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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
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A nonparametric regression estimator that adapts to error distribution of unknown form
Linton, Oliver; Xiao, Zhijie - 2001
We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our estimator is asymptotically equivalent to the infeasible local maximum...
Persistent link: https://www.econbiz.de/10009613602
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Non-uniformity of job-matching in a transition economy : a nonparametric analysis for the Czech Republic
Profit, Stefan; Sperlich, Stefan - 1998
We consider problems in modelling job-matching in the Czech Republic during the transition to a market economy. Special … interest is devoted to functional form considerations and the analysis of returns to scale of the matching function. This … explorative study aims to shed some light into the black-box of the matching technology by applying nonparametric estimation …
Persistent link: https://www.econbiz.de/10009574874
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An equality test across nonparametric regressions
Lavergne, Pascal - 1998 - Rev.
A procedure for testing equality across nonparametric regressions is proposed. The procedure allows for any dimension of the explanatory variables and for any number of subsamples. We consider the case of random explanatory variables and allow the designs of the regressors and the number of...
Persistent link: https://www.econbiz.de/10009578576
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An adaptive, rate-optimal test of a parametric model against a nonparametric alternative
Horowitz, Joel; Spokojnyj, Vladimir G. - 1999
We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the...
Persistent link: https://www.econbiz.de/10009579179
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Estimating state-price densities with nonparametric regression
Huynh, Kim; Kervella, Pierre; Zheng, Jun - 2002
Persistent link: https://www.econbiz.de/10009624851
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Numerical results concerning a sharp adaptive density estimator
Butucea, Cristina - 1999
We give here a simulation study of a density estimator, issued from sharp adaptive estimation. This nonparametric estimator was previously proved to have interesting theoretical properties. In this paper we describe the method and apply it successfully to i.i.d. simulated data issued from...
Persistent link: https://www.econbiz.de/10009580480
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Robust estimation in nonlinear regression and limited dependent variable models
Čížek, Pavel - 2001
Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very sensitive to misspecification and data errors. On the other hand, semiparametric and nonparametric methods, which are not restricted by parametric assumptions, require more data...
Persistent link: https://www.econbiz.de/10009618360
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The dynamics of implied volatilities : a common principal components approach
Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - 2001
It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of...
Persistent link: https://www.econbiz.de/10009613597
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Extracting implicit density functions from short term interest rate options
Nielsen, Hannah - 2001
Using option prices the expectations of the market participants concerning the underlying asset can be extracted as well as the uncertainty surrounding these expectations. In this paper a mixture of lognormal density functions will be assumed to analyze options on three-month Euribor futures for...
Persistent link: https://www.econbiz.de/10009614294