ISBN: 9780387954769 - weighted empirical processes in dynamic nonlinear models: 166 (lecture notes in statistics, 166) (17 resultados)

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Condición: New. pp. 448 2nd Edition.

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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book presents a unified approach for obtaining the limiting distributions of minimum distance. It discusses classes of goodness-of-t tests for fitting an error distribution in some of these models and/or fitting a regression-autoregressive function without assuming the knowledge of the error distribution. The main tool is the asymptotic equi-continuity of certain basic weighted residual empirical processes in the uniform and L2 metrics. 448 pp. Englisch.…

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Kartoniert / Broschiert. Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This book presents a unified approach for obtaining the limiting distributions of minimum distance. It discusses classes of goodness-of-t tests for fitting an error distribution in some of these models and/or fitting a regression-autoregressive function .…

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Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - The role of the weak convergence technique via weighted empirical processes has proved to be very useful in advancing the development of the asymptotic theory of the so called robust inference procedures corresponding to non-smooth score functions from linear models to nonlinear dynamic models in the 1990's. This monograph is an ex panded version of the monograph Weighted Empiricals and Linear Models, IMS Lecture Notes-Monograph, 21 published in 1992, that includes some aspects of this development. The new inclusions are as follows. Theorems 2. 2. 4 and 2. 2. 5 give an extension of the Theorem 2. 2. 3 (old Theorem 2. 2b. 1) to the unbounded random weights case. These results are found useful in Chapters 7 and 8 when dealing with ho moscedastic and conditionally heteroscedastic autoregressive models, actively researched family of dynamic models in time series analysis in the 1990's. The weak convergence results pertaining to the partial sum process given in Theorems 2. 2. 6 . and 2. 2. 7 are found useful in fitting a parametric autoregressive model as is expounded in Section 7. 7 in some detail. Section 6. 6 discusses the related problem of fit ting a regression model, using a certain partial sum process. Inboth sections a certain transform of the underlying process is shown to provide asymptotically distribution free tests. Other important changes are as follows. Theorem 7. 3.…

Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This monograph will be useful to graduate students and researchers in statistics, econometrics, and finance.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 448 pp. Englisch.