The analysis of marked and weighted empirical processes of estimated residuals
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 app...
| المؤلفون الرئيسيون: | , , |
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| التنسيق: | Working paper |
| منشور في: |
University of Oxford
2019
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| _version_ | 1826277454611742720 |
|---|---|
| author | Berenguer Rico, V Nielsen, B Johansen, S |
| author_facet | Berenguer Rico, V Nielsen, B Johansen, S |
| author_sort | Berenguer Rico, V |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-06T23:29:08Z |
| format | Working paper |
| id | oxford-uuid:6b690c4a-b75e-4987-88d3-e69df93f17ef |
| institution | University of Oxford |
| last_indexed | 2024-03-06T23:29:08Z |
| publishDate | 2019 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:6b690c4a-b75e-4987-88d3-e69df93f17ef2022-03-26T19:03:52ZThe analysis of marked and weighted empirical processes of estimated residualsWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:6b690c4a-b75e-4987-88d3-e69df93f17efBulk import via SwordSymplectic ElementsUniversity of Oxford2019Berenguer Rico, VNielsen, BJohansen, SAn 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. |
| spellingShingle | Berenguer Rico, V Nielsen, B Johansen, S The analysis of marked and weighted empirical processes of estimated residuals |
| title | The analysis of marked and weighted empirical processes of estimated residuals |
| title_full | The analysis of marked and weighted empirical processes of estimated residuals |
| title_fullStr | The analysis of marked and weighted empirical processes of estimated residuals |
| title_full_unstemmed | The analysis of marked and weighted empirical processes of estimated residuals |
| title_short | The analysis of marked and weighted empirical processes of estimated residuals |
| title_sort | analysis of marked and weighted empirical processes of estimated residuals |
| work_keys_str_mv | AT berenguerricov theanalysisofmarkedandweightedempiricalprocessesofestimatedresiduals AT nielsenb theanalysisofmarkedandweightedempiricalprocessesofestimatedresiduals AT johansens theanalysisofmarkedandweightedempiricalprocessesofestimatedresiduals AT berenguerricov analysisofmarkedandweightedempiricalprocessesofestimatedresiduals AT nielsenb analysisofmarkedandweightedempiricalprocessesofestimatedresiduals AT johansens analysisofmarkedandweightedempiricalprocessesofestimatedresiduals |