Asymptotic inference for periodic ARCH processes

2011 ◽  
Vol 19 (3) ◽  
Author(s):  
Ines Lescheb
Keyword(s):  
Asymptotic Inference ◽  
Arch Processes

scholarly journals Asymptotic Inference for Optimal Rerandomization Designs

2021 ◽  
Vol 1 (1) ◽  
pp. 49-58
Author(s):  
Mårten Schultzberg ◽  
Per Johansson
Keyword(s):  
Experimental Design ◽  
Normal Distribution ◽  
Mahalanobis Distance ◽  
Design Strategy ◽  
Sampling Distribution ◽  
Optimal Designs ◽  
Asymptotic Inference ◽  
Optimal Allocations ◽  
Asymptotic Sampling

AbstractRecently a computational-based experimental design strategy called rerandomization has been proposed as an alternative or complement to traditional blocked designs. The idea of rerandomization is to remove, from consideration, those allocations with large imbalances in observed covariates according to a balance criterion, and then randomize within the set of acceptable allocations. Based on the Mahalanobis distance criterion for balancing the covariates, we show that asymptotic inference to the population, from which the units in the sample are randomly drawn, is possible using only the set of best, or ‘optimal’, allocations. Finally, we show that for the optimal and near optimal designs, the quite complex asymptotic sampling distribution derived by Li et al. (2018), is well approximated by a normal distribution.

Robust estimates for arch processes

2002 ◽  
Vol 23 (3) ◽  
pp. 341-375 ◽  
Author(s):  
NORA MULER ◽  
VICTOR J. YOHAI
Keyword(s):  
Robust Estimates ◽  
Arch Processes

scholarly journals Asymptotic inference for nearly unstable multidimensional AR processes

1996 ◽  
Vol 41 (3) ◽  
pp. 703-710
Author(s):  
Gyula Pap ◽  
Gyula Pap ◽  
Martien C. A. Van Zuijlen ◽  
Martien C. A. Van Zuijlen
Keyword(s):  
Asymptotic Inference

A Stastistical Analysis of Cointegration for I(2) Variables

1995 ◽  
Vol 11 (1) ◽  
pp. 25-59 ◽  
Author(s):  
Søren Johansen
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Asymptotic Distribution ◽  
Estimation Procedure ◽  
Var Model ◽  
Test Statistics ◽  
Data Set ◽  
Asymptotic Inference ◽  
Multivariate Test ◽  
Reduced Rank

This paper discusses inference for I(2) variables in a VAR model. The estimation procedure suggested consists of two reduced rank regressions. The asymptotic distribution of the proposed estimators of the cointegrating coefficients is mixed Gaussian, which implies that asymptotic inference can be conducted using the χ2 distribution. It is shown to what extent inference on the cointegration ranks can be conducted using the tables already prepared for the analysis of cointegration of I(1) variables. New tables are needed for the test statistics to control the size of the tests. This paper contains a multivariate test for the existence of I(2) variables. This test is illustrated using a data set consisting of U.K. and foreign prices and interest rates as well as the exchange rate.

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