Weighted empirical processes in dynamic nonlinear models.

DOI10.1007/978-1-4613-0055-7zbMath1007.62047OpenAlexW4211250240MaRDI QIDQ1607972

Publication date: 8 August 2002

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4613-0055-7

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items

Asymptotic Analysis of Iterated 1-Step Huber-Skip M-Estimators with Varying Cut-Offs, Regression Quantile and Averaged Regression Quantile Processes, Asymptotic linearity of a linear rank statistic in the case of symmetric nonidentically distributed variables, A fast algorithm for the coordinate-wise minimum distance estimation, Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models, Law of the iterated logarithm for error density estimators in nonlinear autoregressive models, Minimum distance estimation in linear regression with strong mixing errors, A law of the iterated logarithm for error density estimator in censored linear regression, Bootstrap specification tests for dynamic conditional distribution models, A class of minimum distance estimators in Markovian multiplicative error models, Tests for symmetry based on the integrated empirical process, Randomized empirical processes and confidence bands via virtual resampling, Unnamed Item, Accurate Tests and Intervals Based on Multivariate CUSUM Statistics, Weighted Empirical Minimum Distance Estimators in Berkson Measurement Error Regression Models, A note on testing symmetry of the error distribution in linear regression models, Empirical likelihood inference for error density estimators in first-order autoregression models, On weak convergence of random fields, Ridge Autoregression R-Estimation: Subspace Restriction, Asymptotics of theL_p-Norms of Density Estimators in the Nonlinear Autoregressive Models, SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS, A COMPARISON OF ALTERNATIVE APPROACHES TO SUPREMUM-NORM GOODNESS-OF-FIT TESTS WITH ESTIMATED PARAMETERS, EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS, Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models., A Quantile‐based Test for Symmetry of Weakly Dependent Processes, Discussion: The forward search: theory and data analysis, Behavior of R-estimators under measurement errors, \(M\)-estimators for regression with changing scale, Weighted empirical minimum distance estimators in linear errors-in-variables regression models, Asymptotic properties of hazard rate estimator in censored linear regression, Martingale transforms goodness-of-fit tests in regression models., The empirical process of autoregressive residuals, The quantilogram: with an application to evaluating directional predictability, Nonparametric tests for conditional symmetry in dynamic models, Distribution-free specification tests of conditional models, RANK-BASED ESTIMATION FOR GARCH PROCESSES, Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape, Inference on endogenously censored regression models using conditional moment inequalities, Bahadur representations for the median absolute deviation and its modifications, Testing the tail index in autoregressive models, Goodness-of-fit tests in linear EV regression with replications, Test for conditional quantile change in GARCH models, Limit theorems for sums of heavy-tailed variables with random dependent weights, Rank tests in regression model based on minimum distance estimates, Unnamed Item, Estimating functionals of the error distribution in parametric and nonparametric regression, Weak convergence of marked empirical processes for focused inference on \(\mathrm{AR}(p)\) vs \(\mathrm{AR}(p+1)\) stationary time series, Distribution free testing for conditional distributions given covariates, Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity, A bootstrap version of the residual-based smooth empirical distribution function, Global property of error density estimation in nonlinear autoregressive time series models, Goodness of fit test for ergodic diffusions by tick time sample scheme, Gap bootstrap methods for massive data sets with an application to transportation engineering, Rank-based inference for the single-index model, Nonparametric estimation of conditional medians for linear and related processes, Inference for semiparametric Gaussian copula model adjusted for linear regression using residual ranks, Estimating the Error Distribution in a Single-Index Model, Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors, Minimum distance estimation in normed linear spaces with Donsker-classes, Estimating linear functionals of the error distribution in nonparametric regression, A lack-of-fit test in Tobit errors-in-variables regression models, Local Walsh-average regression for semiparametric varying-coefficient models, Maximum deviation of error density estimators in censored linear regression, Estimation and hypotheses testing in boundary regression models, Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models., Asymptotic properties of M-estimators in linear and nonlinear multivariate regression models, Asymptotics of \(M\)-estimators in non-linear regression with long memory designs., Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects, Rank tests and regression rank score tests in measurement error models, Empirical process of residuals for regression models with long memory errors, Smooth Residual Bootstrap for Empirical Processes of Non‐parametric Regression Residuals, On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property, A minimum distance lack-of-fit test in a Markovian multiplicative error model, Residual empirical processes for long and short memory time series, A goodness-of-fit test of the errors in nonlinear autoregressive time series models, Prediction in moving average processes, Estimating the error distribution in multivariate heteroscedastic time-series models, Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach, Inference for conditional value-at-risk of a predictive regression, Comparison of two types of confidence intervals based on Wilcoxon-type \(R\)-estimators, One-step R-estimation in linear models with stable errors, Regression model checking with Berkson measurement errors, Strict stationarity testing and GLAD estimation of double autoregressive models, ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS, On the weighted multivariate Wilcoxon rank regression estimate, Distribution-free test in Tobit mean regression model, Comparing distribution functions of errors in linear models: a nonparametric approach, Asymptotics of kernel error density estimators in nonlinear autoregressive models, The distribution and quantiles of functionals of weighted empirical distributions when observations have different distributions, The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process, Fitting an error distribution in some heteroscedastic time series models, The Bickel--Rosenblatt test for diffusion processes, Efficient estimation of Banach parameters in semiparametric models, Goodness-of-fit testing under long memory, Sequential empirical process in autoregressive models with measurement errors, Ridge Autoregression Estimation: LS Method, Goodness-of-fit test using residuals in infinite-order autoregressive models, Efficient estimation and variable selection for infinite variance autoregressive models, Semiparametric inference of proportional odds model based on randomly truncated data, Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes, Simulation and Estimation of the Meixner Distribution, Empirical likelihood estimators for the error distribution in nonparametric regression models, Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing, Specification tests of parametric dynamic conditional quantiles, Goodness-of-fit testing of error distribution in linear measurement error models, Goodness-of-fit test for a nonlinear time series, The transfer principle: a tool for complete case analysis, Estimating the error distribution function in nonparametric regression with multivariate co\-var\-iates, Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models, Argmax-stable marked empirical processes, Estimating the innovation distribution in nonparametric autoregression, Optimal detection of Fechner-asymmetry, Empirical distribution function under heteroscedasticity, Estimation in linear regression with Laplace measurement error using Tweedie-type formula, Asymptotics of an empirical bridge of regression on induced order statistics, Goodness-of-fit problem for errors in nonparametric regression: distribution free approach, Asymptotic properties of rank estimators in a simple spatial linear regression model under spatial sampling designs, A note on the Bickel\,-\,Rosenblatt test in autoregressive time series, Goodness-of-fit testing in regression: a finite sample comparison of bootstrap methodology and Khmaladze transformation, Asymptotics of M-estimators in two-phase linear regression models., On Koul's minimum distance estimators in the regression models with long memory moving averages., BOOTSTRAP TESTS FOR THE ERROR DISTRIBUTION IN LINEAR AND NONPARAMETRIC REGRESSION MODELS, Asymptotic properties of a rank estimate in linear regression with symmetric non-identically distributed errors, Semiparametric inference for the proportional odds model with time-dependent covariates, Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach, Goodness-of-fit testing of error distribution in nonparametric ARCH(1) models