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Near Unit Root in the Spatial Autoregressive Model
Spatial autoregressive model Spatial unit root Near unit root Two stage least square Quasi-maximum likelihood estimatio
2016/1/19
This paper studies the spatial autoregressive (SAR) model for cross sectional data when the true spatial e¤ect parameter is near unity. We decompose the data generating process into an unstable compon...
Unified theoretical framework for unit root and fractional unit root
First autoregression fractional integration explosive processes unit root fractional unit
2012/11/22
To distinguish between purely fractionally integrated (FI) processes, we propose in this article an appropriate fractional Dickey-Fuller test (F-DF). This extends the familiar Dickey-Fuller (1979) typ...
Pivotal Estimation of Nonparametric Functions via Square-root Lasso
pLASSO Pivotal Estimation Square-root Lasso
2011/6/16
In a nonparametric linear regression model we study a variant of LASSO,
called pLASSO, which does not require the knowledge of the scaling parameter σ of the
noise or bounds for it. This work derive...
Parameter estimation in a spatial unit root autoregressive model
Spatial autoregressive processes unit root models
2011/3/23
Spatial autoregressive model $X_{k,\ell}=\alpha X_{k-1,\ell}+\beta X_{k,\ell-1}+\gamma X_{k-1,\ell-1}+\epsilon_{k,\ell}$ is investigated in the unit root case, that is when the parameters are on the b...
Parameter estimation in a spatial unit root autoregressive model
Spatial autoregressive processes unit root models
2011/3/22
Spatial autoregressive model $X_{k,\ell}=\alpha X_{k-1,\ell}+\beta X_{k,\ell-1}+\gamma X_{k-1,\ell-1}+\epsilon_{k,\ell}$ is investigated in the unit root case, that is when the parameters are on the b...
Inference for MA(1) processes with a root on or near the unit circle
Inference for MA(1) processes a root on or near the unit circle
2009/9/22
This paper considers maximum likelihood estimation
(MLE) for MA(1) processes when the moving average parameter is on
or near the unit circle. The asymptotic theory to be presented allows
the use of...
A Limit Law for the Root Value of Minimax Trees
Minimax Tree Limit Law Weak Convergence Analysis of Algorithms Gametree
2009/4/27
We consider minimax trees with independent, identically distributed leaf values that have a continuous distribution function FV being strictly increasing on the range where 0< FV <1. It was shown by P...
A probabilistic proof of a weak limit law for the number of cuts needed to isolate the root of a random recursive tree
weak limit law random recursive tree random walk
2009/3/23
We present a short probabilistic proof of a weak convergence result for the number of cuts needed to isolate the root of a random recursive tree. The proof is based on a coupling related to a certain ...
Renewal series and square-root boundaries for Bessel processes
Renewal series square-root boundaries Bessel processes
2009/3/23
We show how a description of Brownian exponential functionals as a renewal series gives access to the law of the hitting time of a square-root boundary by a Bessel process. This extends classical resu...
Inference on the Cointegration Rank and a Procedure for VARMA Root-Modification
cointegration rank test invertibility Jordan canonical form stationarity Whittle estimator
2009/3/6
The paper presents a feasible numerical procedure for evaluating the maximum Whittle likelihood estimates and the likelihood-ratio statistics, where to obtain the maximum Whittle likelihood estimates ...
Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric sho...