Showing 821 - 830 of 832
AMS classifications: 62G20, 62G32;
Persistent link: https://www.econbiz.de/10011092212
The state price density is a second derivative of the discounted European options prices with respect to the strike price. We use Maximum Likelihood method to derive a simple estimator of the curve such that it is decreasing, convex and its second derivative integrates to one. Confidence...
Persistent link: https://www.econbiz.de/10010983696
In this paper, linear errors-in-response models are considered in the presence of validation data on the responses. A semiparametric dimension reduction technique is employed to define an estimator of Ø with asymptotic normality, the estimated empirical loglikelihoods and the adjusted empirical...
Persistent link: https://www.econbiz.de/10010983779
AbstractThe following sections are included:IntroductionIntegrationIntegrals on Abstract Measure SpacesIntegrals on Sets of Real NumbersProperties of E(·)Expectations as Informative FunctionalsMoments of Random VariablesGenerating FunctionsConditional ExpectationMoments of Conditional...
Persistent link: https://www.econbiz.de/10011206434
The aim of the paper is to obtain confidence intervals for the tail index and high quantiles taking into account the optimal rate of convergence of the estimator. The common approach to obtaining confidence intervals presented in the literature is to use the normal distribution approximation at...
Persistent link: https://www.econbiz.de/10011257367
Several methods have been proposed in the last few years for evaluating uncertainty in forecasts produced by nonlinear econometric models. Some methods resort to Monte Carlo, while others resort to different simulation techniques. This work aims at comparing these methods by means of experiments...
Persistent link: https://www.econbiz.de/10008855245
Purpose The purpose of this paper is to consider the estimation of multicomponent stress-strength reliability. The system is regarded as alive only if at least s out of k ( s k ) strengths exceed the stress. The reliability of such a system is obtained when strength, stress variates are from...
Persistent link: https://www.econbiz.de/10014802227
Purpose Value at risk (VaR) is a market risk measure widely used by risk managers and market regulatory authorities, and various methods are proposed in the literature for its estimation. However, limited studies discuss its distribution or its confidence intervals. The purpose of this paper is...
Persistent link: https://www.econbiz.de/10015013942
Persistent link: https://www.econbiz.de/10013365457
Persistent link: https://www.econbiz.de/10013366052