Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userConsistency of a nonparametric least squares estimator in integer-valued GARCH models
106
0
0.0
(
0
)
Added by
Maximilian Wechsung
Publication date
2020
fields
Mathematical Statistics
and research's language is
English
Authors
Maximilian Wechsung
Ask ChatGPT about the research
No Arabic abstract
We consider a nonparametric version of the integer-valued GARCH(1,1) model for time series of counts. The link function in the recursion for the variances is not specified by finite-dimensional parameters, but we impose nonparametric smoothness conditions. We propose a least squares estimator for this function and show that it is consistent with a rate that we conjecture to be nearly optimal.
rate research
Read More
We study the parameter estimation problem of Vasicek Model driven by sub-fractional Brownian processes from discrete observations, and let {S_t^H,t>=0} denote a sub-fractional Brownian motion whose Hurst parameter 1/2<H<1 . The studies are as follows: firstly, two unknown parameters in the model are estimated by the least squares method. Secondly, the strong consistency and the asymptotic distribution of the estimators are studied respectively. Finally, our estimators are validated by numerical simulation.
The paper continues the authors work on the adaptive Wynn algorithm in a nonlinear regression model. In the present paper it is shown that if the mean response function satisfies a condition of `saturated identifiability, which was introduced by Pronzato cite{Pronzato}, then the adaptive least squares estimators are strongly consistent. The condition states that the regression parameter is identifiable under any saturated design, i.e., the values of the mean response function at any $p$ distinct design points determine the parameter point uniquely where, typically, $p$ is the dimension of the regression parameter vector. Further essential assumptions are compactness of the experimental region and of the parameter space together with some natural continuity assumptions. If the true parameter point is an interior point of the parameter space then under some smoothness assumptions and asymptotic homoscedasticity of random errors the asymptotic normality of adaptive least squares estimators is obtained.
We study the problem of exact support recovery based on noisy observations and present Refined Least Squares (RLS). Given a set of noisy measurement $$ myvec{y} = myvec{X}myvec{theta}^* + myvec{omega},$$ and $myvec{X} in mathbb{R}^{N times D}$ which is a (known) Gaussian matrix and $myvec{omega} in mathbb{R}^N$ is an (unknown) Gaussian noise vector, our goal is to recover the support of the (unknown) sparse vector $myvec{theta}^* in left{-1,0,1right}^D$. To recover the support of the $myvec{theta}^*$ we use an average of multiple least squares solutions, each computed based on a subset of the full set of equations. The support is estimated by identifying the most significant coefficients of the average least squares solution. We demonstrate that in a wide variety of settings our method outperforms state-of-the-art support recovery algorithms.
In model selection, several types of cross-validation are commonly used and many variants have been introduced. While consistency of some of these methods has been proven, their rate of convergence to the oracle is generally still unknown. Until now, an asymptotic analysis of crossvalidation able to answer this question has been lacking. Existing results focus on the pointwise estimation of the risk of a single estimator, whereas analysing model selection requires understanding how the CV risk varies with the model. In this article, we investigate the asymptotics of the CV risk in the neighbourhood of the optimal model, for trigonometric series estimators in density estimation. Asymptotically, simple validation and incomplete V --fold CV behave like the sum of a convex function fn and a symmetrized Brownian changed in time W gn/V. We argue that this is the right asymptotic framework for studying model selection.
We study the asymptotic properties of the SCAD-penalized least squares estimator in sparse, high-dimensional, linear regression models when the number of covariates may increase with the sample size. We are particularly interested in the use of this estimator for simultaneous variable selection and estimation. We show that under appropriate conditions, the SCAD-penalized least squares estimator is consistent for variable selection and that the estimators of nonzero coefficients have the same asymptotic distribution as they would have if the zero coefficients were known in advance. Simulation studies indicate that this estimator performs well in terms of variable selection and estimation.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
