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Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
continuous-time GARCH process extreme value theory generalizedOrnstein–Uhlenbeck process integrated generalized Ornstein–Uhlenbeck process
2010/3/10
We consider a positive stationary generalized Ornstein–Uhlenbeck process
Vt = e−tZ t0es− ds + V0 for t 0,and the increments of the integrated generalized Ornstein–Uhlenbeck process...
DATA-DRIVEN SCORE TESTS FOR HOMOSCEDASTIC LINEAR REGRESSION MODEL:ASYMPTOTIC RESULTS
Efficient score hypothesis testing data-driven test linear regression selection rule
2009/9/18
We describe and investigate new tests for testing the
validity of a semiparametric random-design linear regression model.
The tests were introduced in Inglot and Ledwina (2006a, b). We repeat
here ...
Asymptotic results for empirical measures of weighted sums of independent random variables
Asymptotic results empirical measures weighted sums independent random variables
2009/3/27
We investigate the asymptotic behavior of weighted sums of independent standardized random variables with uniformly bounded third moments. The sequence of weights is given by a family of rectangular m...
Asymptotic results for empirical measures of weighted sums of independent random variables
Asymptotic results empirical measures independent random variables
2009/3/23
We investigate the asymptotic behavior of weighted sums of independent standardized random variables with uniformly bounded third moments. The sequence of weights is given by a family of rectangular m...
Asymptotic Results of a High Dimensional MANOVA Test and Power Comparison When the Dimension is Large Compared to the Sample Size
Hiroshima University
2009/3/9
This paper is concerned with Dempster trace criterion for multivariate linear hypothesis which was proposed for high dimensional situation. First we derive asymptotic null and nonnull distributions of...
Linear Prediction of Long-Memory Processes：Asymptotic Results on Mean-squared Errors
Linear Prediction Long-Memory Processes Asymptotic Results Mean-squared Errors
2010/4/29
Linear Prediction of Long-Memory Processes：Asymptotic Results on Mean-squared Errors。