The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals

Publikation: Working paper › Forskning

Standard

The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals. / Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent.

2019.

Publikation: Working paper › Forskning

Harvard

Berenguer-Rico, V, Johansen, S & Nielsen, B 2019 'The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals'. https://doi.org/10.2139/ssrn.3380967

APA

Berenguer-Rico, V., Johansen, S., & Nielsen, B. (2019). The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals. University of Copenhagen. Institute of Economics. Discussion Papers (Online) Nr. 19-05 https://doi.org/10.2139/ssrn.3380967

Vancouver

Berenguer-Rico V, Johansen S, Nielsen B. The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals. 2019 maj 28. https://doi.org/10.2139/ssrn.3380967

Author

Berenguer-Rico, Vanessa ; Johansen, Søren ; Nielsen, Bent. / The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals. 2019. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-05).

Bibtex

@techreport{e87b775bfc0a4df1b92c233bc0c31fcf,
title = "The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals",
abstract = "An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by applying least squares to the selected observations. In this case, the weights and marks represent powers of the regressors and the regression errors, respectively. The inclusion of marks is a non-trivial extention to previous theory and requires refined martingale arguments. ",
keywords = "1-Step Huber-Skip; Non-Stationarity; Robust Statistics; Stationarity, 1-Step Huber-Skip, Non-Stationarity, Robust Statistics, Stationarity, C130",
author = "Vanessa Berenguer-Rico and S{\o}ren Johansen and Bent Nielsen",
year = "2019",
month = may,
day = "28",
doi = "10.2139/ssrn.3380967",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",
number = "19-05",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals

AU - Berenguer-Rico, Vanessa

AU - Johansen, Søren

AU - Nielsen, Bent

PY - 2019/5/28

Y1 - 2019/5/28

N2 - An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by applying least squares to the selected observations. In this case, the weights and marks represent powers of the regressors and the regression errors, respectively. The inclusion of marks is a non-trivial extention to previous theory and requires refined martingale arguments.

AB - An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by applying least squares to the selected observations. In this case, the weights and marks represent powers of the regressors and the regression errors, respectively. The inclusion of marks is a non-trivial extention to previous theory and requires refined martingale arguments.

KW - 1-Step Huber-Skip; Non-Stationarity; Robust Statistics; Stationarity

KW - 1-Step Huber-Skip

KW - Non-Stationarity

KW - Robust Statistics

KW - Stationarity

KW - C130

U2 - 10.2139/ssrn.3380967

DO - 10.2139/ssrn.3380967

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals

ER -

ID: 248549982