Search Results - subject:"Quantile estimation"

Variable data driven bandwidth choice in nonparametric quantile regression

Abberger, Klaus - 2002

The choice of a smoothing parameter or bandwidth is crucial when applying non- parametric regression estimators. In nonparametric mean regression various meth- ods for bandwidth selection exists. But in nonparametric quantile regression band- width choice is still an unsolved problem. In this...

Persistent link: https://www.econbiz.de/10010324080

Variable data driven bandwidth choice in nonparametric quantile regression

Abberger, Klaus - 2002

The choice of a smoothing parameter or bandwidth is crucial when applying nonparametric regression estimators. In nonparametric mean regression various methods for bandwidth selection exists. But in nonparametric quantile regression bandwidth choice is still an unsolved problem. In this paper a...

Persistent link: https://www.econbiz.de/10011544543

The Birnbaum–Saunders autoregressive conditional duration model

Bhatti, Chad R. - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 10, pp. 2062-2078

the concept of conditional quantile estimation into an ACD model by specifying the time-varying model dynamics in terms of …

Persistent link: https://www.econbiz.de/10010750033

Kernel type smoothed quantile estimation under long memory

Wang, Lihong - In: Statistical Papers 51 (2010) 1, pp. 57-67

Persistent link: https://www.econbiz.de/10008467065

Nonparametric estimation of value-at-risk

Jeong, Seok-Oh; Kang, Kee-Hoon - In: Journal of Applied Statistics 36 (2009) 11, pp. 1225-1238

estimation and the nonparametric quantile estimation. The proposed method is simple, fast and easy to implement. We evaluated its …

Persistent link: https://www.econbiz.de/10009226458

Lessons from Quantile Panel Estimation of the Environmental Kuznets Curve

Flores, Carlos A.; Flores-Lagunes, Alfonso; … - Department of Economics, School of Business - 2009

The environmental Kuznets curve (EKC) hypothesizes that the income-pollution rela- tionship has an inverted U shape: pollution increases with income up to a turning point beyond which it decreases. The empirical literature has concentrated on estimation of this relationship at the mean employing...

Persistent link: https://www.econbiz.de/10008472150

Extreme Value Theory for Tail-Related Risk Measures

Këllezi, Evis; Gilli, Manfred - Swiss Finance Institute - 2000

, Generalized Ex- treme Value Distribution, Quantile Estimation, Risk Measures, Maximum Likelihood Estimation, Profile Likelihood … of the most frequent questions concerning risk management in finance involve extreme quantile estimation. This … in finance involve extreme quantile estimation. This corresponds to the determination of the value a given variable …

Persistent link: https://www.econbiz.de/10005264596

Methods for estimating a conditional distribution function

Hall, Peter; Wolff, Rodney C.; Yao, Qiwei - 1999

setting; for example, to quantile estimation for independent data. This problem motivated the work of Yu and Jones. …

Persistent link: https://www.econbiz.de/10009437734

Confidence intervals for prediction intervals

Wilcox, Rand - In: Journal of Applied Statistics 33 (2006) 3, pp. 317-326

When working with a single random variable, the simplest and most obvious approach when estimating a 1 - γ prediction interval, is to estimate the γ/2 and 1 - γ/2 quantiles. The paper compares the small-sample properties of several methods aimed at estimating an interval that contains the 1 -...

Persistent link: https://www.econbiz.de/10005458346

An Application of Extreme Value Theory for Measuring Financial Risk

Gilli, Manfred; këllezi, Evis - In: Computational Economics 27 (2006) 2, pp. 207-228

Persistent link: https://www.econbiz.de/10005701798