Publikation:

Root-n-consistent estimation in partial linearmodels with long-memory errors

Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

1998

Autor:innen

Ghosh, Sucharita

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-188313
DOI (zitierfähiger Link)
https://doi.org/10.1111/1467-9469.00108
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung

Sammlungen

Mathematik und Statistik: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen in

Scandinavian journal of statistics. 1998, 25(2), pp. 345-357. Available under: doi: 10.1111/1467-9469.00108

Zusammenfassung

We consider estimation of β in the semiparametric regression model y(i) - xT(i)β + f(i/n) + ε(i) where x(i) = g(i)/n) + e(i, f and g are unknown smooth functions and the processes ε(i) and e(i) are stationary with short- or long-range dependence. For the case of i.i.d. errors, Speckman (1988) proposed a √n–consistent estimator of β. In this paper it is shown that, under suitable regularity conditions, this estimator is asymptotically unbiased and √n–consistent even if the errors exhibit long-range dependence. The orders of the finite sample bias and of the required bandwidth depend on the long-memory parameters. Simulations and a data example illustrate the method

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

long memory, long-range dependence, partial linear model, semiparametric estimation, semiparametric regression

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690BERAN, Jan, Sucharita GHOSH, 1998. Root-n-consistent estimation in partial linearmodels with long-memory errors. In: Scandinavian journal of statistics. 1998, 25(2), pp. 345-357. Available under: doi: 10.1111/1467-9469.00108
BibTex
@article{Beran1998Rootn-18831,
  year={1998},
  doi={10.1111/1467-9469.00108},
  title={Root-n-consistent estimation in partial linearmodels with long-memory errors},
  number={2},
  volume={25},
  journal={Scandinavian journal of statistics},
  pages={345--357},
  author={Beran, Jan and Ghosh, Sucharita}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/18831">
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:title>Root-n-consistent estimation in partial linearmodels with long-memory errors</dcterms:title>
    <dcterms:bibliographicCitation>Publ. in: Scandinavian journal of statistics ; 25 (1998), 2. - S. 345-357</dcterms:bibliographicCitation>
    <dc:contributor>Beran, Jan</dc:contributor>
    <dc:creator>Ghosh, Sucharita</dc:creator>
    <dc:language>eng</dc:language>
    <dc:rights>terms-of-use</dc:rights>
    <dcterms:abstract xml:lang="eng">We consider estimation of β in the semiparametric regression model y(i) - xT(i)β + f(i/n) + ε(i) where x(i) = g(i)/n) + e(i, f and g are unknown smooth functions and the processes ε(i) and e(i) are stationary with short- or long-range dependence. For the case of i.i.d. errors, Speckman (1988) proposed a √n–consistent estimator of β. In this paper it is shown that, under suitable regularity conditions, this estimator is asymptotically unbiased and √n–consistent even if the errors exhibit long-range dependence. The orders of the finite sample bias and of the required bandwidth depend on the long-memory parameters. Simulations and a data example illustrate the method</dcterms:abstract>
    <dc:creator>Beran, Jan</dc:creator>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-03-22T08:45:13Z</dcterms:available>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/18831"/>
    <dc:contributor>Ghosh, Sucharita</dc:contributor>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:issued>1998</dcterms:issued>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-03-22T08:45:13Z</dc:date>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Nein
Begutachtet
Diese Publikation teilen