Weighted Empirical Processes in Dynamic Nonlinear Models

Name: Weighted Empirical Processes in Dynamic Nonlinear Models
Price: 38.48 USD
Availability: InStock
ISBN: 9780387954769

ISBN-10: 0387954767

ISBN-13: 9780387954769

Edition: 2nd 2002 (Revised)

Authors: Hira L. Koul

List price: $54.99

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Description:

This book presents a unified approach for obtaining the limiting distributions of minimum distance, M and R estimators corresponding to non-smooth underlying scores in a large class of dynamic non-linear models including ARCH models. It also 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 equicontinuity of certain basic weighted residual empirical processes in the uniform and L2 metrics. The contents of this monograph should be useful to graduate students and research scholars in statistics,…

Book details

List price: $54.99
Edition: 2nd
Copyright year: 2002
Publisher: Springer New York
Publication date: 6/13/2002
Binding: Paperback
Pages: 425
Size: 6.10" wide x 9.25" long x 1.00" tall
Weight: 3.036
Language: English



Preface to the Second Edition


Preface to the First Edition


Notation and Conventions



Introduction


Weighted Empirical Processes


M-, R- and Scale Estimators


M.D. Estimators & Goodness-of-fit Tests


R.W.E. Processes and Dynamic Models



Asymptotic Properties of W.E.P.'s


Weak Convergence


AUL of Residual W.E.P.'s


Some Additional Results for W.E.P.'s



Linear Rank and Signed Rank Statistics


AUL of Linear Rank Statistics


AUL of Linear Signed Rank Statistics


Weak Convergence of Rank and Signed Rank W.E.P.'s



M. R. and Some Scale Estimators


M-Estimators


Distributions of Some Scale Estimators


R-Estimators


Estimation of Q(f)



Minimum Distance Estimators


Definitions of M.D. Estimators


Finite Sample Properties


A General M. D. Estimator


Asymptotic Uniform Quadraticity


Distributions, Efficiency & Robustness



Goodness-of-fit Tests in Regression


The Supremum Distance Tests


L[subscript 2]-Distance Tests


Testing with Unknown Scale


Testing for the Symmetry of the Errors


Regression Model Fitting



Autoregression


AUL of W[subscript h] and F[subscript n]


GM- and GR- Estimators


Minimum Distance Estimation


Autoregression Quantiles and Rank Scores


Goodness-of-fit Testing for F


Autoregressive Model Fitting



Nonlinear Autoregression


AR Models


ARCH Models



Appendix


Appendix



Bibliography