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Multiscale testing of qualitative hypotheses

Dümbgen, Lutz; Spokojnyj, Vladimir G. - 1999

Suppose that one observes a process Y on the unit interval, where dY(t) = n 1/ 2f(t)dt + dW(t) with an unknown function parameter f, given scale parameter n N 1 ("sample size") and standard Brownian motion W. We propose two classes of tests of qualitative nonparametric hypotheses about f such...

Persistent link: https://www.econbiz.de/10009582407

Teaching statistics with XploRe

Müller, Marlene - 1998

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

The three dimensions of multimedia teaching of statistics

Derby, Nathaniel; Härdle, Wolfgang; Rönz, Bernd - 1999

Statistics is often difficult for students, since it requires coordination of quantitative and graphical insights with mathematical ability. Furthermore, ever-increasing special knowledge of statistics is demanded, since data of increasing complexity and size need to be understood and analyzed....

Persistent link: https://www.econbiz.de/10009581096

MD*Book and XQC/XQS - an architecture for reproducible research

Klinke, Sigbert (contributor); Lehmann, Heiko (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916797

Convex measures of risk and trading constraints

Föllmer, Hans; Schied, Alexander - 2001

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case...

Persistent link: https://www.econbiz.de/10009615426

Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Persistent link: https://www.econbiz.de/10009581108

Distribution-invariant dynamic risk measures

Weber, Stefan (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001917139

Measurement error, biases, and the validation of complex models

Carroll, Raymond J.; Galindo, Christian D. - 1997

There are three major points to this article: 1. Measurement error causes biases in regression fits. The line one would … exposure with error. 2. The effects of measurement error vary from study-to-study. It is dangerous to take measurement error … corrections derived from one study and apply them to data from entirely different studies or populations. 3. Measurement error can …

Persistent link: https://www.econbiz.de/10009631751

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

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