Empirical Processes Based on Pseudo - Observations II : theMultivariate
نویسندگان
چکیده
Universit e du Qu ebec a Trois-Rivi eres In practice, it is often necessary to study empirical distribution functions constructed from residuals when estimating the distribution of functions (X) of an observable random variable X. More generally, one can be interested in estimating the distribution function of a non-observable random variable (Q; X) depending on an observable random variable X together with its unknown law Q. When Q is estimated by some Q n , the quantities (Q n ; X i) are called pseudo-observations. The aim of this paper is to continue the study of empirical processes constructed from general pseudo-observations in the multivariate case. Examples of pseudo-observations will be given together with applications to copulas, multivariate regression and time series. formation de chercheurs et l'aide a la recherche du Gouvernement du Qu ebec and by the 1. Introduction. There is always a price to pay for not being able to ob
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Empirical Processes Based on Pseudo - Observations 3
Usually, empirical distribution functions are used to estimate the theoretical distribution function of known functions (X) of the observable random variable X. In practice, many researchers are using empirical distribution functions constructed from residuals, which are estimations of a non-observable error terms in linear models. This falls under a class of more general problems in which one ...
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