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Keyword: mixing process;

3 results found.

Econometrics Paper

Local M-estimation with discontinuous criterion for dependent and limited observations

Myung Hwan Seo and Taisuke Otsu

This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume predictive region, conditional maximum scor...Read more...

17 October 2016

Econometrics Paper

Conditions for Strong and Uniform Mixing in Linear Processes

James Davidson

A sufficiency condition for strong mixing in infinite order moving average processes due to Gorodetski (1977) is extended, showing how smoothness conditions on the marginal distributions can be traded off against summabi...Read more...

1992

Econometrics Paper

The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case (Now published in Economic Theory 9 (1993), pp.402-412.)

James Davidson

The central limit theorem in Davidson (1992a) is extended to allow cases where the variances of sequence coordinates can be tending to zero. A trade off is demonstrated between the degree of dependence (mixing size) and ...Read more...

1992