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Prediction of 0-1-events for short- and long-memory time series
Beran, Jan - 2002
The problem of predicting 0-1-events is considered under general conditions, including stationary processes with short and long memory as well as processes with changing distribution patterns. Nonparametric estimates of the probability function and prediction intervals are obtained.
Persistent link: https://www.econbiz.de/10010324060
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Prediction of 0-1-events for short- and long-memory time series
Beran, Jan - 2002
The problem of predicting 0-1-events is considered under general conditions, including stationary processes with short and long memory as well as processes with changing distribution patterns. Nonparametric estimates of the probability function and prediction intervals are obtained.
Persistent link: https://www.econbiz.de/10011544312
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Prediction of 0-1-events for short- and long-memory time series
Beran, Jan - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002
The problem of predicting 0-1-events is considered under general conditions, including stationary processes with short and long memory as well as processes with changing distribution patterns. Nonparametric estimates of the probability function and prediction intervals are obtained.
Persistent link: https://www.econbiz.de/10005357903
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Nonparametric Methods in Continuous-Time Finance: A Selective Review
Cai, Zongwu; Hong, Yongmiao - 2003
This paper gives a selective review on the recent developments of nonparametric methods in continuous-time finance, particularly in the areas of nonparametric estimation of diffusion processes, nonparametric testing of parametric diffusion models, and nonparametric pricing of derivatives. For...
Persistent link: https://www.econbiz.de/10010296451
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Bias in nearest-neighbor hazard estimation
Weißbach, Rafael; Dette, Holger - 2008
In nonparametric curve estimation, the smoothing parameter is critical for performance. In order to estimate the hazard rate, we compare nearest neighbor selectors that minimize the quadratic, the Kullback-Leibler, and the uniform loss. These measures result in a rule of thumb, a...
Persistent link: https://www.econbiz.de/10010300666
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Strong consistency for delta sequence ratios
Poniatowski, Wladyslaw; Weißbach, Rafael - 2008
Almost sure convergence for ratios of delta functions establishes global and local strong consistency for a variety of estimates and data generations. For instance, the empirical probability function from independent identically distributed random vectors, the empirical distribution for...
Persistent link: https://www.econbiz.de/10010300694
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Exploring local dependence
Abberger, Klaus - 2002
This paper discusses two graphical methods for the investigation of local association of two continuous random variables. Often, scalar dependence measures, such as correlation, cannot reflect the complex dependence structure of two variables. However, dependence graphs have the potential to...
Persistent link: https://www.econbiz.de/10010324099
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Scaling Oversmoothing Factors for Kernel Estimation of Spatial Relative Risk
Davies, Tilman M. - In: Epidemiologic Methods 2 (2013) 1, pp. 67-83
geographical region. The way in which the bandwidth(s) for these case and control kernel estimates must be chosen naturally plays a … particular bandwidth factor for the densities, based on a well-known maximal smoothing principle of the kernel estimator, has the … potential to perform well over other bandwidth selectors in terms of estimate proximity to the true (unknown in practice) risk …
Persistent link: https://www.econbiz.de/10014590590
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Semiparametric dynamic portfolio choice with multiple conditioning variables
Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zudi - 2015
Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice depending on multiple conditioning variables, where the number of the conditioning variables can be either fixed or...
Persistent link: https://www.econbiz.de/10011445715
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A simple method to visualize results in nonlinear regression models
Henderson, Daniel J.; Kumbhakar, Subal C.; Parmeter, … - 2012
A simple graphical approach to presenting results from nonlinear regression models is described. In the face of multiple covariates, 'partial mean' plots may be unattractive. The approach here is portable to a variety of settings and can be tailored to the specific application at hand. A simple...
Persistent link: https://www.econbiz.de/10010287583