Publikation:

From short to long memory : aggregation and estimation

Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2010

Autor:innen

Beran, Jan
Schützner, Martin
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-opus-102307
DOI (zitierfähiger Link)
https://doi.org/10.1016/j.csda.2009.05.016
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

Computational Statistics & Data Analysis. 2010, 54(11), pp. 2432-2442. Available under: doi: 10.1016/j.csda.2009.05.016

Zusammenfassung

Contemporaneous aggregation of asymptotically stationary AR(1) processes is considered where the squared random coefficients are beta-distributed. Based on the sample correlation coefficients for the individual AR(1) processes, an estimator for the parameters of the underlying beta distribution, and thus for the long memory parameter of the aggregated process, is introduced. Consistency and asymptotic normality are derived and the new estimator is shown to be asymptotically equivalent to the maximum likelihood estimator of the beta distribution.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
310 Statistik

Schlagwörter

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690BERAN, Jan, Martin SCHÜTZNER, Sucharita GHOSH, 2010. From short to long memory : aggregation and estimation. In: Computational Statistics & Data Analysis. 2010, 54(11), pp. 2432-2442. Available under: doi: 10.1016/j.csda.2009.05.016
BibTex
@article{Beran2010short-789,
  year={2010},
  doi={10.1016/j.csda.2009.05.016},
  title={From short to long memory : aggregation and estimation},
  number={11},
  volume={54},
  journal={Computational Statistics & Data Analysis},
  pages={2432--2442},
  author={Beran, Jan and Schützner, Martin 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/123456789/789">
    <dc:contributor>Beran, Jan</dc:contributor>
    <dc:contributor>Ghosh, Sucharita</dc:contributor>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dcterms:issued>2010</dcterms:issued>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dcterms:title>From short to long memory : aggregation and estimation</dcterms:title>
    <dc:language>eng</dc:language>
    <dc:creator>Schützner, Martin</dc:creator>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:48:53Z</dc:date>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:creator>Ghosh, Sucharita</dc:creator>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:abstract xml:lang="eng">Contemporaneous aggregation of asymptotically stationary AR(1) processes is considered where the squared random coefficients are beta-distributed. Based on the sample correlation coefficients for the individual AR(1) processes, an estimator for the parameters of the underlying beta distribution, and thus for the long memory parameter of the aggregated process, is introduced. Consistency and asymptotic normality are derived and the new estimator is shown to be asymptotically equivalent to the maximum likelihood estimator of the beta distribution.</dcterms:abstract>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/789"/>
    <dc:contributor>Schützner, Martin</dc:contributor>
    <dc:creator>Beran, Jan</dc:creator>
    <dc:rights>terms-of-use</dc:rights>
    <dcterms:bibliographicCitation>Publ. in: Computational Statistics &amp; Data Analysis 54 (2010), 11, pp. 2432-2442</dcterms:bibliographicCitation>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:48:53Z</dcterms:available>
  </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
Ja
Begutachtet
Diese Publikation teilen