This is the twelfth in a series of lecture notes which, if tied together into a textbook, might be entitled “Practical Regression.” The purpose of the notes is to supplement the theoretical content of ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
1. Difference Equations -- 2. Lag Operators -- 3. Stationary ARMA Processes -- 4. Forecasting -- 5. Maximum Likelihood Estimation -- 6. Spectral Analysis -- 7 ...
We show boundedness in probability uniformly in sample size of a general M-estimator for multiple linear regression in time series. The positive criterion function for the M-estimator is assumed lower ...
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