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
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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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(âi1=0m1â¯âid=0mdθiÏi(x)), where Ïi 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 pθË. 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
Journal: Journal of Econometrics - Volume 156, Issue 2, June 2010, Pages 354-366
نویسندگان
Ximing Wu,