Bounds for E׀Sn׀Q for subordinated linear processes with application to M-estimation

• Autorzy: Furmańczyk K.
• Języki publikacji: EN

Abstrakty

EN

Let X_j =Σ^∞_r=0 A_rZ_j−r be a one-sided m-dimensional linear process, where (Z_n) is a sequence of i.i.d. random vectors with zero mean and finite covariance matrix. The aim of this paper is to prove the moment inequalities of the form [formula] where G is a real function defined on R^m: The form of the constant C in (0.1) plays an important role in applications concerning the problems of M-estimation, especially the Ghosh representation.

Słowa kluczowe

EN

linear process; empirical processes; time series; short-range dependence; M-estimation; Ghosh representation

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2008
• Tom: Vol. 28, Fasc. 1
• Strony: 129--141
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Furmańczyk K.

• Department of Applied Mathematics, Warsaw University of Life Sciences (SGGW), ul. Nowoursynowska 159, 02-776 Warszawa, Poland

Bibliografia

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