Robust estimation under error cross section dependence
نویسندگان
چکیده
منابع مشابه
Series Estimation under Cross-sectional Dependence
This paper develops an asymptotic theory of the series estimation under general crosssectional dependence and heterogeneity, covering both nonparametric and semiparametric estimates. A uniform rate of consistency, asymptotic normality and sufficient conditions for the √ n rate of convergence are established. A new data-driven studentization that dispenses with the need for "distance measures", ...
متن کاملA Nonlinear Panel Unit Root Test under Cross Section Dependence
We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-root processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to apply and accommodates cross section dependence. Monte Carlo sim...
متن کاملEstimation of Radar Cross Section of a Target under Track
In allocating radar beam for tracking a target, it is attempted to maintain the signal-to-noise ratio (SNR) of signal returning from the illuminated target close to an optimum value for efficient track updates. An estimate of the average radar cross section (RCS) of the target is required in order to adjust transmitted power based on the estimate such that a desired SNR can be realized. In this...
متن کاملBayes, E-Bayes and Robust Bayes Premium Estimation and Prediction under the Squared Log Error Loss Function
In risk analysis based on Bayesian framework, premium calculation requires specification of a prior distribution for the risk parameter in the heterogeneous portfolio. When the prior knowledge is vague, the E-Bayesian and robust Bayesian analysis can be used to handle the uncertainty in specifying the prior distribution by considering a class of priors instead of a single prior. In th...
متن کاملA Robust Distributed Estimation Algorithm under Alpha-Stable Noise Condition
Robust adaptive estimation of unknown parameter has been an important issue in recent years for reliable operation in the distributed networks. The conventional adaptive estimation algorithms that rely on mean square error (MSE) criterion exhibit good performance in the presence of Gaussian noise, but their performance drastically decreases under impulsive noise. In this paper, we propose a rob...
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: Economics Letters
سال: 2015
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2015.05.020