Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models
نویسندگان
چکیده
منابع مشابه
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In this supplementary material, we present the deferred proofs of the results in the main paper. 1. Proof of Claim 1 Statement of Claim 1: Suppose that each element xi of x is sampled i.i.d. from Rademacher distribution, i.e., P(xi = 1) = P(xi = −1) = 0.5. Under model (3) with noise ε = 0, there exists a θ̄ ∈ Sp−1 together with a monotone f̄ , such that supp(θ̄) = supp(θ∗) and yi = f̄(⟨θ̄,xi⟩) for d...
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2023
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.4326153