Related papers: Asymptotic Theory for Unit Root Moderate Deviation…

This paper studies inference in predictive quantile regressions when the predictive regressor has a near-unit root. We derive asymptotic distributions for the quantile regression estimator and its heteroskedasticity and autocorrelation…

A key aspect where extreme values methods differ from standard statistical models is through having asymptotic theory to provide a theoretical justification for the nature of the models used for extrapolation. In multivariate extremes many…

We derive a bound on the precision of state estimation for finite dimensional quantum systems and prove its attainability in the generic case where the spectrum is non-degenerate. Our results hold under an assumption called local asymptotic…

Approximate Bayesian computation allows for statistical analysis in models with intractable likelihoods. In this paper we consider the asymptotic behaviour of the posterior distribution obtained by this method. We give general results on…

We develop asymptotic approximations that can be applied to sequential estimation and inference problems, adaptive randomized controlled trials, and related settings. In batched adaptive settings where the decision at one stage can affect…

Nonparametric regression problems with qualitative constraints such as monotonicity or convexity are ubiquitous in applications. For example, in predicting the yield of a factory in terms of the number of labor hours, the monotonicity of…

This paper considers non-negative integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this `near unit root' situation. The local asymptotic structure of the likelihood…

Cox proportional hazards model with measurement error is investigated. In Kukush et al. (2011) [Journal of Statistical Research 45, 77-94] and Chimisov and Kukush (2014) [Modern Stochastics: Theory and Applications 1, 13-32] asymptotic…

These lecture notes represent supplementary material for a short course on time series econometrics and network econometrics. We give emphasis on limit theory for time series regression models as well as the use of the local-to-unity…

We study quantum dichotomies and the resource theory of asymmetric distinguishability using a generalization of Strassen's theorem on preordered semirings. We find that an asymptotic variant of relative submajorization, defined on…

Regression quantiles have asymptotic variances that depend on the conditional densities of the response variable given regressors. This paper develops a new estimate of the asymptotic variance of regression quantiles that leads any…

In this paper, we develop asymptotic theories for a class of latent variable models for large-scale multi-relational networks. In particular, we establish consistency results and asymptotic error bounds for the (penalized) maximum…

In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular,…

This paper examines the asymptotic inference for AR(1) models with a possible structural break in the AR parameter $\beta $ near the unity at an unknown time $k_{0}$. Consider the model $y_{t}=\beta_{1}y_{t-1}I\{t\leq k_{0}\}+\beta…

This paper derives the rate of convergence and asymptotic distribution for a class of Kolmogorov-Smirnov style test statistics for conditional moment inequality models for parameters on the boundary of the identified set under general…

This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The GARCH(1,1) process is defined by equations $u_t = \sigma_t \varepsilon_t$,…

This paper investigates the asymptotic properties of quantile regression estimators in linear models, with a particular focus on polynomial regressors and robustness to heavy-tailed noise. Under independent and identically distributed…

Discrete-time affine processes are widely used in finance and economics and encompass count, positive, and nonnegative-valued processes. This paper develops near-unit-root asymptotic theory for this class of models. Unlike linear AR(1)…

In this paper, we derive an asymptotic closed--form expression for the error bound on extrapolation of doubly selective mobile MIMO wireless channels. The bound shows the relationship between the prediction error and system design…

A theorem about asymptotic estimation of multiple integral of a special type is proved for the case when the integrand peaks at the integration domain bound, but not at a point of extremum. Using this theorem the asymptotic expansion of the…