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Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
Weissbach, Rafael; Paparoditis, Efstathios - 2008
We propose a general bootstrap procedure to approximate the null distribution of nonparametric frequency domain tests about the spectral density matrix of a multivariate time series. Under a set of easy to verify conditions, we establish asymptotic validity of the proposed bootstrap procedure....
Persistent link: https://www.econbiz.de/10003837761
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Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung : Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und ein...
Dannenberg, Henry - 2009
für eine genaue Bewertung voraus. Als Alternative bietet sich bei kurzen Datenhistorien Bootstrapping an. Diese Methode … verfügbarer Perioden Bootstrapping und eine WaldKonfidenzregion zu einer vergleichbaren Bewertung des Kreditrisikos gelangen. Die …. -- Kreditrisikobewertung ; Konfidenzregion ; Schätzunsicherheit ; Bootstrapping …
Persistent link: https://www.econbiz.de/10003825755
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Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung : Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und ein...
Dannenberg, Henry - In: Kredit und Kapital 43 (2010) 4, pp. 559-585
Persistent link: https://www.econbiz.de/10008826413
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Automatic spectral density estimation for random fields on a lattice via bootstrap
Vidal-Sanz, Jose M. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003570575
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Enhancing prioritisation of technical attributes in quality function deployment
Iqbal, Zafar; Grigg, Nigel P.; Govindaraju, K.; … - In: The international journal of productivity and … 64 (2015) 3, pp. 398-415
Persistent link: https://www.econbiz.de/10011279617
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Testing conditional independence restrictions
Linton, Oliver; Gozalo, Pedro L. - In: Econometric reviews 33 (2014) 5/6, pp. 523-552
Persistent link: https://www.econbiz.de/10010360794
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Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10010361470
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Conditional predictive density evaluation in the presence of instabilities
Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of econometrics 177 (2013) 2, pp. 199-212
Persistent link: https://www.econbiz.de/10010254876
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A new class of copulas involving geometric distribution : estimation and applications
Zhang, Kong-Sheng; Lin, Jin-Guan; Xu, Pei-Rong - In: Insurance / Mathematics & economics 66 (2016), pp. 1-10
Persistent link: https://www.econbiz.de/10011442646
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Testing many moment inequalities
Chernozhukov, Victor; Chetverikov, Denis; Kato, Kengo - 2016 - This version: September 10, 2015
This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are variety of economic applications where the problem of testing many moment in- equalities appears; a notable...
Persistent link: https://www.econbiz.de/10011525823