| 1. |
- Azmoodeh, Ehsan, et al.
(författare)
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Drift parameter estimation for fractional Ornstein-Uhlenbeck process of the second kind
- 2015
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Ingår i: Statistics (Berlin). - : Informa UK Limited. - 0233-1888 .- 1029-4910. ; 49:1, s. 1-18
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Tidskriftsartikel (refereegranskat)abstract
- The fractional Ornstein-Uhlenbeck process of the second kind (fOU(2)) is the solution of the Langevin equation with driving noise where B is a fractional Brownian motion with Hurst parameter H(0, 1). In this article, in the case H>1/2, we prove that the least-squares estimator introduced in [Hu Y, Nualart D. Parameter estimation for fractional Ornstein-Uhlenbeck processes. Stat. Probab. Lett. 2010;80(11-12):1030-1038], provides a consistent estimator. Moreover, using central limit theorem for multiple Wiener integrals, we prove asymptotic normality of the estimator valid for the whole range H(1/2, 1).
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| 2. |
- Bodnar, Olha, senior lecturer, 1979-, et al.
(författare)
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CUSUM control schemes for monitoring the covariance matrix of multivariate time series
- 2016
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Ingår i: Statistics (Berlin). - : Taylor & Francis. - 0233-1888 .- 1029-4910. ; 51:4, s. 722-744
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Tidskriftsartikel (refereegranskat)abstract
- Modified cumulative sum (CUSUM) control charts and CUSUM schemes for residuals are suggested to detect changes in the covariance matrix of multivariate time series. Several properties of these schemes are derived when the in-control process is a stationary Gaussian process. A Monte Carlo study reveals that the proposed approaches show similar or even better performance than the schemes based on the multivariate exponentially weighted moving average (MEWMA) recursion. We illustrate how the control procedures can be applied to monitor the covariance structure of developed stock market indices.
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| 3. |
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| 4. |
- Larsson, Rolf, 1962-, et al.
(författare)
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Likelihood Ratio Tests for a Unit Root in Panels with Random Effects
- 2017
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Ingår i: Statistics (Berlin). - : Informa UK Limited. - 0233-1888 .- 1029-4910. ; 51:3, s. 627-654
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Tidskriftsartikel (refereegranskat)abstract
- Because of the fixed heterogeneity of their models, most panel unit root tests impose restrictions on the rate at which the number of time periods, T, and the number of rosssection units, N, go to infinity. A common example of such a restriction is N/T → 0, which in practice means that T >> N, a condition that is not always met. In the current paper the heterogeneity is given a parsimonious random effects specification, which is used as a basis for developing a new likelihood ratio test for a unit root. The asymptotic analysis shows that the new test is valid for all (N, T) expansion paths satisfying N/T5 → 0, which represents a substantial improvement when compared to the existing fixed effects literature.
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| 5. |
- Pingel, Ronnie, et al.
(författare)
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Effects of correlated covariates on the asymptotic efficiency of matching and inverse probability weighting estimators for causal inference
- 2015
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Ingår i: Statistics (Berlin). - : Informa UK Limited. - 0233-1888 .- 1029-4910. ; 49:4, s. 795-814
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Tidskriftsartikel (refereegranskat)abstract
- In observational studies, the overall aim when fitting a model for the propensity score is to reduce bias for an estimator of the causal effect. To make the assumption of an unconfounded treatment plausible researchers might include many, possibly correlated, covariates in the propensity score model. In this paper, we study how the asymptotic efficiency of matching and inverse probability weighting estimators for average causal effects change when the covariates are correlated. We investigate the case with multivariate normal covariates, a logistic model for the propensity score and linear models for the potential outcomes and show results under different model assumptions. We show that the correlation can both increase and decrease the large sample variances of the estimators, and that the correlation affects the asymptotic efficiency of the estimators differently, both with regard to direction and magnitude. Moreover, the strength of the confounding towards the outcome and the treatment plays an important role.
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| 6. |
- Velilla, Santiago, et al.
(författare)
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A new diagnostic tool for VARMA(p,q) models
- 2019
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Ingår i: Statistics (Berlin). - : Informa UK Limited. - 0233-1888 .- 1029-4910. ; 53:4, s. 866-884
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Tidskriftsartikel (refereegranskat)abstract
- A new diagnostic method for VARMA(p,q) time series models is introduced. The procedure is based on a statistic that generalizes to a multivariate setting the properties of the usual univariate ARMA(p,q) residual correlations. A multiple version of the cumulative periodogram statistic is also suggested. Simulation studies and one real data application are presented.
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