Similar Search Results

Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality

Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Persistent link: https://www.econbiz.de/10003636133

The bayesian additive classification tree applied to credit risk modelling

Zhang, Junni L. (contributor); Härdle, Wolfgang (contributor) - 2008

important for banks to construct their risk profile and operate successfully. We use the German Creditreform database and …

Persistent link: https://www.econbiz.de/10003635971

Optimal smoothing for a computationally and statistically efficient single index estimator

Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - 2009

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical...

Persistent link: https://www.econbiz.de/10003835181

Generalized single-index models : the EFM approach

Cui, Xia; Härdle, Wolfgang; Zhu, Lixing - 2009

Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and financial econometrics. Estimating and testing the model...

Persistent link: https://www.econbiz.de/10003893146

Nonparametric estimation of risk-neutral densities

Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … of the risk neutral density. The first estimator is a kernel smoother of the second derivative of call prices, while the … we assume the existence of a stochastic discount factor (pricing kernel) which establishes the risk neutral density …

Persistent link: https://www.econbiz.de/10003953034

Estimation procedures for exchangeable Marshall copulas with hydrological application

Durante, Fabrizio; Okhrin, Ostap - 2014

Complex phenomena in environmental sciences can be conveniently represented by several inter-dependent random variables. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we consider a novel family of bivariate copulas, called...

Persistent link: https://www.econbiz.de/10010238359

Simultaneous inference for the partially linear model with a multivariate unknown function when the covariates are measured with errors

Kim, Kun Ho; Chao, Shih-Kang; Härdle, Wolfgang - 2016

In this paper, we analyze the nonparametric part of a partially linear model when the covariates in parametric and non-parametric parts are subject to measurement errors. Based on a two-stage semi-parametric estimate, we construct a uniform con dence surface of the multivariate function for...

Persistent link: https://www.econbiz.de/10011518796

Uncertainty and employment dynamics in the euro area and the US

Netšunajev, Aleksei; Glass, Katharina - 2016

In this paper we investigate transmission and spillovers of local and foreign economic policy uncertainty shocks to unemployment in two largest economic regions in the world - the United States (US) and the Euro area (EA). For this purpose we deploy Bayesian Markov-switching structural vector...

Persistent link: https://www.econbiz.de/10011437769

Beta-boosted ensemble for big credit scoring data

Zieba, Maciej; Härdle, Wolfgang - 2016

In this work we present a novel ensemble model for a credit scoring problem. The main idea of the approach is to incorporate separate beta binomial distributions for each of the classes to generate balanced datasets that are further used to construct base learners that constitute the final...

Persistent link: https://www.econbiz.de/10011572087

Stock picking via nonsymmetrically pruned binary decision trees

Andriyashin, Anton V. (contributor) - 2008

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

Persistent link: https://www.econbiz.de/10003727376

1
2
3
4
5
6
7
8
9
10
Next
Last