k tends to infinity with T. An alternative form of the estimator facilitates the calculations and the analysis of the role of k, without changing the asymptotic properties.

Download or read book Asymptotic Distributions Basic Linear Algebra Linear Models written by and published by . This book was released on 1977 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Distribution of Maximum Likelihood Estimators in Linear Models with Autoregressive Disturbances written by Clifford G. Hildreth and published by . This book was released on 1966 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hildreth and Lu proposed a method for obtaining maximum likelihood estimates of linear model coefficients whose disturbances are generated by a stationary linear first-order autoregressive process with unknown autoregression coefficient. Until the present study was performed, consistency was the only property that had been shown for these estimates. This memorandum shows that the estimates of coefficients of independent variables and the estimate of the autoregression coefficient have a limiting joint multivariate-normal distribution, with the estimate of autoregression distributed independently of the estimates of coefficients of independent variables. This asymptotic covariance matrix of these latter estimates is the same as that of the best linear unbiased estimates for a model in which the autoregression coefficient is known. (Author).

Download or read book Asymptotic Distributions Basic Linear Algebra and Linear Models Introduction and Least Squares Estimation written by and published by . This book was released on 1979 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Properties of QML Estimators for VARMA Models with Time dependent Coefficients written by Abdelkamel Alj and published by . This book was released on 2015 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Distributions Basic Linear Algebra and Linear Models Introduction and Least Squares Estimation written by and published by Open University Press. This book was released on 1979 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Distributions Basic Linear Algebra Linear Models Introduction and Least Squares Estimation written by and published by . This book was released on 1977 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymptotic Distribution of the Maximum Likelihood Estimator for a Stochastic Frontier Function Model with a Singular Information Matrix written by Lung-Fei Lee and published by . This book was released on 1992 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Multivariate Time Series Analysis written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2013-11-11 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible guide to the multivariate time series tools used in numerous real-world applications Multivariate Time Series Analysis: With R and Financial Applications is the much anticipated sequel coming from one of the most influential and prominent experts on the topic of time series. Through a fundamental balance of theory and methodology, the book supplies readers with a comprehensible approach to financial econometric models and their applications to real-world empirical research. Differing from the traditional approach to multivariate time series, the book focuses on reader comprehension by emphasizing structural specification, which results in simplified parsimonious VAR MA modeling. Multivariate Time Series Analysis: With R and Financial Applications utilizes the freely available R software package to explore complex data and illustrate related computation and analyses. Featuring the techniques and methodology of multivariate linear time series, stationary VAR models, VAR MA time series and models, unitroot process, factor models, and factor-augmented VAR models, the book includes: • Over 300 examples and exercises to reinforce the presented content • User-friendly R subroutines and research presented throughout to demonstrate modern applications • Numerous datasets and subroutines to provide readers with a deeper understanding of the material Multivariate Time Series Analysis is an ideal textbook for graduate-level courses on time series and quantitative finance and upper-undergraduate level statistics courses in time series. The book is also an indispensable reference for researchers and practitioners in business, finance, and econometrics.