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General 𝑀-Estimators in the Presence of Nuisance Parameters. Skew Projection Technique
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N. Lazrieva
Veröffentlicht/Copyright:
3. März 2010
Abstract
A multidimensional parametric filtered statistical model is considered, the notions of the regularity and ergodicity of the model, as well as the notion of a general 𝑀-estimator are studied. A skew projection technique is proposed, by which we construct an 𝑀-estimator of the parameter of interest in the presence of nuisance parameters, which is asymptotically normal with the zero mean and the same covariance matrix as the corresponding block of the asymptotic covariance matrix of the full parameter's 𝑀-estimator.
Received: 2003-01-10
Published Online: 2010-03-03
Published in Print: 2003-June
© Heldermann Verlag
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Artikel in diesem Heft
- On ARU-Resolutions of Uniform Spaces
- On the Dimension Modulo Classes of Topological Spaces and Free Topological Groups
- On the Uniform Convergence and 𝐿-Convergence of Double Fourier Series with Respect to the Walsh–Kaczmarz System
- Dynamic Programming and Mean-Variance Hedging in Discrete Time
- Extending Quasi-Invariant Measures by Using Subgroups of a Given Group
- Representation of Solutions of Some Boundary Value Problems of Elasticity by a Sum of the Solutions of Other Boundary Value Problems
- General 𝑀-Estimators in the Presence of Nuisance Parameters. Skew Projection Technique
- A Unified Characterization of 𝑞-Optimal and Minimal Entropy Martingale Measures by Semimartingale Backward Equations
- On the Existence of Continuous Modifications of Vector-Valued Random Fields
- Weak Convergence of a Dirichlet-Multinomial Process
- Time-Dependent Barrier Options and Boundary Crossing Probabilities
- On Separation Properties for Families of Probability Measures
- Oscillation Theorems of Nonlinear Difference Equations of Second Order
- On Bounds for the Characteristic Functions of Some Degenerate Multidimensional Distributions
- Estimates of Fourier Coefficients
- On Approximate Large Deviations for 1D Diffusion
