WebJan 6, 2002 · The asymptotic normality of the new estimate is shown by using a central limit theorem for Kaplan–Meier integrals. We indicate the straightforward extension of the estimation procedure under models with multiplicative relative risks, including non-proportional hazards, and to stratified and frailty models. WebApr 1, 2024 · We prove and discuss theoretical properties of these estimators, such as affine equivariance, B-robustness, asymptotic normality and asymptotic relative efficiency. ... Then, we regard these time series as empirical data and reconstruct the corresponding correlation matrices which will inevitably contain a certain amount of noise, ...
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The Asymptotic Theory of Linear Time-Series Models - JSTOR
WebLocal Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models Christian Francq * and Jean-Michel Zakoian Abstract The paper establishes the Local Asymptotic Normality (LAN) property for general conditionally heteroskedastic time series models of multiplicative form, t = ˙ t( 0) t, where the volatility ... WebView metadata, citation and similar papers at core.ac.uk brought to you by CORE provided by Elsevier - Publisher Connector JOURNAL OF MULTIVARIATE ANALYSIS 4, 262-291 (1992) … WebTheorem: Asymptotic Normality (Amemiya (1985, Theorem 4.1.3)). In addition to the assumptions of the ... Similar results are available for time series data with correlation … memphis martin