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On the impact of serial dependence on penalized regression methods
Tonini, Simone; Chiaromonte, Francesca; Giovannelli, … - 2022
This paper characterizes the impact of serial dependence on the non-asymptotic estimation error bound of penalized regressions (PRs). Focusing on the direct relationship between the degree of cross-correlation of covariates and the estimation error bound of PRs, we show that orthogonal or weakly...
Persistent link: https://www.econbiz.de/10013336165
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010237679
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Estimation procedures for exchangeable Marshall copulas with hydrological application
Durante, Fabrizio; Okhrin, Ostap - 2014
. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …
Persistent link: https://www.econbiz.de/10010238359
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010235324
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The impact of Thailand's openness on bilateral trade between Thailand and Japan : Copula-based Markov switching seemingly unrelated regression model
Pathairat Pastpipatkul; Petchaluck Boonyakunakorn; … - In: Economies : open access journal 8 (2020) 1/9, pp. 1-15
specified gravity equations are estimated by Copula-based Markov switching seemingly unrelated regression approach. The best … Student's t copula is applied for joint distribution. Analyzing the bilateral trade flow is separated into two situations …
Persistent link: https://www.econbiz.de/10012168770
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Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce misleading results. This occurs when a significant portion of the...
Persistent link: https://www.econbiz.de/10010402973
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Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - 2016
In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test for detecting situations when such pairwise measures are inadequate and give incomplete results. This occurs when a significant portion of the multivariate dependence...
Persistent link: https://www.econbiz.de/10011414706
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Estimating the impact of alternative multiple imputation methods on longitudinal wealth data : conference paper
Westermeier, Christian; Grabka, Markus M. - 2014
Statistical Analysis in surveys is often facing missing data. As case-wise deletion and single imputation prove to have undesired properties, multiple imputation remains as a measure to handle this problem. In a longitudinal study, where for some missing values past or future data points might...
Persistent link: https://www.econbiz.de/10010483239
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Testing Linearity Using Power Transforms of Regressors
Baek, Yaein - 2013
We develop a method of testing linearity using power transforms of regressors, allowing for stationary processes and time trends. The linear model is a simplifying hypothesis that derives from the power transform model in three different ways, each producing its own identification problem. We...
Persistent link: https://www.econbiz.de/10013075933
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010
promising class of models are the hierarchical Archimedean copulae (HAC) that allow for non-exchangeable and non … for stock indices the copula parameter changes dynam- ically but the hierarchical structure is constant over time …. Interestingly in our exchange rate example both structure and parameters vary dynamically. -- copula ; multivariate distribution …
Persistent link: https://www.econbiz.de/10003953027