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P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover … in most simulation settings. FPs however, are prone to artefacts due to the specific choice of the origin, while P …
Persistent link: https://www.econbiz.de/10008498109
Persistent link: https://www.econbiz.de/10008657774
features of the approaches in a real dataset. -- generalized additive models ; GAMs ; simulation ; smoothing …P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover …
Persistent link: https://www.econbiz.de/10009736613
based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test … specification testing of the production frontier function even under heteroscedasticity. Simulation studies and a real data example …
Persistent link: https://www.econbiz.de/10011739112
A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...
Persistent link: https://www.econbiz.de/10010310798
A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...
Persistent link: https://www.econbiz.de/10010983799
Literature has documented tremendous changes in classical regression analysis techniques since 1980s. The drawbacks of simple and multiple parametric regression analyses on model specifications and the non-robust assumption of error terms followed by the introduction of a series of diagnostic...
Persistent link: https://www.econbiz.de/10010686083
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010420341
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010427038
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when the time series contains structural breaks (such as produced by German unification for German time series, for...
Persistent link: https://www.econbiz.de/10010427486