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Using a bootstrap method to choose the sample fraction in tail index estimation

Daníelsson, Jón; Haan, Laurens de; Peng, L.; Vries, … - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the …

Persistent link: https://www.econbiz.de/10010232860

Broda, Simon A.; Kan, Raymond - 2013

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10010227300

A bootstrap-based method to achieve optimality in estimating the extreme-value index

Haan, Laurens de; Peng, Liang; Pereira, T. Themido - 1997

Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...

Persistent link: https://www.econbiz.de/10010342310

Kernel-smoothed conditional quantiles of correlated bivariate discrete data

Gooijer, Jan G. de; Yuan, Ao - 2011

Often socio-economic variables are measured on a discrete scale or rounded to protect confidentiality. Nevertheless, when exploring the effect of a relevant covariate on the whole outcome distribution of a discrete response variable, virtually all common quantile regression methods require the...

Persistent link: https://www.econbiz.de/10011382707

PyTimeVar : a python package for trending time-varying time series models

Song, Mingxuan; Sluis, Bernhard van der; Lin, Yicong - 2024

bootstrap methods to address this issue. Despite this, no software package in any language has yet offered the recently … implements nonparametric estimation along with multiple new bootstrap-assisted inference methods. It provides a range of … bootstrap techniques for constructing pointwise confidence intervals and simultaneous bands for parameter curves. Additionally …

Persistent link: https://www.econbiz.de/10015073325

Sukuk defaults : on distress resolution is Islamic finance

Wijnbergen, Sweder van; Zaheer, Sajjad - 2013

Persistent link: https://www.econbiz.de/10010191389

How to implement bootstrap hypothesis testing in static and dynamic regression models

Giersbergen, Noud P. van; Kiviet, Jan F. - 1994

Persistent link: https://www.econbiz.de/10000151691

A test for the portion of bivariate dependence in multivariate tail risk

Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014

. The asymptotic properties of the test are provided and a bootstrap based finite sample version of the test is suggested …

Persistent link: https://www.econbiz.de/10010246746

A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis

Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken "directly" from the observed data. The procedure is useful when one wants to summarize the test results for several time...

Persistent link: https://www.econbiz.de/10010250513

Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 2006

extraction includes bootstrap procedures for the computation of confidence intervals and real-time procedures for the forecasting …

Persistent link: https://www.econbiz.de/10011350381