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 Math and Statistics Statistics and Probability |
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Asymptotic Theory for Sieve Estimators in Semimartingale Regression Models
Authors: Ian W. McKeague; FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS |
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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)
| Description: |
Technical rept. |
| Pages: |
35 |
| Report Date: |
MAR 86 |
| Contract Number: |
DAAG29-82-K-0168 |
| Report Number: |
A702961 |
Report Unavailable |
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