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Nonparametric Estimation of Copulas for Time Series
FERMANIAN, Jean-David; SCAILLET, Olivier - Swiss Finance Institute - 2003
We consider a nonparametric method to estimate copulas, i.e. functions linking joint distributions to their univariate … margins. We derive the asymptotic properties of kernel estimators of copulas and their derivatives in the context of a …
Persistent link: https://www.econbiz.de/10005771847
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Nonparametric Estimation of Conditional Expected Shortfall
SCAILLET, Olivier - Swiss Finance Institute - 2004
We consider a nonparametric method to estimate conditional expected shortfalls, i.e. conditional expected losses …
Persistent link: https://www.econbiz.de/10005248410
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From COVID-19 to Resilience: Quantitative Methods in Economics and Business
Novickytė, Lina (contributor); Droždz, Jolanta (contributor) - 2023
The present reprint contains 11 articles accepted for publication and published in the Special Issue From COVID-19 to Resilience: Quantitative Methods in Economics and Business of the MDPI Mathematics journal. These articles cover a wide range of topics analyzing economics and business...
Persistent link: https://www.econbiz.de/10014520975
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An entropy-based metric for product remanufacturability
Ramoni, Monsuru O.; Zhang, Hong-chao - In: Journal of remanufacturing 2 (2012), pp. 1-8
metric is based on entropy, a phenomenon well known in engineering. … paper develops a metric to quantify the remanufacturability incorporated into the new product at the design stage. The …
Persistent link: https://www.econbiz.de/10009764689
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Cores of Many-Player Games; Nonemptiness and Equal Treatment
Wooders, Myrna - Vanderbilt University Department of Economics - 2009
This paper provides sufficient conditions to ensure nonemptiness of approximate cores of many-player games and symmetry … cores are non-empty, symmetry may be lost; moreover, even players of abundant types may be treated asymmetrically by the …
Persistent link: https://www.econbiz.de/10009352207
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A consistent bootstrap procedure for nonparametric symmetry tests
Henderson, Daniel J.; Parmeter, Christopher F. - In: Economics letters 131 (2015), pp. 78-82
Persistent link: https://www.econbiz.de/10011422658
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Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data
Chu, Chi-Yang; Henderson, Daniel J.; Parmeter, … - In: Econometrics 3 (2015) 2, pp. 199-214
This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of …
Persistent link: https://www.econbiz.de/10011220361
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Contemporary Issues in Estimating Yield Distributions
Pujula, Aude Liliana; Maradiaga, David Isaias; Dicks, … - Southern Agricultural Economics Association - SAEA - 2010
yields. Using historical county corn yield data for Arkansas and Louisiana and nonparametric methods, this empirical analysis …
Persistent link: https://www.econbiz.de/10008922541
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Contemporary Issues in Estimating Yield Distributions
Pujula, Aude Liliana; Maradiaga, David Isaias; Dicks, … - 2010
yields. Using historical county corn yield data for Arkansas and Louisiana and nonparametric methods, this empirical analysis …
Persistent link: https://www.econbiz.de/10009446529
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Plug-in bandwidth selection for kernel density estimation with discrete data
Chu, Chi-Yang; Henderson, Daniel J.; Parmeter, … - In: Econometrics 3 (2015) 2, pp. 199-214
This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of …
Persistent link: https://www.econbiz.de/10011755277