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Statistical inference for inverse problems

Bissantz, Nicolai; Holzmann, Hajo - 2007

In this paper we study statistical inference for certain inverse problems. We go beyond mere estimation purposes and review and develop the construction of confidence intervals and confidence bands in some inverse problems, including deconvolution and the backward heat equation. Further, we...

Persistent link: https://www.econbiz.de/10010300678

Microstructure noise in the continuous case: the pre-averaging approach

Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark - 2007

This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the...

Persistent link: https://www.econbiz.de/10010300691

The maximum asymptotic bias of outlier identifiers

Becker, Claudia; Gather, Ursula - 1998

In their paper, Davies and Gather (1993) formalized the task of outlier identification, considering also certain performance criteria for outlier identifiers. One of those Criteria, the maximum asymptotic bias, is carried over here to multivariate outlier identifiers. We show how this term...

Persistent link: https://www.econbiz.de/10010316592

The consistency of s2 in the linear regression model when the disturbances are spatially correlated

Gotu, Butte - 1999

Conditions for the consistency of the estimator s2 of the variance of the disturbance a2u under first-order spatial …

Persistent link: https://www.econbiz.de/10010316704

Locally D-optimal Designs for Exponential Regression

Wong, Weng Kee; Melas, Viatcheslav B.; Dette, Holger - 2004

We study locally D-optimal designs for some exponential models that are frequently used in the biological sciences. The model can be written as an algebraic sum of two or three exponential terms. We show that approximate locally D-optimal designs are supported at a minimal number of points and...

Persistent link: https://www.econbiz.de/10010296604

Optimal designs for 3D shape analysis with spherical harmonic descriptors

Pepelyshev, Andrey; Melas, Viatcheslav B.; Dette, Holger - 2004

We determine optimal designs for some regression models which are frequently used for describing 3D shapes. These … information matrix in the spherical harmonic regression model as the uniform distribution and are therefore directly implementable …

Persistent link: https://www.econbiz.de/10010296608

Nonparametric Analysis of Covariance : the Case of Inhomogeneous and Heteroscedastic Noise

Scholz, Achim; Neumeyer, Natalie; Munk, Axel - 2004

The purpose of this paper is to propose a procedure for testing the equality of several regression curves fi in … nonparametric regression models when the noise is inhomogeneous. This extends work of Dette and Neumeyer (2001) and it is shown that … maximum likelihood statistic from a heteroscedastic one way ANOVA to the context of nonparametric regression. The maximum …

Persistent link: https://www.econbiz.de/10010296611

A Note on the Dimension of the Projection Space in a Latent Factor Regression Model with Application to Business Cycle Classification

Weihs, Claus; Luebke, Karsten - 2004

In this paper it is shown that the number of latent factors in a multiple multivariate regression model need not be …

Persistent link: https://www.econbiz.de/10010296612

Bootstrap tests for the error distribution in linear and nonparametric regression models

Nagel, Eva-Renate; Dette, Holger; Neumeyer, Natalie - 2004

common linear and nonparametric regression model, which are based on empirical processes of residuals. It is well known that … linear and nonparametric regression models. …

Persistent link: https://www.econbiz.de/10010296621

A comparative study of monotone nonparametric kernel estimates

Pilz, Kay F.; Dette, Holger - 2004

In this paper we present a detailed numerical comparison of three monotone nonparametric kernel regression estimates … Pilz (2003) and combines density and regression estimation techniques to obtain a monotone curve estimate of the inverse of … the isotone regression function. The three concepts are briefly reviewed and their finite sample properties are studied by …

Persistent link: https://www.econbiz.de/10010296624