Central Limit Theorem For Estimators Research Articles

Large-sample properties of unsupervised estimation of the linear discriminant using projection pursuit

We study the estimation of the linear discriminant with projection pursuit, a method that is unsupervised in the sense that it does not use the class labels in the estimation. Our viewpoint is asymptotic and, as our main contribution, we derive central limit theorems for estimators based on three different projection indices, skewness, kurtosis, and their convex combination. The results show that in each case the limiting covariance matrix is proportional to that of linear discriminant analysis (LDA), a supervised estimator of the discriminant. An extensive comparative study between the asymptotic variances reveals that projection pursuit gets arbitrarily close in efficiency to LDA when the distance between the groups is large enough and their proportions are reasonably balanced. Additionally, we show that consistent unsupervised estimation of the linear discriminant can be achieved also in high-dimensional regimes where the dimension grows at a suitable rate to the sample size, for example, pn=o(n1∕3) is sufficient under skewness-based projection pursuit. We conclude with a real data example and a simulation study investigating the validity of the obtained asymptotic formulas for finite samples.

Inference and testing breaks in large dynamic panels with strong cross sectional dependence

In this paper we provide a new Central Limit Theorem for estimators of the slope papers in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong cross-sectional dependence. We proceed by providing two related tests for breaks/homogeneity in the time dimension. The first test is based on the CUSUM principle; the second test is based on a Hausman–Durbin–Wu approach. Some of the key features of the tests are that they have nontrivial power when the number of individuals, for which the slope parameters may differ, is a “negligible” fraction or when the break happens to be towards the end of the sample, and do not suffer from the incidental parameter problem. We provide a simple bootstrap algorithm to obtain (asymptotic) valid critical values for our statistics. An important feature of the bootstrap is that there is no need to know the underlying model of the cross-sectional dependence. A Monte-Carlo simulation analysis sheds some light on the small sample behaviour of the tests and their bootstrap analogues. We implement our test to some real economic data.

Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift

As a starting point we prove a functional central limit theorem for estimators of the invariant measure of a geometrically ergodic Harris-recurrent Markov chain in a multi-scale space. This allows to construct confidence bands for the invariant density with optimal (up to undersmoothing) $L^{\infty}$-diameter by using wavelet projection estimators. In addition our setting applies to the drift estimation of diffusions observed discretely with fixed observation distance. We prove a functional central limit theorem for estimators of the drift function and finally construct adaptive confidence bands for the drift by using a completely data-driven estimator.

NONPARAMETRIC ESTIMATORS FOR TIME SERIES

Abstract. Kernel multivariate probability density and regression estimators are applied to a univariate strictly stationary time series Xr We consider estimators of the joint probability density of Xt at different t‐values, of conditional probability densities, and of the conditional expectation of functionals of Xv given past behaviour. The methods seem of particular relevance in light of recent interest in non‐Gaussian time series models. Under a strong mixing condition multivariate central limit theorems for estimators at distinct points are established, the asymptotic distributions being of the same nature as those which would derive from independent multivariate observations.

Vector linear time series models

This paper presents proofs of the strong law of large numbers and the central limit theorem for estimators of the parameters in quite general finite-parameter linear models for vector time series. The estimators are derived from a Gaussian likelihood (although Gaussianity is not assumed) and certain spectral approximations to this. An important example of finite-parameter models for multiple time series is the class of autoregressive moving-average (ARMA) models and a general treatment is given for this case. This includes a discussion of the problems associated with identification in such models.

Vector linear time series models

This paper presents proofs of the strong law of large numbers and the central limit theorem for estimators of the parameters in quite general finite-parameter linear models for vector time series. The estimators are derived from a Gaussian likelihood (although Gaussianity is not assumed) and certain spectral approximations to this. An important example of finite-parameter models for multiple time series is the class of autoregressive moving-average (ARMA) models and a general treatment is given for this case. This includes a discussion of the problems associated with identification in such models.