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Müller, Marlene - 1998

Persistent link: https://www.econbiz.de/10009578584

Härdle, Wolfgang; Klinke, Sigbert; Marron, James Stephen - 1999

Statistics is considered to be a difficult science since it requires a variety of skills including handling of … quantitative data, graphical insights as well as mathematical ability. Yet ever increasing special knowledge of statistics is … educated statisticians is visible, our methods of teaching statistics follow essentially the ideas developed by our …

Persistent link: https://www.econbiz.de/10009579170

Nonparametric estimation and testing of interaction in additive models

Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998

statistics for testing the presence of interactions are proposed. Asymptotics for the test functions are obtained, but in this …

Persistent link: https://www.econbiz.de/10009574875

Functional coefficient autoregressive models : estimation and tests of hypotheses

Chen, Rong - 1998

In this paper we study nonparametric estimation and hypothesis testing procedures for the functional coefficient AR (FAR) models of the form Xt = f1(Xt-d)Xt-1 +…+ fp(Xt-d)Xt-p +εt, first proposed by Chen and Tsay (1993). As a direct generalization of the linear AR model, the FAR model is a...

Persistent link: https://www.econbiz.de/10009574879

Nonparametric factor analysis of time series

Rodríguez Poo, Juan Manuel; Linton, Oliver - 1998

We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel. -- Factor Analysis ; Time Series ; Kernel...

Persistent link: https://www.econbiz.de/10009578000

A nonparametric test for the stationary density

Neumann, Michael H.; Paparoditis, Efstathios - 1998

We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric estimate of the stationary density. It can be shown that...

Persistent link: https://www.econbiz.de/10009578009

A consistent nonparametric test of the convexity of regression based on least squares splines

Diack, Cheikh A. T. - 1998

This paper provides a test of convexity of a regression function. This test is based on the least squares splines. The test statistic is shown to be asymptotically of size equal to the nominal level, while diverging to infinity if the convexity is misspecified. Therefore, the test is consistent...

Persistent link: https://www.econbiz.de/10009578019

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...

Persistent link: https://www.econbiz.de/10009578026

A model specification test

Bartels, Knut - 1998

A general model specification test of a parametric model against a nonparametric or semiparametric alternative is studied. The test statistic employs a fixed kernel, not varying by a bandwidth. This test is proved to be consistent, the asymptotic distribution is derived and shown to be...

Persistent link: https://www.econbiz.de/10009578557

A minimality property of the minimal martingale measure

Schweizer, Martin - 1998

Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale part of X are also local P-martingales. We...

Persistent link: https://www.econbiz.de/10009578560