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On robustness of model-based bootstrap schemes in nonparametric time series analysis
Neumann, Michael H. - 1997
Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating …
Persistent link: https://www.econbiz.de/10009660380
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M robustified additive nonparametric regression
Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002
Additive modelling has been widely used in nonparametric regression to circumvent the "curse of dimensionality", by reducing the problem of estimating a multivariate regression function to the estimation of its univariate components. Estimation of these univariate functions, however, can suffer...
Persistent link: https://www.econbiz.de/10009626746
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R robustified additive nonparametric regression
Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002
Additive modelling is known to be useful for multivariate nonparametric regression as it reduces the complexity of problem to the level of univariate regression. This usefulness could be compromised if the data set was contaminated by outliers whose detection and removal are particularly...
Persistent link: https://www.econbiz.de/10009627283
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Robust estimation with discrete explanatory variables
Čížek, Pavel - 2002
Persistent link: https://www.econbiz.de/10009627285
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Robust Kalman filtering
Ruckdeschel, Peter - 2000
Persistent link: https://www.econbiz.de/10009611552
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Least trimmed squares
Čížek, Pavel; Víšek, Jan Ámos - 2000
Persistent link: https://www.econbiz.de/10009611558
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Robust adaptive estimation of dimension reduction space
Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001918932
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Does cascade behavior in information cascades reflect Bayesian updating? : an experimental study
Oberhammer, Clemens; Stiehler, Andreas - 2001
Updating behavior in cascade experiments is usually investigated on the basis of urn prediction. But urn predictions alone can only provide a very rough information on individual updating behavior. Therefore, we implement a BDM mechanism. Subjects have to submit maximum prices that they are...
Persistent link: https://www.econbiz.de/10009613603
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Local risk-minimization under transaction costs
Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998
incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a … nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy … under the inclusion of transaction costs: The preceding strategy which is locally risk-minimizing inclusive of transaction …
Persistent link: https://www.econbiz.de/10009576212
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The costs of not knowing the radius
Rieder, Helmut; Kohl, Matthias; Ruckdeschel, Peter - 2001
We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for … the relative risk is minimized in the case that the radius is known only to belong to some interval [pr, l'/p] " The … effect of increasing parameter dimension is studied for these models. The minimax increase of relative risk in ease p = 0 …
Persistent link: https://www.econbiz.de/10009616786