Confidence distributions for change-points and regime shifts
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Statistical Planning and Inference"
DOI: 10.1016/j.jspi.2017.09.009
Abstract: Abstract Suppose observations y 1 , … , y n stem from a parametric model f ( y , θ ) , with the parameter taking one value θ L for y 1 , …… read more here.
Keywords: regime shifts; confidence; change points; confidence distributions ... See more keywords
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
Sign Up to like & getrecommendations! Published in 2020 at "Econometric Reviews"
DOI: 10.1080/07474938.2020.1772568
Abstract: Abstract We study the problem of estimating the parameters of a linear median regression without any assumption on the shape of the error distribution – including no condition on the existence of moments – allowing… read more here.
Keywords: confidence; sample generalized; confidence distributions; finite sample ... See more keywords