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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

Estimating yield curves by Kernel smoothing methods

Linton, Oliver; Mammen, Enno; Nielsen, Jens Perch; … - 1998

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government … although we do show how to impose various restrictions in the estimation. Our method is based on Kernel smoothing and is … our estimation procedure is iterative, rather like the backfitting method of estimating non-parametric models. We …

Persistent link: https://www.econbiz.de/10009580489

A nonparametric test of the non-convexity of regression

Diack, Cheikh A. T.; Thomas-Agnan, Christine - 1998

This paper proposes a nonparametric test of the non-convexity of a smooth regression function based on least squares or hybrid splines. By a simple formulation of the convexity hypothesis in the class of all polynomial cubic splines, we build a test which has an asymptotic size equal to the...

Persistent link: https://www.econbiz.de/10009578020

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

Asymptotic normality of parametric part in partially linear models with measurement error in the nonparametric part

Liang, Hua - 1997

We consider the partially linear model relating a response Y to predictors (X,T) with mean function XT β + g(T) when the T's are measured with additive error. We derive an estimator of β by modification local-likelihood method. The resulting estimator of β is shown to be asymptotically...

Persistent link: https://www.econbiz.de/10009657894

Asymptotic properties of the nonparametric part in partial linear heteroscedastic regression models

Liang, Hua; Härdle, Wolfgang; Werwatz, Axel - 1997

Persistent link: https://www.econbiz.de/10009659060

Semiparametric regression analysis under imputation for missing response data

Wang, Qihua; Härdle, Wolfgang; Linton, Oliver - 2002

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator and an empirical likelihood based one for the mean of the response variable are defined. Both the estimators are proved to be asymptotically normal, with...

Persistent link: https://www.econbiz.de/10009620774

Does male age have an influence on the risk of spontaneous abortion? : an approach combining semiparametric and parametric regression

Slama, Rémy; Werwatz, Axel; Boutou, Odile; Ducot, Béatrice - 2002

Couples from Western countries tend to delay their pregnancies, which may affect their ability to obtain a live birth. We assessed the association between male age and the risk of spontaneous abortion taking into account woman's age. We performed telephone interviews on a ross-sectional random...

Persistent link: https://www.econbiz.de/10009621414

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

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