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Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours

Author

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  • Chu, Ba
  • Huynh, Kim
  • Jacho-Chavez, David

Abstract

This paper studies the limiting behavior of general functionals of order statistics and their multivariate concomitants for weakly dependent data. The asymptotic analysis is performed under a conditional moment-based notion of dependence for vector-valued time series. It is argued, through analysis of various examples, that the dependence conditions of this type can be effectively implied by other dependence formations recently proposed in time-series analysis, thus it may cover many existing linear and nonlinear processes. The utility of this result is then illustrated in deriving the asymptotic properties of a semiparametric estimator that uses the k-Nearest Neighbour estimator of the inverse of a multivariate unknown density. This estimator is then used to calculate consumer surpluses for electricity demand in Ontario for the period 1971 to 1994. A Monte Carlo experiment also assesses the effi- cacy of the derived limiting behavior in finite samples for both these general functionals and the proposed estimator.

Suggested Citation

  • Chu, Ba & Huynh, Kim & Jacho-Chavez, David, 2013. "Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours," MPRA Paper 79670, University Library of Munich, Germany, revised 2012.
    • Handle: RePEc:pra:mprapa:79670
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    References listed on IDEAS

    as
    1. Arnold, Barry C. & Castillo, Enrique & Sarabia, Jos Mara, 2009. "Multivariate order statistics via multivariate concomitants," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 946-951, May.
    2. Boente, Graciela & Fraiman, Ricardo, 1988. "Consistency of a nonparametric estimate of a density function for dependent variables," Journal of Multivariate Analysis, Elsevier, vol. 25(1), pages 90-99, April.
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    Citations

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    Cited by:

    1. Francesco Bravo & Ba M. Chu & David T. Jacho-Chávez, 2017. "Semiparametric estimation of moment condition models with weakly dependent data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(1), pages 108-136, January.
    2. Nengxiang Ling & Germán Aneiros & Philippe Vieu, 2020. "kNN estimation in functional partial linear modeling," Statistical Papers, Springer, vol. 61(1), pages 423-444, February.

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    More about this item

    Keywords

    Order statistics; multivariate concomitant; k-nearest neighbour; semiparametric estimation; consumer surplus.;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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