Asymptotic Theory for Sieve Estimators in Semimartingale Regression Models.

Abstract

This paper studies the estimation of functions alpha sub 1, ..., alpha sub p describing the temporal influence of p covariate processes in a regression model for semi-martingales. McKeague (1986) introduced sieve estimators for alpha sub 1, ..., alpha sub p and established consistency in sq l-norm. In this paper the asymptotic distribution theory for the integrated sieve estimators is developed. Smoothed sieve estimators are shown to be pointwise consistent and rates of convergence are provided. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1986
Accession Number
ADA169207

Entities

People

  • Ian W. Mckeague

Organizations

  • Florida State University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Classification
  • Consistency
  • Convergence
  • Data Science
  • Estimators
  • Information Science
  • Kernel Functions
  • Military Research
  • New York
  • Probability
  • Random Variables
  • Statistical Algorithms
  • Statistics
  • Stochastic Processes
  • Walsh Functions
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Statistical inference.