Accession Number:

ADA169207

Title:

Asymptotic Theory for Sieve Estimators in Semimartingale Regression Models.

Descriptive Note:

Technical rept.,

Corporate Author:

FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS

Personal Author(s):

Report Date:

1986-03-01

Pagination or Media Count:

35.0

Abstract:

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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE