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Book
Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model
Authors: --- ---
Year: 1996 Publisher: Cambridge, Mass. National Bureau of Economic Research

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This paper considers the estimation of the variance of coefficients in time varying parameter models with stationary regressors. The maximum likelihood estimator has large point mass at zero. We therefore develop asymptotically median unbiased estimators and confidence intervals by inverting median functions of regression-based parameter stability test statistics, computed under the constant-parameter null. These estimators have good asymptotic relative efficiencies for small to moderate amounts of parameter variability. We apply these results to an unobserved components model of trend growth in postwar U.S. GDP: the MLE implies that there has been no change in the trend rate, while the upper range of the median-unbiased point estimates imply that the annual trend growth rate has fallen by 0.7 percentage points over the postwar period.


Book
Expansions and asymptotics for statistics
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ISBN: 9781584885900 1584885904 9780429147593 Year: 2010 Volume: 115 Publisher: Boca Raton: Chapman & Hall/CRC,

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Book
Higher order asymptotic theory for time series analysis
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ISBN: 0387975462 146123154X 9780387975467 Year: 1991 Volume: 68 Publisher: Berlin: New York: Springer,

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Book
Asymptotic analysis of random walks : light-tailed distributions
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ISBN: 1108907792 1139871307 Year: 2020 Publisher: Cambridge : Cambridge University Press,

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This is a companion book to Asymptotic Analysis of Random Walks: Heavy-Tailed Distributions by A.A. Borovkov and K.A. Borovkov. Its self-contained systematic exposition provides a highly useful resource for academic researchers and professionals interested in applications of probability in statistics, ruin theory, and queuing theory. The large deviation principle for random walks was first established by the author in 1967, under the restrictive condition that the distribution tails decay faster than exponentially. (A close assertion was proved by S.R.S. Varadhan in 1966, but only in a rather special case.) Since then, the principle has always been treated in the literature only under this condition. Recently, the author jointly with A.A. Mogul'skii removed this restriction, finding a natural metric for which the large deviation principle for random walks holds without any conditions. This new version is presented in the book, as well as a new approach to studying large deviations in boundary crossing problems. Many results presented in the book, obtained by the author himself or jointly with co-authors, are appearing in a monograph for the first time.


Book
Traffic distributions and independence : permutation invariant random matrices and the three notions of independence
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ISBN: 1470463997 Year: 2020 Publisher: Providence, Rhode Island : American Mathematical Society,

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Book
Topics on stability and periodicity in abstract differential equations
Authors: --- ---
ISBN: 128196820X 9786611968205 9812818243 9789812818249 9789812818232 9812818235 Year: 2008 Volume: v. 6 Publisher: Singapore ; Hackensack, NJ : World Scientific,

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This book presents recent methods of study on the asymptotic behavior of solutions of abstract differential equations such as stability, exponential dichotomy, periodicity, almost periodicity, and almost automorphy of solutions. The chosen methods are described in a way that is suitable to those who have some experience with ordinary differential equations. The book is intended for graduate students and researchers in the related areas.


Book
Von Mises calculus for statistical functionals
Author:
Year: 1983 Volume: 19 Publisher: New York : Springer-Verlag,


Book
Von Mises calculus for statistical functionals
Author:
ISBN: 0387908994 3540908994 1461256046 9783540908999 9780387908991 Year: 1983 Volume: 19 Publisher: New York: Springer,


Book
Rates of convergence in the central limit theorem
Author:
ISBN: 0273085654 9780273085652 Year: 1982 Volume: 62 Publisher: Boston: Pitman,

Normal approximation : new results, methods and problems
Author:
ISBN: 9067642924 3110933667 9789067642927 Year: 1998 Publisher: Utrecht: VSP,

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