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Estimation of Endogenous Volatility Models with Exponential Trends
(MDPI, 2022)
Nonlinearities, exponential trends, and Euler equations are three key features of standard dynamic volatility models of speculation, economic growth, or macroeconomic fluctuations with occasionally binding constraints and ...
Asymptotic properties of BMM-estimator in bidimensional autoregressive processes
(Elsevier Science, 2020-04-08)
In this work, we present the BMM 2D estimator, a robust estimator for the parameters of the bidimensional autoregressive model (AR-2D model). The new estimator is a two-dimensional extension of the BMM estimator for the ...
Ultrastructural elliptical models
(CANADIAN JOURNAL STATISTICS, 1996)
Dolby's (1976) ultrastructural model with no replications is investigated within the class of the elliptical distributions. General asymptotic results are given for the sample covariance matrix S in the presence of incidental ...
Mathematical and asymptotic analysis of thermoelastic shells in normal damped response contact
(Elsevier Science, 2021-12)
The purpose of this paper is twofold. We first provide the mathematical analysis of a dynamic contact problem in thermoelasticity, when the contact is governed by a normal damped response function and the constitutive ...
Continuity and differentiability of regression M functionals
(Institute of Mathematical Statistics, 2012-11)
This paper deals with the Fisher-consistency, weak continuity and differentiability of estimating functionals corresponding to a class of both linear and nonlinear regression high breakdown M estimates, which includes S ...
Records from stationary observations subject to a random trend
(Applied Probability Trust, 2015)
We prove strong convergence and asymptotic normality for the record and the weak record rate of observations of the form Y-n = X-n + T-n, n >= 1, where (X-n)(n is an element of z) is a stationary ergodic sequence of random ...
Asymptotic properties of statistical estimators using multivariate Chi-squared measurements
(Academic Press Inc Elsevier Science, 2020-08)
This paper studies the problem of estimating a parameter vector from measurements having a multivariate chi-squared distribution. Maximum likelihood estimation in this setting is unfeasible because the multivariate chi-squared ...
Estimation and Testing in Elliptical Functional Measurement Error Models
(TAYLOR & FRANCIS INC, 2010)
The purpose of this article is to investigate estimation and hypothesis testing by maximum likelihood and method of moments in functional models within the class of elliptical symmetric distributions. The main results ...
Inference in a linear functional relationship with replications
(Brazilian Statistical Association, 2021)
© Brazilian Statistical Association, 2021.In this paper, we consider a model for data analysis with measurement errors. The main objective of this work is to develop statistical inference tools, such as parameter estimation ...