Asymptotic inference in some heteroscedastic regression models with long memory design and errors

This paper discusses asymptotic distributions of various estimators of the underlying parameters in some regression models with long memory (LM) Gaussian design and nonparametric heteroscedastic LM moving average errors. In the simple linear regression model, the first-order asymptotic distribution of the least square estimator of the slope parameter is observed to be degenerate. However, in the second order, this estimator is $n^{1/2}$-consistent and asymptotically normal for $h+H<3/2$; nonnormal otherwise, where $h$ and $H$ are LM parameters of design and error processes, respectively. The finite-dimensional asymptotic distributions of a class of kernel type estimators of the conditional variance function $\sigma^2(x)$ in a more general heteroscedastic regression model are found to be normal whenever $H<(1+h)/2$, and non-normal otherwise. In addition, in this general model, $\log(n)$-consistency of the local Whittle estimator of $H$ based on pseudo residuals and consistency of a cross validation type estimator of $\sigma^2(x)$ are established. All of these findings are then used to propose a lack-of-fit test of a parametric regression model, with an application to some currency exchange rate data which exhibit LM.Comment: Published in at http://dx.doi.org/10.1214/009053607000000686 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Back-action Induced Non-equilibrium Effect in Electron Charge Counting Statistics

We report our study of the real-time charge counting statistics measured by a quantum point contact (QPC) coupled to a single quantum dot (QD) under different back-action strength. By tuning the QD-QPC coupling or QPC bias, we controlled the QPC back-action which drives the QD electrons out of thermal equilibrium. The random telegraph signal (RTS) statistics showed strong and tunable non-thermal-equilibrium saturation effect, which can be quantitatively characterized as a back-action induced tunneling out rate. We found that the QD-QPC coupling and QPC bias voltage played different roles on the back-action strength and cut-off energy.Comment: 4 pages, 4 figures, 1 tabl

Local Whittle estimator for anisotropic random fields

AbstractA local Whittle estimator is developed to simultaneously estimate the long memory parameters for stationary anisotropic scalar random fields. It is shown that these estimators are consistent and asymptotically normal, under some weak technical conditions. A brief simulation study illustrates a practical application of the estimator