Weighted Empirical Processes in Dynamic Nonlinear Models

By Hira L. Koul. 2002

229 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/40614aee4cf319a7ced028e0443e26e71deb133d

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In Statistics and Probability

Citations in the corpus

Model Checks Using Residual Marked Empirical Processes (2004, background): “(under further regularity assumptions), see Chapter 5 in Koul (2002) , and as we shall show below”
Distribution free specification tests of conditional models (2008, background): “The proof follows standard arguments when dealing with residual empirical processes, see e.g., Koul (2002) monograph.”
A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS (2006, background): “For completeness of the presentation we give some mild su¢ cient conditions under which a minimum distance estimator, see Chapter 5 in Koul (2002) and references therein, is asymptotically linear.”
Martingale transforms goodness-of-fit tests in regression models (2004, background): “For example, see Durbin (1973), Durbin, Knott and Taylor (1975), Loynes (1980), D’Agostino and Stephens (1986) and Koul (1992, 2002), among others.”
Consistent Estimation of Models Defined by Conditional Moment Restrictions (2004, methodology): “For any g the sample analog of ∫ g2(x)dPXt (x) is n−1 ∑n =1 g 2(X ) Then, we propose estimating θ0 by the sample analog of (3), that is, θ̂= arg min θ∈Θ 1 n3 n∑ =1 ( n∑ t=1 h(Yt θ)I(Xt ≤ X ) )2 This estimator is a minimum distance estimator; see Ch. 5 in Koul (2002).”
Specification Tests of Parametric Dynamic Conditional Quantiles (2010, unknown): “The weak convergence theorem that we present here is funded on results by Levental (1989), Bae and Levental (1995) and Nishiyama (2000).”
Nonparametric tests for conditional symmetry in dynamic models (2007, background): “See Theorem 2.2.3 in Koul (2002) for details.”
Self‐weighted least absolute deviation estimation for infinite variance autoregressive models (2005, methodology): “However, when we use this method for model (1.1), such as in Koul and Saleh (1995), Koenker and Zhao (1996), Davis and Dunsmuir (1997), Mukherjee (1999), Koul (2002) and Ling and McAleer (2004), this advantage disappears.”
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models (2006, background): “Assumption A3 is satisfied under mild conditions for most estimators, such as the NLSE or its robust modifications (under further regularity assumptions) (see Koul 2002, chaps.”
An analysis of the indicator saturation estimator as a robust regression (2008, background): “…weighted empirical processes with weights x t x 0 t , x t " t , " 2 t and 1 appearing in the numerator and denominators of (cid:21) (cid:12) and 2 : Weighted empirical processes have been studied by Koul (2002), but with conditions on the weights that would be too restrictive for this study.”
SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS (2004, background): “…in the limit because of the presence of extra terms in their covariance structure~se , e+g+, Boldin, 1998; Horváth, Kokoszka, and Teyssière, 2001; Koul, 2002, Ch+ 8; Berkes and Horváth, 2003; Kulperger and Yu, 2003!+ Thus the approach of Chu et al+ ~1996! cannot be readily applied+ In this…”
Inference on endogenously censored regression models using conditional moment inequalities (2009, methodology): “To avoid estimating conditional distributions (which involve smoothing parameters), we extend insights from works by Bierens (1990), Stute (1986), Koul (2002), Chen and Fan (1999) and recently Dominguez and Lobato (2004) and transform the conditional moment inequalities into unconditional ones…”