Browsing by Author "Linton, Oliver"

Now showing items 1-7 of 7

2005-09-30Buch

A Local Instrumental Estimation Method for Generalized Additive Volatility Models

Kim, Woocheol; Linton, Oliver
2001-06-05Buch

A Nonparametric Regression Estimator that Adapts to Error Distribution of unknown Form

Linton, Oliver; Xiao, Zhijie
2005-10-17Buch

Consistent Testing for Stochastic Dominance under General Sampling Schemes

Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae

We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance in the general K-prospect case. We allow for the observations to be serially ...
1998-12-16Buch

Estimating Yield Curves by Kernel Smoothing Methods

Linton, Oliver; Mammen, Enno; Nielsen, Jens P.; Tanggaard, C.
1998-03-19Buch

Nonparametric Factor Analysis of Time Series

Rodríguez-Póo, Juan M.; Linton, Oliver

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 ...
2009-05-13Buch

Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator

Xia, Yingcun; Härdle, Wolfgang Karl; Linton, Oliver

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing ...
2005-10-06Buch

Semiparametric Regression Analysis under Imputation for Missing Response Data

Wang, Qihua; Härdle, Wolfgang Karl; Linton, Oliver

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator and an empirical likelihood based one for the mean of the response variable are ...