Montag, 16. Oktober 2017, 16:45 - 17:45 iCal

ISOR Colloquium

"Asymptotic theory of M-estimators for multiple linear regression in time series (joint work with S. Johansen)"

Speaker: Bent Nielsen (Univ. Oxford)

Sky Lounge OMP1, 12th floor
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag

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We contribute to the asymptotic theory of M-estimators for multiple linear regression by analysing absolutely continuous objective functions under weak assumptions. Particular cases are the Huber-skip and quantile estimation.

We allow for a variety of regressors, both deterministic and stochastic, where the stochastic regressors can be either stationary or random walks. We prove consistency and find a stochastic expansion of the M-estimator, from which one can derive limit distributions under weak assumptions on the objective function and regressors. The results are obtained using some recent martingale results, see Johansen and Nielsen (2016), which build on an iterated version of the exponential inequality for martingales by Bercu and Touati (2008).

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651
vera.lehmwald@univie.ac.at

Erstellt am Mittwoch, 04. Oktober 2017, 11:13
Letzte Änderung am Montag, 09. Oktober 2017, 09:44