The Theory and Applications of Statistical Inference Functions

McLeish, D. L.; Small, Christopher G.

doi:10.1007/978-1-4612-3872-0

Cited by 67 publications

(36 citation statements)

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“…In fact, if G n is a closed subspace of the L 2 -space of all square integrable functions of the data, then the quasi-score function is the orthogonal projection of the score function onto G n . For further discussion of this Hilbert space approach to estimating functions, see McLeish & Small (1988). The interpretation of an optimal estimating function as an approximation to the score function is important.…”

Section: Optimal Estimating Functions: General Theorymentioning

confidence: 99%

Estimating functions for diffusion-type processes

2012

C&H/CRC Monographs on Statistics &Amp; Applied Probability

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Section: Optimal Estimating Functions: General Theorymentioning

confidence: 99%

Estimating functions for diffusion-type processes

2012

C&H/CRC Monographs on Statistics &Amp; Applied Probability

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“…The second method, denominated by McLeish and Small (1988) as inference functions for margins (IFM), is less complex, more efficient, has been adopted in most empirical studies dealing with copulas and is also chosen here. It has the advantage of permitting an evaluation of the marginal distributions' goodness of fit before estimating the 9 copulas and thus avoiding the possibility of estimating low quality copulas, as would be the case if copulas and margins were simultaneously estimated and the margins were mis-specified.…”

Section: The Use Of Copulas In Analyses Of Financial Contagionmentioning

confidence: 99%

Contagion effects of the subprime crisis in the European NYSE Euronext markets

Horta¹,

Mendes

Vieira

2010

Port Econ J

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This paper presents three tests of contagion of the US subprime crisis to the European markets of the NYSE-Euronext group. Copula models are used to analyse dependence structures between the US's and the other markets in the sample, in the pre-crisis and in the subprime crisis periods. The first test assesses the existence of contagion on the relevant markets' indices, the second checks the homogeneity of contagion intensities, and the third compares contagion in financial and in industrial sectors' indices. Results suggest that contagion exists, and is equally felt, in most markets and that investors anticipated a spreading of the financial crisis to the real economy, long before such dissemination was observable.

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“…In fact, if G n is a closed subspace of the L 2 -space of all square integrable random vectors, then the quasi-score function is the orthogonal projection of the score function onto G n . For further discussion of this Hilbert space approach to estimating functions, see McLeish & Small (1988). The interpretation of an optimal estimating function as an approximation to the score function is important.…”

Section: General Estimating Functionsmentioning

confidence: 99%