Items where Author is "Mukherjee, Kanchan"

Hallin, Marc and Liu, Hang and Mukherjee, Kanchan (2023) M-Estimation in GARCH Models in the Absence of Higher-Order Moments. In: Research papers in Statistical Inference for Time Series and Related Models : Essays in Honor of Masanobu Taniguchi. Springer, Singapore, pp. 195-219. ISBN 9789819908028

Liu, Hang and Mukherjee, Kanchan (2021) R-estimators in GARCH models : asymptotics and applications. The Econometrics Journal, 25 (1). pp. 98-113. ISSN 1368-4221

Liu, Hang and Mukherjee, Kanchan (2021) Robust Estimation for GARCH Models and VARMA Models. PhD thesis, Lancaster University.

Mukherjee, Kanchan (2020) Bootstrapping M-estimators in GARCH models. Biometrika, 107 (3). pp. 753-760. ISSN 0006-3444

Mukherjee, Kanchan and Wang, Yuankun (2014) On the computation of R-estimators. In: Contemporary developments in statistical theory : a festschrift for Hira Lal Koul. Springer Proceedings in Mathematics & Statistics . Springer, Switzerland, pp. 279-288. ISBN 9783319026503

Mukherjee, Kanchan and Iqbal, Farhat (2012) A study of Value-at-Risk based on M-estimators of the conditional heteroscedastic models. Journal of Forecasting, 31 (5). pp. 377-390. ISSN 0277-6693

Mukherjee, Kanchan (2012) A Review of Robust Estimation under Conditional Heteroscedasticity. In: A Review of Robust Estimation under Conditional Heteroscedasticity :. Handbook of Statistics, 30 . Elsevier, Oxford, pp. 123-156. ISBN 978-0-444-53858-1

Iqbal, Farhat and Mukherjee, Kanchan (2010) M-estimation for some GARCH - type models : computation and application. Statistics and Computing, 20 (4). pp. 435-445. ISSN 0960-3174

Bose, Arup and Mukherjee, Kanchan (2009) Bootstrapping a weighted linear estimator of the ARCH parameters. Journal of Time Series Analysis, 30 (3). pp. 315-331. ISSN 0143-9782

Mukherjee, Kanchan (2008) M-estimation in GARCH models. Econometric Theory, 24 (6). pp. 1530-1553. ISSN 1469-4360

Mukherjee, Kanchan (2007) Generalized R-estimators under Conditional heteroscedasticity. Journal of Econometrics, 141 (2). pp. 383-415. ISSN 0304-4076

Mukherjee, Kanchan and Shumway, Robert and Verosub, Kenneth (2007) On the alignment of multiple time series fragments. Biometrika, 94 (2). pp. 347-358. ISSN 1464-3510

Lahiri, P and Mukherjee, Kanchan (2007) On a design consistency property of hierarchical Bayes estimators in finite population samplings. Annals of Statistics, 35 (2). pp. 724-737. ISSN 0090-5364

Mukherjee, Kanchan (2006) Pseudo-likelihood estimation in ARCH model. Canadian Journal of Statistics, 34 (2). pp. 341-356. ISSN 0319-5724

Lahiri, Soumendra and Mukherjee, Kanchan (2004) Asymptotic distributions of M-estimators in a spatial regression model under some fixed and stochastic spatial sampling design. Annals of the Institute of Statistical Mathematics, 56 (2). pp. 225-250. ISSN 1572-9052

Mukherjee, Kanchan and Bose, Arup (2003) Estimating the ARCH parameters by solving linear equations. Journal of Time Series Analysis, 24 (2). pp. 127-136. ISSN 0143-9782

Mukherjee, Kanchan and Bai, Z. D. (2002) R-estimation in autoregression with square-integrable score function. Journal of Multivariate Analysis, 81 (1). pp. 167-186.

Mukherjee, Kanchan (2000) Linearization of randomly weighted empiricals under long range dependence with application to nonlinear regression quantiles. Econometric Theory, 16 (3). pp. 301-323. ISSN 1469-4360

Majumdar, Suman and Kundu, Subrata and Mukherjee, Kanchan (2000) Central limit theorems revisited. Statistics and Probability Letters, 47 (3). pp. 265-275. ISSN 0167-7152

Chen, Shijie and Mukherjee, Kanchan (1999) Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models. Statistics and Probability Letters, 44 (2). pp. 137-146. ISSN 0167-7152

Mukherjee, Kanchan (1999) The asymptotic distribution of a class of L-estimators under long range dependence. Canadian Journal of Statistics, 27 (2). pp. 345-360. ISSN 0319-5724

Mukherjee, Kanchan (1999) Asymptotics of quantiles and rank scores in nonlinear time series. Journal of Time Series Analysis, 20 (2). pp. 173-192. ISSN 0143-9782

Mukherjee, Kanchan (1998) On preliminary test and shrinkage estimation in linear models with long memory errors. Journal of Statistical Planning and Inference, 69 (2). pp. 319-328. ISSN 0378-3758

Mukherjee, Kanchan and Majumdar, Suman (1997) Asymptotics of some empirical functionals under long range dependence. Sankhya - Series A, 59. pp. 88-101. ISSN 0581-572X

Arora, Vipin and Lahiri, Partha and Mukherjee, Kanchan (1997) Empirical Bayes estimation of finite population means from complex surveys. Journal of the American Statistical Association, 92 (440). pp. 1555-1562. ISSN 0162-1459

Mukherjee, Kanchan and Majumdar, Suman (1996) Bayesian signal estimation. Statistics and Decisions, 14. pp. 275-293.

Mukherjee, Kanchan (1996) Robust estimation in nonlinear regression via minimum distance method. Mathematical Methods of Statistics, 5. pp. 99-112. ISSN 1934-8045

Mukherjee, Kanchan (1994) Minimum distance estimation in linear models with long range dependent errors. Statistics and Probability Letters, 21 (5). pp. 347-355. ISSN 0167-7152

Koul, Hira L. and Mukherjee, Kanchan (1994) Regression quantiles and related processes under long range dependent errors. Journal of Multivariate Analysis, 51 (2). pp. 318-337.

Koul, Hira L. and Mukherjee, Kanchan (1993) Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors. Probability Theory and Related Fields, 95 (4). pp. 535-553. ISSN 0178-8051