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Flexible mixture-amount models for business and industry using Gaussian processes

Ruseckaite, Aiste; Fok, Dennis; Goos, Peter - 2016

Many products and services can be described as mixtures of ingredients whose proportions sum to one. Specialized models have been developed for linking the mixture proportions to outcome variables, such as preference, quality and liking. In many scenarios, only the mixture proportions matter for...

Persistent link: https://www.econbiz.de/10011531150

A nonparametric approach to evaluating inflation-targeting regimes

Razzak, Weshah A.; Nasser, Rabie - 2008

We use a variety of nonparametric test statistics to evaluate the inflation- targeting regimes of Australia, Canada, New Zealand, Sweden and the UK. We argue that a sensible approach of evaluation must rely on a variety of methods, among them parametric and nonparametric econometric methods, for...

Persistent link: https://www.econbiz.de/10011523636

Nonparametric change-point analysis of volatility

Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itô semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...

Persistent link: https://www.econbiz.de/10010477582

Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

Linton, Oliver B. - 2009

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...

Persistent link: https://www.econbiz.de/10013159967

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

Linton, Oliver B.; Song, Kyungchul; Whang, Yoon-Jae - 2008

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or sub-sampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...

Persistent link: https://www.econbiz.de/10014220015

Specification Testing in Structural Nonparametric Cointegration

Dong, Chaohua; Gao, Jiti - 2014

theory for each of the proposed tests. The first test is initially proposed for the case where the regression function …

Persistent link: https://www.econbiz.de/10014149832

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

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

Testing Stochastic Dominance with Many Conditioning Variables

Linton, Oliver B. - 2020

We propose a test of the hypothesis of conditional stochastic dominance in the presence of many conditioning variables (whose dimension may grow to infinity as the sample size diverges). Our approach builds on a semiparametric location scale model in the sense that the conditional distribution...

Persistent link: https://www.econbiz.de/10012841891

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