Local M-estimation with discontinuous criterion for dependent and limited observations

DOI10.1214/17-AOS1552zbMath1394.62058arXiv1610.02753OpenAlexW2530688106MaRDI QIDQ1747741

Myung Hwan Seo, Taisuke Otsu

Publication date: 27 April 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.02753

zbMATH Keywords

maximal inequalitypartial identificationmixing processcube root asymptoticsparameter-dependent localization

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Functional limit theorems; invariance principles (60F17)

Related Items (8)

Factor-driven two-regime regression ⋮ Best subset binary prediction ⋮ Testing stochastic dominance with many conditioning variables ⋮ Semiparametric identification and estimation of discrete choice models for bundles ⋮ Local M-estimation with discontinuous criterion for dependent and limited observations ⋮ Robust inference for threshold regression models ⋮ Optimal linear discriminators for the discrete choice model in growing dimensions ⋮ Quantile regression approach to conditional mode estimation

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