Author | Koul, Hira L. author |
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Title | Weighted Empirical Processes in Dynamic Nonlinear Models [electronic resource] / by Hira L. Koul |
Imprint | New York, NY : Springer New York : Imprint: Springer, 2002 |
Edition | Second Edition |
Connect to | http://dx.doi.org/10.1007/978-1-4613-0055-7 |
Descript | XVII, 425 p. 1 illus. online resource |
1 Introduction -- 1.1 Weighted Empirical Processes -- 1.2 M-, R- and Scale Estimators -- 1.3 M.D. Estimators & Goodness-of-fit Tests -- 1.4 R.W.E. Processes and Dynamic Models -- 2 Asymptotic Properties of W.E.P.โs -- 2.1 Introduction -- 2.2 Weak Convergence -- 2.3 AUL of Residual W.E.P.โs -- 2.4 Some Additional Results for W.E.P.โS -- 3 Linear Rank and Signed Rank Statistics 69 -- 3.1 Introduction -- 3.2 AUL of Lin ear Rank Statistics -- 3.3 AUL of Linear Signed Rank Statistics -- 3.4 Weak Convergence of Rank and Signed Rank W.E.P.โs -- 4 M, R and Some Scale Estimators -- 4.1 Introduction -- 4.2 M-Estimators -- 4.3 Distributions of Some Scale Estimators -- 4.4 R-Estimators -- 4.5 Est imation of Q(f) -- 5 Minimum Distance Estimators -- 5.1 Introduction -- 5.2 Definitions of M.D. Estimators -- 5.3 Finite Sample Properties -- 5.4 A General M.D. Estimator -- 5.5 Asymptotic Uniform Quadraticity -- 5.6 Distributions, Efficiency & Robustness -- 6 Goodness-of-fit Tests in Regression -- 6.1 Introducti on -- 6.2 The Supremum Distance Tests -- 6.3 L2-Distance Tests -- 6.4 Testing with Unknown Scale -- 6.5 Testing for the Symmetry of the Errors -- 6.6 Regression Model Fitting -- 7 Autoregression -- 7.1 Introduction -- 7.2 AUL of Wh and Fn -- 7.3 GM- and GR- Estimators -- 7.4 Minimum Distance Estimation -- 7.5 Autoregression Quantiles and Rank Scores -- 7.6 Goodness-of-fit Testing for F -- 7.7 Autoregressive Model Fitting -- 8 Nonlinear Autoregression 358 -- 8.1 Introduction -- 8.2 AR Models -- 8.3 ARCH Models -- Lectures Notes in Statistics