Weighted empirical processes in dynamic nonlinear models /
This book presents a unified approach for obtaining the limiting distributions of minimum distance, M and R estimators corresponding to non-smooth underlying scores in a large class of dynamic non-linear models including ARCH models. It also discusses classes of goodness-of-t tests for fitting an er...
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| Format: | eBook |
| Language: | English |
| Published: |
New York :
Springer,
[2002]
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| Edition: | 2nd ed. |
| Series: | Lecture notes in statistics (Springer-Verlag) ;
v. 166. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- Introduction
- Asymptotic Properties of Weighted Empirical Processes
- Linear Rank and Signed Rank Statistics
- M, R and Some Scale Estimators
- Minimum Distance Estimators
- Goodness-of-fit Tests in Regression
- Autoregression
- Nonlinear Autoregression.