Local asymptotic normality for long-memory process with strong mixing noises

Abstract

We will establish the local asymptotic normality (LAN) for fractional autoregressive long memory model in the case of strong mixing noises. This opens the way in future work to construct an adaptive estimator and construct optimal tests for the parameters. To check the feasibility and validity of our theoretical results a simulations study is considered.     

Whittle estimation in multivariate CCC-GARCH processes

In this paper, we explore some probabilistic properties and statistical analysis of multivariate constant conditional correlation GARCH (CCC-GARCH for short) model. So, in the first part we give the conditions for the model stationarity and its finite moments up to some orders. In the second part, the Whittle estimator is proposed for the parameters CCC-GARCH model based on a transformation. This Whittle estimator is shown to be consistent when the data have finite 4th moment, and its asymptotic normality is established when the data have finite 8th moment. Finite sample properties of this Whittle estimator are further examined through Monte-Carlo experiments.     

Measuring emotional intelligence in Moroccan Arabic: the Wong and Law Emotional Intelligence Scale / Medidas de la inteligencia emocional en árabe marroquí: la escala de inteligencia emocional de Wong y Law

Emotional intelligence is a widespread concept that has been analysed in different countries. However, it has been barely measured in African-Arab societies’ cultures due to their scarce tradition in validating instruments. In Morocco, the mere translation of instruments is a common practice that should be avoided to incorporate cultural and linguistic singularities. Thus, the aim of our study was to culturally adapt the Wong and Law Emotional Intelligence Scale to Morocco. This version could be widely used in other Arab North African countries and among immigrants in hosting countries. Two hundred and seventy-three Arab undergraduates (178 women and 95 men; age M = 22.17, SD = 4.09) from Morocco completed a questionnaire adapted to their culture following the back translation method. To determine construct validity, data were analysed by means of confirmatory factor analysis. The final scale resulted in a second-order factorial model with four first-order factors compounded by 16 items. This structure supports the original for Moroccan Arabic and other countries in which Arabic is spoken. Likewise, the results confirm an adequate criterion validity of the instrument.     

Hill's estimator under weak dependence

In this article, we investigate the asymptotic normality of the Hill's estimator of the tail index parameter, when the observations are weakly dependent in the sense of Doukhan and Louhichi (1999 Doukhan, P., Louhichi, S. (1999). A new weak dependence condition and applications to moment inequalities. Stochastic Process. Appl. 84:313–342.[Crossref], [Web of Science ®] , [Google Scholar]) and are drawn from a strictly linear process. We show that the previous result on Hill estimator obtained by Rootzen et al. (1990 Rootzen, H., Leadbetter, M., De Haan, L. (1990). Tail and quantile estimation for strongly mixing stationary sequences. Technical report. No. 292, Center for Stochastic Processes, Department of Statistics, University of North Carolina, Chapel Hill. [Google Scholar]) and Resnick and Starica (1997 Resnick, S., Starica, C. (1997). Asymptotic behavior of Hill's estimator for autoregressive data. Commun. Statistics-stochastic Models 13:703–723.[Taylor &; Francis Online] , [Google Scholar]) for strong mixing can be extended to weak dependence.