Weighted Empirical Processes in Dynamic Nonlinear Models

Koul, Hira L.

ISBN 10: 0387954767 / ISBN 13: 9780387954769

Editore: Springer 2002-06, 2002

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Dati bibliografici

• Titolo: Weighted Empirical Processes in Dynamic Nonlinear Models
• Editore: Springer 2002-06
• Data di pubblicazione: 2002
• Lingua: Inglese
• ISBN 10: 0387954767
• ISBN 13: 9780387954769
• Rilegatura: PF
• Edizione: seconda edizione
• Condizione: New

Descrizione articolo

Riassunto

This book presents a unified approach for obtaining the limiting distributions of minimum distance. It 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 equi-continuity of certain basic weighted residual empirical processes in the uniform and L2 metrics.

Contenuti

Introduction * Asymptotic Properties of W.E.P.'s * Linear Rank and Signed Rank Statistics * M, R and Some Scale Estimators * Minimum Distance Estimators * Goodness-of-fit Tests in Regression * Autoregression * Nonlinear Autoregression