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Adaptive weighting for flexible estimation in nonparametric regression models.

Nosedal-Sanchez, Alvaro - 2011

We propose a new method to find spatially adaptive smoothing splines. This new method breaks down the interval [0, 1] into p disjoint sub-intervals. Then we define p functional components in [0, 1], which have two importantfeatures. First, the purpose of each of these p components is to estimate...

Persistent link: https://www.econbiz.de/10009429662

Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk

Bianchi, Robert John - 2007

heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity …-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation … the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio …

Persistent link: https://www.econbiz.de/10009437793

Modeling physiological and anthropometric variables known to vary with body size and other confounding variables

Nevill, Alan M.; Bate, Stuart; Holder, Roger L. - 2005

This review explores the most appropriate methods of identifying population differences in physiological and anthropometric variables known to differ with body size and other confounding variables. We shall provide an overview of such problems from a historical point of view. We shall then give...

Persistent link: https://www.econbiz.de/10009458973

Efficiency and productivity analysis in ten Asian banking industries

Shen, Zhi - 2010

measure of determinants or heteroscedasticity. Both cases are considered in the empirical sections of this thesis. In the …

Persistent link: https://www.econbiz.de/10009461100

Conditional variance function checking in heteroscedastic regression models.

Samarakoon, Nishantha Anura - 2011

applicationsexhibit heteroscedasticity. The practical importance of detecting heteroscedasticityin regression analysis is widely …

Persistent link: https://www.econbiz.de/10009464098

Finansinio kintamumo modeliavimas apibendrintuoju Gegenbauer-LARCH modeliu

Osipavičiūtė, Aušra - 2009

Darbe siekiama aprašyti periodinį ilgos atminties finansinių laiko eilučių elgesį. Remiantis anksčiau sukurtais modeliais, siūlomas h-faktorių Gegenbauer-LARCH modelis, kuris į LARCH tipo proceso sąlyginės dispersijos lygtį įtraukia apibendrintą ilgos atminties filtrą, paremtą...

Persistent link: https://www.econbiz.de/10009479239

Estimating Farm Efficiency in the Presence of Double Heteroscedasticity Using Panel Data

Hadri, Kaddour; Guermat, Cherif; Whittaker, Julie - 2003

inefficiencies are sensitive to specification errors. One source of such errors is heteroscedasticity. This paper addresses this … issue by extending the Hadri (1999) correction for heteroscedasticity to stochastic production frontiers and to panel data …. It is argued that heteroscedasticity within an estimation can have a significant effect on results, and that correcting …

Persistent link: https://www.econbiz.de/10009445692

Nonparametric estimation of first passage time distributions in flowgraph models

Collins, David - 2009

Statistical flowgraphs represent multistate semi-Markov processes using integral transforms of transition time distributions between adjacent states; these are combinedalgebraically and inverted to derive parametric estimates for first passage time distributions between nonadjacent states. This...

Persistent link: https://www.econbiz.de/10009429650

Topics in functional data analysis with biological applications

Carroll, Raymond J. (contributor); Hsing, Tailen (contributor) - 2006

Functional data analysis (FDA) is an active field of statistics, in which the primary subjectsin the study are curves. My dissertation consists of two innovative applications offunctional data analysis in biology. The data that motivated the research broadened thescope of FDA and demanded new...

Persistent link: https://www.econbiz.de/10009464813

Sample size determination for kernel regression estimation using sequential fixed-width confidence bands

Dharmasena, L. Sandamali; Zeephongsekul, P.; de Silva, … - 2008

We consider a random design model based on independent and identically distributed pairs of observations (Xi, Yi), where the regression function m(x) is given by m(x) = E(Yi|Xi = x) with one independent variable. In a nonparametric setting the aim is to produce a reasonable approximation to the...

Persistent link: https://www.econbiz.de/10009484098