Center-Outward R-Estimation for Semiparametric VARMA Models
نویسندگان
چکیده
منابع مشابه
Semiparametric estimation of duration models
This paper proposes a semiparametric method for estimating duration models when there are inequality constraints on some parameters and the error distribution may be unknown. Thus, the setting considered here is particularly suitable for practical applications. The parameters in duration models are usually estimated by a quasi-MLE. Recent advances show that a semiparametrically efficient estima...
متن کاملIdentification and Estimation in Non-Fundamental Structural VARMA Models∗
The basic assumption of a structural VARMA model (SVARMA) is that it is driven by a white noise whose components are independent and can be interpreted as economic shocks, called “structural” shocks. When the errors are Gaussian, independence is equivalent to noncorrelation and these models have to face two kinds of identification issues. The first identification problem is “static” and is due ...
متن کاملfrailtyEM: An R Package for Estimating Semiparametric Shared Frailty Models
When analyzing correlated time to event data, shared frailty (random effect) models are particularly attractive. However, the estimation of such models has proved challenging. In semiparametric models, this is further complicated by the presence of the nonparametric baseline hazard. Although recent years have seen an increased availability of software for fitting frailty models, most software p...
متن کاملR-estimation for Arma Models
This paper is devoted to the R-estimation problem for the parameter of a stationary ARMA model. The asymptotic uniform linearity of a suitable vector of rank statistics leads to the asymptotic normality of √ n-consistent R-estimates resulting from the minimization of the norm of this vector. By using a discretized √ n-consistent preliminary estimate, we construct a new class of one-step R-estim...
متن کاملSemiparametric Estimation of Locally Stationary Diffusion Models
This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. We propose estimators of all the unknown quantities based on long span data. Our estimation method makes use of the local stationarity. We establish asymptotic theory for the proposed estimators as ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2020
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2020.1832501