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A simultaneous confidence corridor for varying coefficient regression with sparse functional data

Gu, Lijie; Wang, Li; Härdle, Wolfgang; Yang, Lijian - 2014

We consider a varying coefficient regression model for sparse functional data, with time varying response variable depending linearly on some time independent covariates with coefficients as functions of time dependent covariates. Based on spline smoothing, we propose data driven simultaneous...

Persistent link: https://www.econbiz.de/10010225740

Integrated conditional moment tests for parametric conditional distributions

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Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

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Estimation of spot volatility with superposed noisy data

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Is the short rate drift actually nonlinear?

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Using proxies for the short rate : when are three months like an instant?

Chapman, David A.; Long, John B.; Pearson, Neil D. - In: The review of financial studies 12 (1999) 4, pp. 763-806

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Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier

Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92

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A Simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data

Gu, Lijie - 2017

Persistent link: https://www.econbiz.de/10012966539