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A note on Johansen's cointegration procedure when trends are present

โœ Scribed by Pierre Perron; John Y. Campbell

Book ID
105117268
Publisher
Springer-Verlag
Year
1993
Tongue
English
Weight
899 KB
Volume
18
Category
Article
ISSN
0377-7332

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A note on the variance of a lightly trim
A note on the variance of a lightly trimmed mean when multiple outliers are present in the sample
โœ N. Balakrishnan; H.A. David ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 78 KB

In this note, a recurrence relation for product moments of order statistics arising from independent and non-identically distributed variables is utilized to derive a convenient formula for the variance of a lightly trimmed mean when one or more outliers are present in the sample. Formulas are prese