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Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …

Persistent link: https://www.econbiz.de/10009627286

Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods

Lillestøl, Jostein - 2000 - Rev.

alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …

Persistent link: https://www.econbiz.de/10009612011

Some convergence problems on heavy tail estimation using upper order statistics for generalized Pareto and lognormal distributions

Hernandez-Molinar, Raul (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919530

Estimating state-price densities with nonparametric regression

Huynh, Kim; Kervella, Pierre; Zheng, Jun - 2002

Persistent link: https://www.econbiz.de/10009624851

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1997

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...

Persistent link: https://www.econbiz.de/10009577459

Truncated maximum likelihood, goodness of fit tests and tail analysis

Gouriéroux, Christian; Jasiaky, Joanna - 1998

We propose a new method of tail analysis for data featuring a high degree of leptokurtosis. Heavy tails can typically be found in financial series, like for example, the stock returns or durations between arrivals of trades. In our framework, the shape of tails can be assessed by fitting some...

Persistent link: https://www.econbiz.de/10009578025

Two adaptive rates of convergence in pointwise density estimation

Butucea, Cristina - 1999

We consider density pointwise estimation and look for best attainable asymptotic rates of convergence. The problem is …). -- nonparametric density estimation ; adaptive rates ; Sobolev classes …

Persistent link: https://www.econbiz.de/10009579174

Parametric versus nonparametric goodness of fit : another view

Läuter, Henning; Nikulin, Michail S. - 1999

We consider chi-squared type tests for testing the hypothesis H 0 that a density f of observations X1,..., Xn lies in a parametric class of densities F. We consider a version of chi-squared type test using kernel estimates for the density. The main result is, following Liero, Läuter and Konakov...

Persistent link: https://www.econbiz.de/10009579178

Error reduction in density estimation under shape restrictions

Rychlik, Tomasz - 1999

For the problems of nonparametric estimation of nonincreasing and symmetric unimodal density functions with bounded … density classes satisfying some general moment conditions. The method of projections reduces the estimation errors for all … properties of the parent densities. -- error reduction ; Nonparametric density estimation ; monotone density ; symmetric unimodal …

Persistent link: https://www.econbiz.de/10009579180

Comparison of nonparametric goodness of fit tests

Läuter, Henning; Sachsenweger, Cornelia - 1999

maximum-likelihood-estimation (m.l.e.). The power of both tests will be examined under local alternatives. Although both tests …

Persistent link: https://www.econbiz.de/10009579183