Similar Search Results

Nonparametric inference for second order stochastic dominance

Schmid, Friedrich; Trede, Mark - 1996

This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance are influenced by sampling errors. We establish...

Persistent link: https://www.econbiz.de/10008992397

Non-Parametric Inference for the Effect of a Treatment on Survival Times with Application in the Health and Social Sciences

DeLuna, Xavier - 2009

In this paper we perform inference on the effect of a treatment on survival times in studies where the treatment assignment is not randomized and the assignment time is not known in advance. Two such studies are discussed: a heart transplant program and a study of Swedish unemployed eligible for...

Persistent link: https://www.econbiz.de/10012765090

Nonparametric Specification Testing in Nonlinear and Nonstationary Time Series Models : Theory and Practice

Chen, Jia - 2013

general semiparametric local alternatives. The asymptotic theory developed in this paper differs from existing work on … illustrate the proposed theory and methodology …

Persistent link: https://www.econbiz.de/10013084965

A Tale of Two Time Scales : Applications in Nonparametric Hawkes Processes With Ito Semimartingale Baseline

Yu, Seunghyeon; Potiron, Yoann - 2022

estimates and truncated Two Scales Realized Volatility of these estimates, together with its central limit theory and feasible … statistics. As a byproduct, we provide estimation and feasible limit theory of the branching ratio (i.e. the L1-norm of the …-varying baseline, and for the absence of Brownian diffusion in the baseline. Simulation studies corroborate the theory, and document …

Persistent link: https://www.econbiz.de/10013403725

Testing for Non-Nested Conditional Moment Restrictions Via Conditional Empirical Likelihood

Otsu, Taisuke; Whang, Yoon-jae - 2005

We propose non-nested tests for competing conditional moment restriction models using a method of empirical likelihood. Our tests are based on the method of conditional empirical likelihood developed by Kitamura, Tripathi and Ahn (2004) and Zhang and Gijbels (2003). By using the conditional...

Persistent link: https://www.econbiz.de/10014062341

Nonparametric Tests of Commodity Futures Market Efficiency

McKenzie, Andrew M.; Djunaidi, Harjanto; Wailes, Eric J.; … - 2004

Commodity futures markets carry out two important marketing functions with respect to agricultural products: (1) a price discovery role and (2) a price risk management role. The relative effectiveness with which futures markets fulfill these two roles is dependent on the efficiency of the...

Persistent link: https://www.econbiz.de/10014069916

Spectral estimation of the fractional order of a Lévy process

Belomestny, Denis - 2009

We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...

Persistent link: https://www.econbiz.de/10003828645

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...

Persistent link: https://www.econbiz.de/10003971115

A Method of Moments Estimator of Tail Dependence

Einmahl, John H. J.; Krajina, Andrea; Segers, Johan - 2007

In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly multivariate setting. We consider a...

Persistent link: https://www.econbiz.de/10014223096

Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests

Camponovo, Lorenzo - 2011

asymptotic refinements implied with respect to the standard asymptotic theory. Our approach delivers the same higher order …

Persistent link: https://www.econbiz.de/10014178027