Weighted empirical processes in dynamic nonlinear models
By: Hira L. Koul.
Contributors: Koul, H. L.
Edition: 2nd ed.
Series: Lecture notes in statistics ;; 166; Lecture notes in statistics (Springer-Verlag) ;; v. 166.
Publisher: Springer
Published: 2002
Place of publication: New York
Language: eng
Number of pages: 425
Subjects: Sampling (Statistics); Linear models (Statistics); Regression analysis; Autoregression (Statistics)
Description: 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 error distribution in some of these models and/or fitting a regression-autoregressive function without assuming the knowledge of the error distribution. The main tool is the asymptotic equicontinuity of certain basic weighted residual empirical processes in the uniform and L2 metrics. The contents of this monograph should be useful to graduate students and research scholars in statistics, econometrics, and finance. This book is a an updated edition of the author's monograph "Weighted Empirical Processes and Linear Models" (IMS Lecture Notes-Monograph 21, 1992). The new edition differs from the previous one in many ways. To mention just a few: It includes asymptotically distribution free tests for fitting a regression and/or an autoregressive models; the asymptotic distributions of auto-regression quantiles and rank scores; and above all the weak convergence of the residual empirical processes useful in nonlinear ARCH models. Hira L. Koul is a professor of statistics at Michigan State University. He is a Fellow of the IMS and an Elected Member of the International Statistical Institute. He was awarded the prestigious Humboldt Research Award for Senior Researchers in 1995. He has been on the editorial boards of the Annals of Statistics, Sankhya, and J. Indian Statistical Association. Currently he is a Coordinating Editor of the Journal of Statistical Planning and Inference, and an Associate Editor of Statistics and Probability Letters.
Notes: Includes bibliographical references (p. [414]-425).
Rev. ed. of: Weighted empiricals and linear models. c1992.