We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...

We consider a semiparametric distributed lag model in which the “news impact curve” m is nonparametric but the response is dynamic through some linear filters. A special case of this is a nonparametric regression with serially correlated errors. We propose an estimator of the news impact...

Due to its effect on the operation time of wind turbines, rotor imbalances of a wind turbine have to be detected early enough. We present a method that determines inhomogeneous mass distributions of the rotor as well as deviations in the pitch angles of the rotor blades from vibrational data...

We want to estimate an unknown finite measure μX from a noisy observation of generalized moments of μX, defined as the integral of a continuous function Φ with respect to μX. Assuming that only a quadratic approximation Φm is available, we define an approximate maximum entropy solution as a...

We consider a noisy observed vector y=x+u∈Rn. The unobserved vector x is a solution of a non-invertible linear system Ax=v, where v is a forcing term. A unique solution of the system is obtained by considering additional constraint on the vector x. This constraint is defined by a triple...

Maximum Probability method is used to translate possibly contiguous and overlapping categorical observations into frequencies.

Banks should evaluate whether a borrower is likely to default. The author applies several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities...