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A mortality model for multi-populations : a semi-parametric approach
Fang, Lei; Härdle, Wolfgang; Park, Juhyun - 2016
Mortality is different across countries, states and regions. Several empirical research works however reveal that … mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing mortality … the empirical findings, we make the study of estimating and forecasting mortality rates based on a semi …
Persistent link: https://www.econbiz.de/10011489251
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A Bayesian approach for inference on probabilistic surveys
Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022
We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We...
Persistent link: https://www.econbiz.de/10013336345
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Nonparametric Estimation of the Volatility Under Microstructure Noise : Wavelet Adaptation
Hoffmann, Marc - 2010
We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data are blurred by additional noise. This noise can be white or correlated, and serves as a model for microstructure effects in financial modeling, when the data are given on an...
Persistent link: https://www.econbiz.de/10013139169
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Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts
De Gooijer, Jan G. - 2019
We propose a hybrid penalized averaging for combining parametric and non-parametric quantile forecasts when faced with a large number of predictors. This approach goes beyond the usual practice of combining conditional mean forecasts from parametric time series models with only a few predictors....
Persistent link: https://www.econbiz.de/10012859663
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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...
Persistent link: https://www.econbiz.de/10011350381
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Spline smoothing over difficult regions
Koopman, Siem Jan; Wong, Soon Yip - 2008
We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...
Persistent link: https://www.econbiz.de/10011377377
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Long Memory in Stock Returns : An Analysis Using a Wavelet Based Semi-Parametric Estimator
Bhandari, Avishek - 2018
The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity and existence of long memory in the volatility of stock...
Persistent link: https://www.econbiz.de/10012920334
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Efficient estimation of conditionally linear and Gaussian state space models
Moura, Guilherme Valle; Turatti, Douglas Eduardo - In: Economics letters 124 (2014) 3, pp. 494-499
Persistent link: https://www.econbiz.de/10010495099
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Semiparametric Regression for Dual Population Mortality
Venter, Gary - 2019
mortality modeling for related populations. Bayesian shrinkage of slope changes of linear splines is an approach to …
Persistent link: https://www.econbiz.de/10012859790
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Stochastic population analysis : a functional data approach
Fang, Lei; Härdle, Wolfgang - 2015
Based on the Lee-Carter (LC) model, the benchmark in population forecasting, a variety of extensions and modifications are proposed in this paper. We investigate one of the extensions, the Hyndman-Ullah (HU) method and apply it to Asian demographic data sets: China, Japan and Taiwan. It combines...
Persistent link: https://www.econbiz.de/10010477583