Functional version of the delta method and its application |
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| Authors: | Ordoukhani Nasser A. Thavaneswarn M. Samanta |
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| Affiliation: | 1. Department of Mathematics , East Carolina University , Greenville , NC , 27858;2. Department of Statistics , University of Manitoba , Winnipeg , R3T2N2 , canada |
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| Abstract: | Nonparametric estimation of the time varying parameter of a semimartingal e model is considered. Stochastic version of the delta method is given. Variance process o"f the estimators and the functionals of the estimators are studied in detail. As an application, a new estimate "for the variance of the product limit estimator is proposed. |
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| Keywords: | semimartiangal variance process monparametric estimators delta method |
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