Asymptotic Theory for Sieve Estimators in Semimartingale Regression Models.
FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS
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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
- Statistics and Probability