Parametric Continuity of Stationary Distributions
نویسنده
چکیده
The paper gives conditions under which stationary distributions of Markov models depend continuously on the parameters. It extends a well-known parametric continuity theorem for compact state space to the unbounded setting of standard econometrics and time series analysis. Applications to several theoretical and estimation problems are outlined.
منابع مشابه
A comparison of parametric and non-parametric methods of standardized precipitation index (SPI) in drought monitoring (Case study: Gorganroud basin)
The Standardized Precipitation Index (SPI) is the most common index for drought monitoring. Although the calculation of this index is usually done by using the gamma distribution fitting of precipitation data, studies have shown that for accurate monitoring of drought, the optimal distribution of precipitation in each month should be determined. On the other hand, in non-stationary time series,...
متن کاملMultivariate Log-Concave Distributions as a Nearly Parametric Model∗
In this paper we show that the family P d of probability distributions on R d with logconcave densities satisfies a strong continuity condition. In particular, it turns out that weak convergence within this family entails (i) convergence in total variation distance, (ii) convergence of arbitrary moments, and (iii) pointwise convergence of Laplace transforms. In this and several other respects t...
متن کاملHölder continuity of a parametric variational inequality
In this paper, we study the Hölder continuity of solution mapping to a parametric variational inequality. At first, recalling a real-valued gap function of the problem, we discuss the Lipschitz continuity of the gap function. Then under the strong monotonicity, we establish the Hölder continuity of the single-valued solution mapping for the problem. Finally, we apply these resu...
متن کاملHölder continuity of solution maps to a parametric weak vector equilibrium problem
In this paper, by using a new concept of strong convexity, we obtain sufficient conditions for Holder continuity of the solution mapping for a parametric weak vector equilibrium problem in the case where the solution mapping is a general set-valued one. Without strong monotonicity assumptions, the Holder continuity for solution maps to parametric weak vector optimization problems is discussed.
متن کاملContinuity of the Mixing Operator
Mixed distributions are considered as a results of application of a linear operator, which maps mixing measures to mixed measures. The main result is a proof of continuity of this mixing operator. Corollaries for parametric families of distributions (usually considered in literature) are also discussed.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2003