A class of minimum distance estimators in Markovian multiplicative error models

DOI10.1007/s13571-021-00274-xOpenAlexW4210544832MaRDI QIDQ6108880

Narayana Balakrishna, Indeewara Perera, Hira L. Koul

Publication date: 30 June 2023

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://eprints.whiterose.ac.uk/183522/1/MDests-MEM-Sankhya-Author-Accepted%20-%20Indeewara%20BS%20Perera.pdf

zbMATH Keywords

GMM estimatormarked empirical process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A family of autoregressive conditional duration models
• A multiple indicators model for volatility using intra-daily data
• Fitting a two phase threshold multiplicative error model
• A misspecification test for multiplicative error models of non-negative time series processes
• Weak convergence of a self-consistent estimator of the survival function with doubly censored data
• Minimum distance estimation in linear regression with unknown error distributions
• Minimum distance estimation and goodness-of-fit tests in first-order autoregression
• Nonparametric model checks for regression
• Weighted empirical processes in dynamic nonlinear models.
• Diagnostic checking of Markov multiplicative error models
• Nonparametric model checks for time series
• Pathologies of some minimum distance estimators
• The ``automatic robustness of minimum distance functionals
• Modeling the interdependence of volatility and inter-transaction duration processes.
• Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
• Bootstrap based probability forecasting in multiplicative error models
• A minimum distance lack-of-fit test in a Markovian multiplicative error model
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• On a generalization of the Glivenko-Cantelli theorem
• On a measure of lack of fit in time series models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS
• A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models