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Tie the straps : uniform bootstrap con fidence bands for bounded influence curve estimators

Härdle, Wolfgang; Ritov, Ya'acov; Wang, Weining - 2013

We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are developed for additive models with both symmetric error...

Persistent link: https://www.econbiz.de/10010195959

Robust Estimation of Dimension Reduction Space

Čížek, Pavel; Härdle, Wolfgang - 2005

Most dimension reduction methods based on nonparametric smoothing are highly sensitive to outliers and to data coming from heavy-tailed distributions. We show that the recently proposed methods by Xia et al. (2002) can be made robust in such a way that preserves all advantages of the original...

Persistent link: https://www.econbiz.de/10014065519

Implied basket correlation dynamics

Härdle, Wolfgang; Silyakova, Elena - 2012

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …

Persistent link: https://www.econbiz.de/10009665551

Implied Basket Correlation Dynamics

Härdle, Wolfgang - 2016

Persistent link: https://www.econbiz.de/10012999402

Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient

Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 2000

In this paper we propose a new bootstrap, or Monte-Carlo, approach to such problems. Traditional bootstrap methods in this context are based on fitting a process chosen from a wide but relatively conventional range of discrete time series models, including autoregressions, moving averages,...

Persistent link: https://www.econbiz.de/10014164282

Confidence corridors for multivariate generalized quantile regression

Chao, Shih-Kang; Proksch, Katharina; Dette, Holger; … - 2014

We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest which follow...

Persistent link: https://www.econbiz.de/10010354164

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

Simultaneous Inference for the Partially Linear Model with A Multivariate Unknown Function When the Covariates are Measured with Errors

Kim, Kun Ho - 2016

Persistent link: https://www.econbiz.de/10012985785

Confidence Corridors for Multivariate Generalized Quantile Regression

Chao, Shih-Kang - 2016

Persistent link: https://www.econbiz.de/10012998710

Robust locally adaptive nonparametric regression

Härdle, Wolfgang; Cybakov, Aleksandr B. - 1990

Persistent link: https://www.econbiz.de/10000793285