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Mammen, Enno; Cybakov, Aleksandr B. - 1998

Discriminant analysis for two data sets in IRd with probability densities f and g can be based on the estimation of the … optimal rates for estimation of G. -- minimax rates ; discrimination analysis ; Bayes risk …

Persistent link: https://www.econbiz.de/10009574887

Estimating yield curves by Kernel smoothing methods

Linton, Oliver; Mammen, Enno; Nielsen, Jens Perch; … - 1998

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government … although we do show how to impose various restrictions in the estimation. Our method is based on Kernel smoothing and is … our estimation procedure is iterative, rather like the backfitting method of estimating non-parametric models. We …

Persistent link: https://www.econbiz.de/10009580489

Penalized quasi-likelihood estimation in partial linear models

Mammen, Enno; Geer, Sara van de - 1996

Persistent link: https://www.econbiz.de/10009630545

Nonparametric estimation of an additive model with a link function

Horowitz, Joel; Mammen, Enno - 2002

were known with certainty. -- nonparametric regression ; additive models ; multivariate curve estimation ; kernel estimates …

Persistent link: https://www.econbiz.de/10009626678

A bootstrap test for single index models

Härdle, Wolfgang; Mammen, Enno; Proença, Isabel - 2000

Single index models are frequently used in econometrics and biometrics. Logit and Probit models are special cases with fixed link functions. In this paper we consider a bootstrap specification test that detects nonparametric deviations of the link function. The bootstrap is used with the aim to...

Persistent link: https://www.econbiz.de/10009583431

On estimation of monotone and concave frontier functions

Gijbels, Irène; Mammen, Enno; Park, Byeong U.; Simar, … - 1998

an improved bias corrected estimator. This bias corrected estimator involves consistent estimation of the density …

Persistent link: https://www.econbiz.de/10009574880

Properties of the nonparametric autoregressive bootstrap

Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno; … - 1998

We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this end, we revisit this problem for nonparametric autoregressive processes and give some quantitative conditions (i.e., with explicit constants) under which the mixing coefficients...

Persistent link: https://www.econbiz.de/10009578012

Semiparametric additive indices for binary response and generalized additive models

Härdle, Wolfgang; Huet, Sylvie; Mammen, Enno; … - 1998

Y has a Bernoulli distribution with parameter G{XT β + α + m1(T1) + … + md(Td)}. The paper discusses estimation of β and …

Persistent link: https://www.econbiz.de/10009578571

Estimation in an additive model when the components are linked parametrically

Carroll, Raymond J.; Härdle, Wolfgang; Mammen, Enno - 1999

used for the estimation of each additive component without taking into account the parametric link of the functions. In a …

Persistent link: https://www.econbiz.de/10009579184

Bootstrap of kernel smoothing in nonlinear time series

Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - 1997

Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This can be done by mimicking the stochastic nature of the whole process in the...

Persistent link: https://www.econbiz.de/10009632604