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11 papers · 1 filter
Nonparametric estimate of spectral density functions of sample covariance matrices: A first step
Bing-Yi Jing, Guangming Pan, Qi-Man Shao +1
The density function of the limiting spectral distribution of general sample covariance matrices is usually unknown. We propose to use kernel estimators which are proved to be cons…
On moving-average models with feedback
Dong Li, Shiqing Ling, Howell Tong
Moving average models, linear or nonlinear, are characterized by their short memory. This paper shows that, in the presence of feedback in the dynamics, the above characteristic ca…
On non-stationary threshold autoregressive models
Weidong Liu, Shiqing Ling, Qi-Man Shao
In this paper we study the limiting distributions of the least-squares estimators for the non-stationary first-order threshold autoregressive (TAR(1)) model. It is proved that the…
Bayesian nonparametric estimation and consistency of mixed multinomial logit choice models
Pierpaolo De Blasi, Lancelot F. James, John W. Lau
This paper develops nonparametric estimation for discrete choice models based on the mixed multinomial logit (MMNL) model. It has been shown that MMNL models encompass all discrete…
Dirichlet mean identities and laws of a class of subordinators
Lancelot F. James
An interesting line of research is the investigation of the laws of random variables known as Dirichlet means. However, there is not much information on interrelationships between…
On the posterior distribution of classes of random means
Lancelot F. James, Antonio Lijoi, Igor Prünster
The study of properties of mean functionals of random probability measures is an important area of research in the theory of Bayesian nonparametric statistics. Many results are now…