Showing 1 - 10 of 14
Persistent link: https://www.econbiz.de/10001439129
Persistent link: https://www.econbiz.de/10001364375
Prediction in time series models with a trend requires reliable estima- tion of the trend function at the right end of the observed series. Local polynomial smoothing is a suitable tool because boundary corrections are included implicitly. However, outliers may lead to unreliable estimates, if...
Persistent link: https://www.econbiz.de/10010324063
We investigate the behavior of nonparametric kernel M-estimators in the presence of long-memory errors. The optimal bandwidth and a central limit theorem are obtained. It turns out that in the Gaussian case all kernel M-estimators have the same limiting normal distribution. The motivation behind...
Persistent link: https://www.econbiz.de/10010324084
We investigate the behavior of nonparametric kernel M-estimators in the presence of long-memory errors. The optimal bandwidth and a central limit theorem are obtained. It turns out that in the Gaussian case all kernel M-estimators have the same limiting normal distribution. The motivation behind...
Persistent link: https://www.econbiz.de/10010316534
Prediction in time series models with a trend requires reliable estimation of the trend function at the right end of the observed series. Local polynomial smoothing is a suitable tool because boundary corrections are included implicitly. However, outliers may lead to unreliable estimates, if...
Persistent link: https://www.econbiz.de/10010316616
This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the quantification of these concepts we analyze the impact of...
Persistent link: https://www.econbiz.de/10010288998
Prediction in time series models with a trend requires reliable estimation of the trend function at the right end of the observed series. Local polynomial smoothing is a suitable tool because boundary corrections are included implicitly. However, outliers may lead to unreliable estimates, if...
Persistent link: https://www.econbiz.de/10009783567
Prediction in time series models with a trend requires reliable estimation of the trend function at the right end of the observed series. Local polynomial smoothing is a suitable tool because boundary corrections are included implicitly. However, outliers may lead to unreliable estimates, if...
Persistent link: https://www.econbiz.de/10011544323
We investigate the behavior of nonparametric kernel M-estimators in the presence of long-memory errors. The optimal bandwidth and a central limit theorem are obtained. It turns out that in the Gaussian case all kernel M-estimators have the same limiting normal distribution. The motivation behind...
Persistent link: https://www.econbiz.de/10011544721