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A new approach in non-parametric estimation of returns in mean-downside risk portfolio frontier
Ben Salah, Hanene; Gannoun, Ali; Ribatet, Mathieu - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 169-197
Persistent link: https://www.econbiz.de/10012253633
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Stressed portfolio optimization with semiparametric method
Han, Chuan-Hsiang; Wang, Kun - In: Financial innovation : FIN 8 (2022), pp. 1-34
Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and...
Persistent link: https://www.econbiz.de/10013170237
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Causal inference in case-control studies
Jun, Sung Jae; Lee, Sokbae - 2020
out that the odds ratio is generally a sharp upper bound for counterfactual relative risk under some monotonicity …
Persistent link: https://www.econbiz.de/10012216988
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Statistical inference on uncertain nonparametric regression model
Ding, Jianhua; Zhang, Zhiqiang - In: Fuzzy optimization and decision making : a journal of … 20 (2021) 4, pp. 451-469
Persistent link: https://www.econbiz.de/10012651790
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Estimating stochastic production frontiers : a one-stage multivariate semiparametric Bayesian concave regression method
Preciado Arreola, José Luis; Johnson, Andrew L.; Chen, … - In: European journal of operational research : EJOR 287 (2020) 2, pp. 699-711
Persistent link: https://www.econbiz.de/10012293942
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Bayesian semiparametric quantile regression modeling for estimating earthquake fatality risk
Jiang, Xuejun; Li, Yunxian; Yang, Aijun; Zhou, Ruowei - In: Empirical economics : a journal of the Institute for … 58 (2020) 5, pp. 2085-2103
Persistent link: https://www.econbiz.de/10012254175
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Minimax Risk and Uniform Convergence Rates for Nonparametric Dyadic Regression
Graham, Bryan S.; Niu, Fengshi; Powell, James L. - 2023
We study nonparametric regression in a setting where N(N-1) dyadic outcomes are observed for N randomly sampled units … sets of results. First, we calculate lower bounds on the minimax risk for estimating the regression function at (i) a point … analog of the familiar Nadaraya-Watson (NW) kernel regression estimator. We show that the NW kernel regression estimator …
Persistent link: https://www.econbiz.de/10014347179
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Variable selection and functional form uncertainty in cross-country growth regressions
Salimans, Tim - 2011
Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the … uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function …
Persistent link: https://www.econbiz.de/10011382708
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Nonparametric estimation of competing risks models with covariates
Fermanian, Jean-David - 2001
Persistent link: https://www.econbiz.de/10001577411