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MA
2011
Springer
157views Communications» more  MA 2011»
3 years 6 months ago
Weighted-mean trimming of multivariate data
A general notion of trimmed regions for empirical distributions in d-space is introduced. The regions are called weighted-mean trimmed regions. They are continuous in the data as ...
Rainer Dyckerhoff, Karl Mosler
MA
2011
Springer
143views Communications» more  MA 2011»
3 years 6 months ago
A copula-based model of speculative price dynamics in discrete time
This paper suggests a new technique to construct first order Markov processes using products of copula functions, in the spirit of Darsow et al. (1992). The approach requires the...
Umberto Cherubini, Sabrina Mulinacci, Silvia Romag...
MA
2011
Springer
166views Communications» more  MA 2011»
3 years 6 months ago
On the Gaussian approximation of vector-valued multiple integrals
: By combining the findings of two recent, seminal papers by Nualart, Peccati and Tudor, we get that the convergence in law of any sequence of vector-valued multiple integrals Fn ...
Salim Noreddine, Ivan Nourdin
MA
2011
Springer
169views Communications» more  MA 2011»
3 years 6 months ago
Asymptotic expansions for a class of tests for a general covariance structure under a local alternative
Let S be a p × p random matrix having a Wishart distribution Wp(n, n−1Σ). For testing a general covariance structure Σ = Σ(ξ), we consider a class of test statistics Th = n...
Hiroaki Shimizu, Hirofumi Wakaki
MA
2011
Springer
153views Communications» more  MA 2011»
3 years 6 months ago
Quadratic minimisation problems in statistics
We consider the problem minx(x−t) A(x−t) subject to x Bx + 2b x = k where A is positive definite or positive semidefinite. Commonly occurring statistical variants of this pro...
Casper J. Albers, Frank Critchley, John C. Gower
MA
2011
Springer
178views Communications» more  MA 2011»
3 years 6 months ago
Estimating structural VARMA models with uncorrelated but non-independent error terms
The asymptotic properties of the quasi-maximum likelihood estimator (QMLE) of vector autoregressive moving-average (VARMA) models are derived under the assumption that the errors ...
Y. Boubacar Mainassara, Christian Francq
MA
2011
Springer
228views Communications» more  MA 2011»
3 years 6 months ago
On directional multiple-output quantile regression
Davy Paindaveine, Miroslav Siman
MA
2011
Springer
173views Communications» more  MA 2011»
3 years 6 months ago
Dual divergence estimators and tests: Robustness results
The class of dual φ-divergence estimators (introduced in Broniatowski and Keziou (2009) [6]) is explored with respect to robustness through the influence function approach. For ...
Aida Toma, Michel Broniatowski
MA
2011
Springer
145views Communications» more  MA 2011»
3 years 6 months ago
On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix
The ratio of the largest eigenvalue divided by the trace of a p×p random Wishart matrix with n degrees of freedom and identity covariance matrix plays an important role in variou...
Boaz Nadler
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