Similar Search Results

Smoothed influence function : another view at robust nonparametric regression

Tamine, Julien - 2001

In this work, we introduce a smoothed influence function that constitute a theoretical tool for studying the outliers robustness properties of a large class of nonparametric estimators. With this tool, we first show the nonrobustness of the Nadaraya-Watson estimator of regression. Then we show...

Persistent link: https://www.econbiz.de/10009626684

M robustified additive nonparametric regression

Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002

reducing the problem of estimating a multivariate regression function to the estimation of its univariate components …. Estimation of these univariate functions, however, can suffer inaccuracy if the data set is contaminated with extreme …

Persistent link: https://www.econbiz.de/10009626746

Comparison of model reduction methods for VAR processes

Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - 2002

The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....

Persistent link: https://www.econbiz.de/10009627281

R robustified additive nonparametric regression

Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002

outliers whose detection and removal are particularly difficult to achieve in high dimension. We propose an estimation …

Persistent link: https://www.econbiz.de/10009627283

Stationary equilibria in discounted stochastic games with weakly interacting players

Horst, Ulrich - 2002

We give sufficient conditions for a non-zero sum discounted stochastic game with compact and convex action spaces and with norm-continuous transition probabilities, but with possibly unbounded state space to have a N ash equilibrium in homogeneous Markov strategies that depends in a Lipsehitz...

Persistent link: https://www.econbiz.de/10009627284

Credit contagion and aggregate losses

Giesecke, Kay; Weber, Stefan - 2002

theory of interacting particle systems. We clarify the structure of the equilibrium joint rating distribution using ergodic … risk. After a proper re-scaling taking care of the heavy tails induced by the contagion dynamics, we provide a normal … losses ; voter model ; Choquet theory ; ergodic decomposition ; re-scaling …

Persistent link: https://www.econbiz.de/10009627288

A comparison of punishment rules in repeated public good games : an experimental study

Decker, Torsten; Stiehler, Andreas; Strobel, Martin - 2002

In this experimental study we analyse three collective and one individual punishment rule in a public good setting. We show that under all punishment rules cooperation is stronger and more sustainable than reported from settings without punishment. Moreover, we present evidence and explanations...

Persistent link: https://www.econbiz.de/10009627290

Estimating the Kronecker indices of cointegrated echelon form VARMA models

Bartel, Holger; Lütkepohl, Helmut - 1997

Cointegrated VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of cointegrated echelon form VARMA models are discussed and compared. They have the common feature of estimating...

Persistent link: https://www.econbiz.de/10009630541

Teaching wavelets in XploRe

Klinke, Sigbert; Golubev, Yuri; Härdle, Wolfgang; … - 1997

Teachware is a set of computer software tools for computeraided interactive teaching of certain knowledge elements. The construction of teachware for statistical knowledge is a rather young field since it heavily depends on data structures and graphical interaction possibilities. In this paper...

Persistent link: https://www.econbiz.de/10009630542

Rank tests for unit roots

Breitung, Jörg; Gouriéroux, Christian - 1996

In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score statistic is suggested which appears to have attractive theoretical...

Persistent link: https://www.econbiz.de/10009630543