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 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 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 Efficiency of Statistical Estimators Concepts and Higher Order Asymptotic Efficiency written by Masafumi Akahira and published by Springer. This book was released on 2011-11-22 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is a collection of results recently obtained by the authors. Most of these have been published, while others are awaitlng publication. Our investigation has two main purposes. Firstly, we discuss higher order asymptotic efficiency of estimators in regular situa tions. In these situations it is known that the maximum likelihood estimator (MLE) is asymptotically efficient in some (not always specified) sense. However, there exists here a whole class of asymptotically efficient estimators which are thus asymptotically equivalent to the MLE. It is required to make finer distinctions among the estimators, by considering higher order terms in the expansions of their asymptotic distributions. Secondly, we discuss asymptotically efficient estimators in non regular situations. These are situations where the MLE or other estimators are not asymptotically normally distributed, or where l 2 their order of convergence (or consistency) is not n / , as in the regular cases. It is necessary to redefine the concept of asympto tic efficiency, together with the concept of the maximum order of consistency. Under the new definition as asymptotically efficient estimator may not always exist. We have not attempted to tell the whole story in a systematic way. The field of asymptotic theory in statistical estimation is relatively uncultivated. So, we have tried to focus attention on such aspects of our recent results which throw light on the area.
Download or read book Asymptotic Efficient Robust Estimates in Some Semiparametric Models written by Colin Ou Wu and published by . This book was released on 1990 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Efficiency and Some Quasi method of Moments Estimators written by Robert R. Read and published by . This book was released on 1977 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The report contains the asymptotic efficiencies of some candidate estimators which provide alternatives to maximum likelihood in some common probabilistic settings. The alternative estimators can be found with measurably less effort than solving the likelihood equations. They include the method of moments and similarly constructed estimators that involve the harmonic mean. The most successful example found deals with the negative binomial distribution. Here, the harmonic mean estimator has high efficiency in regions where the method of moments estimator has rather low efficiency. (Author).
Download or read book The Asymptotic Distributions of Some Estimators for a Factor Analysis Model written by Y. Amemiya and published by . This book was released on 1986 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asymptotic Distributions of Some Scale Estimators in Nonlinear Models With Long Memory Errors Having Infinite Variance written by and published by . This book was released on 2017 with total page 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 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 Some Applications of the Asymptotic Distribution of Likelihood Functions to the Asymptotic Efficiency of Estimates written by George G. Roussas and published by . This book was released on 1967 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2007-07-26 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Download or read book The Statistical Theory of Linear Systems written by E. J. Hannan and published by SIAM. This book was released on 2012-05-31 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published: New York: Wiley, c1988.
Download or read book Introduction to Multiple Time Series Analysis written by Helmut Lütkepohl and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 556 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.
Download or read book Current Index to Statistics Applications Methods and Theory written by and published by . This book was released on 1983 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Current Index to Statistics (CIS) is a bibliographic index of publications in statistics, probability, and related fields.
