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Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing
Dagum, Estela; Luati, Alessandra - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 2, pp. 1204-1204
Following Henderson (1916) who developed a smoothing measure as a function of the weight system of a linear filter … fitting (LMSE) and smoothing (S) are calculated on the basis of the weight systems of the following nonparametric function … estimators, Loess of degree 1 and 2, the cubic smoothing spline, the Gaussian kernel, and the 13-term Henderson filter.Our aim is …
Persistent link: https://www.econbiz.de/10005246300
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Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing
Dagum, Estela; Luati, Alessandra - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 2, pp. 1204-1204
Following Henderson (1916) who developed a smoothing measure as a function of the weight system of a linear filter … fitting (LMSE) and smoothing (S) are calculated on the basis of the weight systems of the following nonparametric function … estimators, Loess of degree 1 and 2, the cubic smoothing spline, the Gaussian kernel, and the 13-term Henderson filter.Our aim is …
Persistent link: https://www.econbiz.de/10004966184
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Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization
Bloechl, Andreas - 2014
The Hodrick-Prescott filter is the probably most popular tool for trend estimation in economics. Compared to other frequently used methods like the Baxter-King filter it allows to estimate the trend for the most recent periods of a time series. However, the Hodrick- Prescott filter suffers from...
Persistent link: https://www.econbiz.de/10010427673
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Reducing the excess variability of the Hodrick-Prescott filter by flexible penalizatione
Bloechl, Andreas - 2014
The Hodrick-Prescott filter is the probably most popular tool for trend estimation in economics. Compared to other frequently used methods like the Baxter-King filter it allows to estimate the trend for the most recent periods of a time series. However, the Hodrick- Prescott filter suffers from...
Persistent link: https://www.econbiz.de/10010239918
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Convergence to rational expectations in learning models : a note of caution
Chien, YiLi; Cho, In-Koo; Ravikumar, B. - 2020
Persistent link: https://www.econbiz.de/10012308082
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Convergence to global minima for a class of diffusion processes
Feng, Jianfeng; Georgii, Hans-Otto; Brown, David - In: Physica A: Statistical Mechanics and its Applications 276 (2000) 3, pp. 465-476
We prove that there exists a gain function (η(t),β(t))t⩾0 such that the solution of the SDE dxt=η(t)(−gradU(xt)dt+β(t)dBt) ‘settles’ down on the set of global minima of U. In particular, the existence of a gain function (η(t))t⩾0 so that yt satisfying dyt=η(t)(−gradU(yt)dt+dBt)...
Persistent link: https://www.econbiz.de/10011062384
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Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization
Bloechl, Andreas - Volkswirtschaftliche Fakultät, … - 2014
The Hodrick-Prescott filter is the probably most popular tool for trend estimation in economics. Compared to other frequently used methods like the Baxter-King filter it allows to estimate the trend for the most recent periods of a time series. However, the Hodrick- Prescott filter suffers from...
Persistent link: https://www.econbiz.de/10010897349
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Comparing Penalized Splines and Fractional Polynomials for Flexible Modelling of the Effects of Continuous Predictor Variables
Strasak, Alexander; Umlauf, Nikolaus; Pfeiffer, Ruth; … - 2010
P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover …
Persistent link: https://www.econbiz.de/10010294838
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Consumption smoothing and liquidity income redistribution
Bertola, Giuseppe; Koeniger, Winfried - 2006
We show theoretically that income redistribution benefits borrowingconstrained individuals more than is implied by standard relative-income and uninsurable-risk considerations. Empirically, we find in international opinion-survey data that younger and lower-income individuals express stronger...
Persistent link: https://www.econbiz.de/10010298348
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Extraction of Blood Vessels in Retina
Thamer Mitib Al Sariera; Rangarajan, Lalitha - In: Journal of Information Technology Research (JITR) 11 (2018) 4, pp. 122-136
four steps; smoothing image using low pass spatial filter to reduce spurious noise in the image; extracting candidate …
Persistent link: https://www.econbiz.de/10012049182