Extending the scope of cube root asymptotics
with Myung Hwan Seo, LSE
Taisuke Otsu ¦ London School of Economics and Political Science
Abstract
This article extends the scope of cube root asymptotics for M-estimators in two
directions: allow weakly dependent observations and criterion functions drifting with
the sample size typically due to a bandwidth sequence. For dependent empirical
processes that characterize criterions inducing cube root phenomena, maximal
inequalities are established to derive the convergence rates and limit laws of the Mestimators. The limit theory is applied not only to extend existing examples, such as
the maximum score estimator, nonparametric maximum likelihood density estimator
under monotonicity, and least median of squares, toward weakly dependent
observations, but also to address some open questions, such as asymptotic
properties of the minimum volume predictive region, conditional maximum score
estimator for a panel data discrete choice model, and Hough transform estimator
with a drifting tuning parameter.
Wednesday, 4 June 2014
1:00 - 2:00 pm
Location
148, av. de la Faïencerie
L-1511 Luxembourg
Room BRC201
Langue
English
Registration
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Free seminar
Registration to crea@uni.lu
(please specify full name and
institution)
Lunch is planned for registered
participants
Contact
crea@uni.lu
Tel: +352 46 66 44 6336