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Nonparametric estimation and testing of interaction in additive models

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

Estimation …

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

Some crude approximation, calibration and estimation procedures for NIG-variates

Lillestöl, Jostein - 2002 - Rev.

In this paper we explore some crude approximation, calibration and estimation procedures for Normal Inverse Gaussian … (NIG) variates of potential use in risk management. Among others we treat in some detail the calibration of bivariate NIG … consistent with marginal NIG. -- risk management ; Normal Inverse Gaussian distribution …

Persistent link: https://www.econbiz.de/10009627276

Confidence intervals for state price densities

Hlávka, Zdeněk (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916784

Testing the diffusion coefficient

Kleinow, Torsten - 2002

In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...

Persistent link: https://www.econbiz.de/10009622677

Estimating state-price densities with nonparametric regression

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

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

Nonparametric kernel and regression spline estimation in the presence of measurement error

Maca, J. D.; Carroll, Raymond J.; Ruppert, David - 1997

techniques, regression splines and kernel estimation, of which both can be used in the presence of measurement error. Within the … ; Bandwidth Selection ; Regression Splines ; Sandwich Estimation …

Persistent link: https://www.econbiz.de/10009631749

Polynomial regression and estimation function in the presence of multiplication measurement error, with application to nutrition

Iturria, Stephen J.; Carroll, Raymond J.; Firth, David - 1997

In this paper we consider the polynomial regression model in the presence of multiplicative measurement error in the predictor. Consistent parameter estimates and their associated standard errors are derived. Two general methods are considered, with the methods differing in their assumptions...

Persistent link: https://www.econbiz.de/10009631750

Estimation of derivates for additive separable models

Severance-Lossin, E.; Sperlich, Stefan - 1997

paper extends this approach to the simultaneous estimation of both the function and its derivatives by combining the … integration procedure with a local polynomial approach. Finally the merits of this procedure with respect to the estimation of a … ; Additive Models ; Derivative Estimation ; Production Function …

Persistent link: https://www.econbiz.de/10009657128

The efficiency of bias-corrected estimators for nonparametric kernel estimation based on local estimating equations

Kauermann, Göran; Müller, Marlene; Carroll, Raymond J. - 1997

need for devices such as second derivative estimation and multiple bandwidths of different order. We derive a similar … estimator in the context of local (multivariate) estimation based on estimating functions. As expected, this lower order bias is …

Persistent link: https://www.econbiz.de/10009659631

The monetary model of the exchange rate : a structural interpretation

Moersch, Mathias; Nautz, Dieter - 1998

exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows …

Persistent link: https://www.econbiz.de/10009574885