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Confidence Corridors for Multivariate Generalized Quantile Regression
Chao, Shih-Kang; Proksch, Katharina; Dette, Holger; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur … demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the … bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a …
Persistent link: https://www.econbiz.de/10010772306
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Confidence corridors for multivariate generalized quantile regression
Chao, Shih-kang; Proksch, Katharina; Dette, Holger; … - 2014
coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur … demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the … bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a …
Persistent link: https://www.econbiz.de/10010354164
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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
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LASSO-driven inference in time and space
Chernozhukov, Victor; Härdle, Wolfgang; Huang, Chen; … - 2018
chosen by a block multiplier bootstrap procedure to account for multiplicity of the equations and dependencies in the data …-biased simultaneous inference on the many target parameters of the system. We provide bootstrap consistency results of the test procedure …
Persistent link: https://www.econbiz.de/10011941488
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LASSO-driven inference in time and space
Chernozhukov, Victor; Härdle, Wolfgang; Huang, Chen; … - 2019
selection purpose, and an overall penalty level is carefully chosen by a block multiplier bootstrap procedure to account for … system. We provide bootstrap consistency results of the test procedure, which are based on a general Bahadur representation …
Persistent link: https://www.econbiz.de/10012146373
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LASSO-driven inference in time and space
Chernozhukov, Victor; Härdle, Wolfgang; Huang, Chen; … - 2019
selection purpose, and an overall penalty level is carefully chosen by a block multiplier bootstrap procedure to account for … system. We provide bootstrap consistency results of the test procedure, which are based on a general Bahadur representation …
Persistent link: https://www.econbiz.de/10012003693
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LASSO-driven inference in time and space
Chernozhukov, Victor; Härdle, Wolfgang; Huang, Chen; … - 2018
chosen by a block multiplier bootstrap procedure to account for multiplicity of the equations and dependencies in the data …-biased simultaneous inference on the many target parameters of the system. We provide bootstrap consistency results of the test procedure …
Persistent link: https://www.econbiz.de/10011865621
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Adaptive pointwise estimation in time-inhomogeneous time-series models
Cizek, Pavel; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...
Persistent link: https://www.econbiz.de/10005677996
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Measuring and Modeling Risk Using High-Frequency Data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10005678039
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A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10005678044