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19981204BuchNonparametric Autoregression with Multiplicative Volatility and Additive Mean For over a decade, nonparametric modelling has been successfully applied to study nonlinear structures in financial time series. It is well known that the usual nonparametric models often have less than satisfactory ...

20150112BuchNonparametric changepointanalysis of volatility This work develops changepoint methods for statistics of highfrequency data. The main interest is the volatility of an Itˆo semimartingale, which is discretely observed over a fixed time horizon. We construct a ...

20120612MasterarbeitNonparametric Estimate for Conditional Quantiles of Time Series An application for VaRThis paper investigates a nonparametric approach for estimating conditional quantiles of time series for dependent data. The considered estimate is obtained by inverting a kernel estimate of the conditional distribution ...

20140131BuchNonparametric Estimates for Conditional Quantiles of Time Series We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated ...

19980216BuchNonparametric Estimation and Testing of Interaction in Additive Models We consider an additive model with second order interaction terms. It is shown how the components of this model can be estimated using marginal integration, and the asymptotic distribution of the estimators is derived. ...

20020213DissertationNonparametric estimation for stochastic delay differential equations Sei (X(t), t>= r) ein stationärer stochastischer Prozess, der die affine stochastische Differentialgleichung mit Gedächtnis dX(t)=L(X(t+s))dt+sigma dW(t), t>= 0, löst, wobei sigma>0, (W(t), t>=0) eine StandardBrownsche ...

20000306BuchNonparametric Estimation in a Nonlinear Cointegration Type Model

20151112BuchNonparametric Estimation in case of Endogenous Selection This paper addresses the problem of estimation of a nonparametric regression function from selectively observed data when selection is endogenous. Our approach relies on independence between covariates and selection ...

19980317BuchNonparametric Estimation in Null Recurrent Time Series We develop a nonparametric estimation theory in a nonstationary environment, more precisely in the framework of null recurrent Markov chains. An essential tool is the split chain, which makes it possible to decompose the ...

20000601BuchNonparametric Estimation of Additive Models withHomogeneous Components The importance of homogeneity as a restriction on functional forms has been well recognized in economic theory. Imposing additive separability is also quite popular since many economics models become easier to interpret ...

20051012BuchNonparametric Estimation of an Additive Model with a Link Function This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically ...

20001001BuchNonparametric Estimation of Generalized Impulse Response Function

20050930BuchNonparametric estimation of homogeneous function

20100401BuchNonparametric Estimation of RiskNeutral Densities This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the ...

20020625BuchNonparametric estimation of scalar diffusions based on low frequency data is illposed

19970122BuchNonparametric Estimation Via Local Estimating Equations, with Applications to Nutrition Calibration Estimating equations have found wide popularity recently in parametric problems, yielding consistent estimators with asymptotically valid inferences obtained via the sandwich formula. Motivated by a problem in nutritional ...

20020426BuchNonparametric Estimators of GARCH Processes

19980319BuchNonparametric Factor Analysis of Time Series We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the ...

19970113BuchNonparametric Function Estimation of the Relationship between two Repeatedly Measured Variables We describe methods for estimating the regression function nonparametrically and for estimating the variance components in a simple variance component model which is sometimes used for repeated measures data or data with ...

19970115BuchNonparametric Kernel and Regression Spline Estimation in the Presence of Measurement Error In many regression applications both the independent and dependent variables are measured with error. When this happens, conventional parametric and nonparametric regression techniques are no longer valid. We consider two ...