Stochastic Limit Theory
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Publication:4393441
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Cited in
(only showing first 100 items - show all)- Nonparametric estimation for dependent data
- Nonparametric regression with warped wavelets and strong mixing processes
- Testing for structural change in conditional models
- Testing serial independence with functional data
- Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability
- TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
- Testing for common breaks in a multiple equations system
- Limit theorems for network dependent random variables
- Weak and strong cross-section dependence and estimation of large panels
- scientific article; zbMATH DE number 6026913 (Why is no real title available?)
- Parameter estimation in nonlinear AR-GARCH models
- Testing for parameter constancy in non-Gaussian time series
- Many instruments asymptotic approximations under nonnormal error distributions
- THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
- On asymptotic normality of certain linear rank statistics
- Testing the Null of Co-integration in the Presence of Variance Breaks
- Estimation of impulse response functions using long autoregression
- Bootstrap entropy test for general location-scale time series models with heteroscedasticity
- Myopic loss aversion and margin of safety: the risk of value investing
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Dynamic Copula-Based Markov Time Series
- Efficient estimation of factor models
- Heteroskedastic time series with a unit root
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- A uniform law for convergence to the local times of linear fractional stable motions
- Efficient semiparametric seemingly unrelated quantile regression estimation
- High-dimensional CLTs for individual Mahalanobis distances
- Testing for a unit root in a stationary ESTAR process
- Thick Pen Transformation for Time Series
- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- On the limit lognormal and other limit log-infinitely divisible laws
- Estimation and inference of the vector autoregressive process under heteroscedasticity
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- Partially adaptive estimation of autoregressive processes via a normal mixture
- Optimal rate for covariance operator estimators of functional autoregressive processes with random coefficients
- Spectral analysis of multifractional LRD functional time series
- Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
- Weak convergence of stochastic processes. With applications to statistical limit theorems
- Statistical properties of generalized discrepancies
- scientific article; zbMATH DE number 45445 (Why is no real title available?)
- LONG-RUN STRUCTURAL MODELLING
- A functional version of the Birkhoff ergodic theorem for a normal integrand: A variational approach
- Inferences in panel data with interactive effects using large covariance matrices
- Bounds for inference with nuisance parameters present only under the alternative
- Alternative tests for correct specification of conditional predictive densities
- Robust estimates for GARCH models
- A consistent nonparametric test of affiliation in auction models
- Robust estimation for ARMA models
- Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
- Robustifying multivariate trend tests to nonstationary volatility
- Stable convergence and stable limit theorems
- \(L_p\)-approximable sequences of vectors and limit distribution of quadratic forms of random variables
- Nonstationary-volatility robust panel unit root tests and the great moderation
- Estimation of variances in a heteroscedastic RCA(1) model.
- scientific article; zbMATH DE number 7240528 (Why is no real title available?)
- Consistency of kernel variance estimators for sums of semiparametric linear processes
- Variable screening for high dimensional time series
- Mixing sequences, and mixingales in quantum probability spaces
- Quantifying the data-dredging bias in structural break tests
- Infinitely stochastic micro reserving
- Asymptotics for unit root tests under Markov regime‐switching
- Darling-Erdös-type test for change detection in parameters and variance for stationary VAR models
- Structural change tests for simulated method of moments.
- Large sample properties of parameter least squares estimates for time‐varying arma models
- Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
- Asymptotic properties of conditional least-squares estimators for array time series
- A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions
- Semiparametric GMM estimation of spatial autoregressive models
- Functional‐coefficient models under unit root behaviour
- Nonparametric M-estimation for functional stationary ergodic data
- Evaluating Direct Multistep Forecasts
- INTEGRATED SCORE ESTIMATION
- A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test
- Conditional least squares and copulae in claims reserving for a single line of business
- Rate of convergence for a class of RCA estimators
- General trimmed estimation: robust approach to nonlinear and limited dependent variable models
- The portmanteau tests and the LM test for ARMA models with uncorrelated errors
- Unit root tests in three‐regime SETAR models
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Online expectation maximization based algorithms for inference in hidden Markov models
- Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
- Tests for nonlinear cointegration
- Optimal semiparametric inference for the tail index based on ratios of the largest extremes
- Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
- On a class of minimum contrast estimators for fractional stochastic processes and fields
- Risk minimization for time series binary choice with variable selection
- Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
- Leave-one-out cross-validation is risk consistent for Lasso
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- A central limit theorem for strong near-epoch dependent random variables
- Modeling statistical dependence of Markov chains via copula models
- Monitoring changes in RCA models
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
- Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models
- GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
- Potential well spectrum and hitting time in renewal processes
- Method for simulating non-linear stochastic differential equations in ℝ1
- A bootstrap procedure for panel data sets with many cross-sectional units
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