Dr Kanchan Mukherjee

Senior Lecturer

On the computation of R-estimators
Mukherjee, K., Wang, Y. 2014 In: Contemporary developments in statistical theory . Switzerland : Springer p. 279-288. 10 p.
Chapter (peer-reviewed)

A study of Value-at-Risk based on M-estimators of the conditional heteroscedastic models
Mukherjee, K., Iqbal, F. 08/2012 In: Journal of Forecasting. 31, 5, p. 377-390. 14 p.
Journal article

A Review of Robust Estimation under Conditional Heteroscedasticity
Mukherjee, K. 2012 In: A Review of Robust Estimation under Conditional Heteroscedasticity. Oxford : Elsevier p. 123-156. 34 p.
Chapter (peer-reviewed)

M-estimation for some GARCH - type models : computation and application.
Iqbal, F., Mukherjee, K. 10/2010 In: Statistics and Computing. 20, 4, p. 435-445. 11 p.
Journal article

Bootstrapping a weighted linear estimator of the ARCH parameters
Bose, A., Mukherjee, K. 05/2009 In: Journal of Time Series Analysis. 30, 3, p. 315-331. 17 p.
Journal article

M-estimation in GARCH models.
Mukherjee, K. 12/2008 In: Econometric Theory. 24, 6, p. 1530-1553. 24 p.
Journal article

Generalized R-estimators under Conditional heteroscedasticity.
Mukherjee, K. 12/2007 In: Journal of Econometrics. 141, 2, p. 383-415. 33 p.
Journal article

On the alignment of multiple time series fragments.
Mukherjee, K., Shumway, R., Verosub, K. 23/05/2007 In: Biometrika. 94, 2, p. 347-358. 12 p.
Journal article

On a design consistency property of hierarchical Bayes estimators in finite population samplings.
Lahiri, P., Mukherjee, K. 04/2007 In: Annals of Statistics. 35, 2, p. 724-737. 14 p.
Journal article

Pseudo-likelihood estimation in ARCH model
Mukherjee, K. 06/2006 In: Canadian Journal of Statistics. 34, 2, p. 341-356. 16 p.
Journal article

Asymptotic distributions of M-estimators in a spatial regression model under some fixed and stochastic spatial sampling design
Lahiri, S., Mukherjee, K. 2004 In: Annals of the Institute of Statistical Mathematics. 56, 2, p. 225-250. 26 p.
Journal article

Estimating the ARCH parameters by solving linear equations.
Mukherjee, K., Bose, A. 03/2003 In: Journal of Time Series Analysis. 24, 2, p. 127-136. 10 p.
Journal article

R-estimation in autoregression with square-integrable score function.
Mukherjee, K., Bai, Z.D. 1/04/2002 In: Journal of Multivariate Analysis. 81, 1, p. 167-186. 20 p.
Journal article

Linearization of randomly weighted empiricals under long range dependence with application to nonlinear regression quantiles
Mukherjee, K. 06/2000 In: Econometric Theory. 16, 3, p. 301-323. 23 p.
Journal article

Central limit theorems revisited
Majumdar, S., Kundu, S., Mukherjee, K. 15/04/2000 In: Statistics and Probability Letters. 47, 3, p. 265-275. 11 p.
Journal article

Asymptotic uniform linearity of some robust statistics under exponentially subordinated strongly dependent models
Chen, S., Mukherjee, K. 15/08/1999 In: Statistics and Probability Letters. 44, 2, p. 137-146. 10 p.
Journal article

The asymptotic distribution of a class of L-estimators under long range dependence
Mukherjee, K. 06/1999 In: Canadian Journal of Statistics. 27, 2, p. 345-360. 16 p.
Journal article

Asymptotics of quantiles and rank scores in nonlinear time series
Mukherjee, K. 03/1999 In: Journal of Time Series Analysis. 20, 2, p. 173-192. 20 p.
Journal article

On preliminary test and shrinkage estimation in linear models with long memory errors
Mukherjee, K. 15/06/1998 In: Journal of Statistical Planning and Inference. 69, 2, p. 319-328. 10 p.
Journal article

Asymptotics of some empirical functionals under long range dependence
Mukherjee, K., Majumdar, S. 1997 In: Sankhya - Series A. 59, p. 88-101. 14 p.
Journal article

Empirical Bayes estimation of finite population means from complex surveys
Arora, V., Lahiri, P., Mukherjee, K. 1997 In: Journal of the American Statistical Association. 92, 440, p. 1555-1562. 8 p.
Journal article

Bayesian signal estimation
Mukherjee, K., Majumdar, S. 1996 In: Statistics and Decisions. 14, p. 275-293. 19 p.
Journal article

Robust estimation in nonlinear regression via minimum distance method
Mukherjee, K. 1996 In: Mathematical Methods of Statistics . 5, p. 99-112. 14 p.
Journal article

Minimum distance estimation in linear models with long range dependent errors.
Mukherjee, K. 7/12/1994 In: Statistics and Probability Letters. 21, 5, p. 347-355. 9 p.
Journal article

Regression quantiles and related processes under long range dependent errors
Koul, H.L., Mukherjee, K. 11/1994 In: Journal of Multivariate Analysis. 51, 2, p. 318-337. 20 p.
Journal article

Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors.
Koul, H.L., Mukherjee, K. 12/1993 In: Probability Theory and Related Fields. 95, 4, p. 535-553. 19 p.
Journal article