Displaying similar documents to “Asymptotic normality in mixture models”

Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models

Haiyan Xuan, Lixin Song, Muhammad Amin, Yongxia Shi (2017)

Open Mathematics

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This paper studies the quasi-maximum likelihood estimator (QMLE) for the generalized autoregressive conditional heteroscedastic (GARCH) model based on the Laplace (1,1) residuals. The QMLE is proposed to the parameter vector of the GARCH model with the Laplace (1,1) firstly. Under some certain conditions, the strong consistency and asymptotic normality of QMLE are then established. In what follows, a real example with Laplace and normal distribution is analyzed to evaluate the performance...

Asymptotic normality and efficiency of two Sobol index estimators

Alexandre Janon, Thierry Klein, Agnès Lagnoux, Maëlle Nodet, Clémentine Prieur (2014)

ESAIM: Probability and Statistics

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Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variability of a quantity of interest (output of the model). One of the statistical tools used to quantify the influence of each input variable on the output is the Sobol sensitivity index. We consider the statistical estimation of this index from a finite sample of model outputs: we present two estimators...