کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096962 1376560 2010 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Exponential Series Estimator of multivariate densities
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Exponential Series Estimator of multivariate densities
چکیده انگلیسی
We present an Exponential Series Estimator (ESE) of multivariate densities, which has an appealing information-theoretic interpretation. For a d dimensional random variable x with density p0, the ESE takes the form pθ(x)=exp(∑i1=0m1⋯∑id=0mdθiϕi(x)), where ϕi are some real-valued, linearly independent functions defined on the support of p0. We derive the convergence rate of the ESE in terms of the Kullback-Leibler Information Criterion, the integrated squared error and some other metrics. We also derive its almost sure uniform convergence rate. We then establish the asymptotic normality of pθˆ. We undertake two sets of Monte Carlo experiments. The first experiment examines the ESE performance using mixtures of multivariate normal densities. The second estimates copula density functions. The results demonstrate the efficacy of the ESE. An empirical application on the joint distributions of stock returns is presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 156, Issue 2, June 2010, Pages 354-366
نویسندگان
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