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Penalized model averaging for high dimensional quantile regressions
Bao, Haowen; Cai, Zongwu; Sun, Yuying - 2023
Persistent link: https://www.econbiz.de/10014280711
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On rank estimation in symmetric matrices: the case of indefinite matrix estimators
Donald, Stephen G.; Fortuna, Natércia; Pipiras, Vladas - Faculdade de Economia, Universidade do Porto - 2005
We focus on the problem of rank estimation in an unknown symmetric matrix based on a symmetric, asymptotically normal … estimation in symmetric matrices is of interest, and also provide a small simulation study and an application. …
Persistent link: https://www.econbiz.de/10005059520
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Multivariate tail copula: modeling and estimation
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang - 2006
In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...
Persistent link: https://www.econbiz.de/10010266194
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Estimating tail dependence of elliptical distributions
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang - 2006
Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution. In this...
Persistent link: https://www.econbiz.de/10010266221
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An adaptive optimal estimate of the tail index for MA(1) time series
Geluk, J.L.; Peng, Peng, L. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
For samples of random variables with a regularly varying tail estimating the tail index has received much attention recently. For the proof of asymptotic normality of the tail index estimator second order regular variation is needed. In this paper we first supplement earlier results on...
Persistent link: https://www.econbiz.de/10010837986
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An adaptive optimal estimate of the tail index for MA(1) time series
Geluk, J.L.; Peng, L. - Erasmus University Rotterdam, Econometric Institute - 1999
For samples of random variables with a regularly varying tail estimating the tail index has received much attention recently. For the proof of asymptotic normality of the tail index estimator second order regular variation is needed. In this paper we first supplement earlier results on...
Persistent link: https://www.econbiz.de/10008584639
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Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator
Haeusler, E.; Segers, J. - Tilburg University, Center for Economic Research - 2005
AMS classifications: 62G20, 62G32;
Persistent link: https://www.econbiz.de/10011092212
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A note on estimating censored quantile regressions
Fitzenberger, Bernd - 1994
This note is concerned with estimating censored quantile regressions (CQR). As its major contribution, a' new algorithm, called BRCENS, is developed as an adaption of the Barrodale-Roberts algorithm for the standard quantile regression problem. In a subsequent simulation study, BRCENS performs...
Persistent link: https://www.econbiz.de/10010332101
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Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier; Nielsen, Morten Ørregaard - 2017
We consider truncated (or conditional) sum of squares estimation of a parametric model composed of a fractional time … different forms of nonstationarity and noninvertibility. As in related settings, the proof of consistency (which is a … stochastic and deterministic components. We establish consistency and asymptotic normality under quite general circumstances …
Persistent link: https://www.econbiz.de/10011583219
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A Time-Varying Parameter Model for Local Explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018
the data generated by our model. Furthermore, we obtain the consistency and asymptotic normality of the maximum likelihood …
Persistent link: https://www.econbiz.de/10011932359