Author: Jean-Marie DufourPublisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 0
Book Description
Asymptotic Distributions for Some Quasi-efficient Estimators in Echelon VARMA Models
Author: Jean-Marie DufourPublisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 0
Book Description
Asymptotic Distributions for Quasi-efficient Estimators in Echelon VARMA Models
Author: Jean-Marie DufourAsymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
Author: Dufour, Jean-MariePublisher: Montréal : CIRANO
ISBN: 9782893825045
Category : Economics
Languages : en
Pages : 33
Book Description
Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
Author: Jean-Marie DufourPublisher: Centre interuniversitaire de recherche en économie quantitative
ISBN: 9782893825045
Category : Business enterprises
Languages : en
Pages : 0
Book Description
Asymptotic Efficiency of Statistical Estimators: Concepts and Higher Order Asymptotic Efficiency
Author: Masafumi AkahiraPublisher: Springer
ISBN: 9781461259282
Category : Mathematics
Languages : en
Pages : 242
Book Description
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.
Asymptotic Efficient Robust Estimates in Some Semiparametric Models
Author: Colin Ou WuNew Introduction to Multiple Time Series Analysis
Author: Helmut LütkepohlPublisher: Springer Science & Business Media
ISBN: 9783540262398
Category : Business & Economics
Languages : en
Pages : 792
Book Description
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.
Asymptotic Efficiency and Some Quasi-method of Moments Estimators
Author: Robert R. ReadPublisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 0
Book Description
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).
On Asymptotically Normal, Efficient Estimators
Author: Edward William BarankinPublisher:
ISBN:
Category : Mathematical statistics
Languages : en
Pages : 52
Book Description
Author: Abdelkamel Alj