Browsing by Author "Guo, Mengmeng"

Now showing items 1-4 of 4

2011-01-03Buch

A Confidence Corridor for Expectile Functions

Duran, Esra Akdeniz; Guo, Mengmeng; Härdle, Wolfgang Karl

Let (X1; Y1), …, (Xn; Yn) be i.i.d. rvs and let v(x) be the unknown τ - expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency ...
2010-05-26Buch

Adaptive Interest Rate Modelling

Guo, Mengmeng; Härdle, Wolfgang Karl

A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying ...
2013-01-02Buch

Functional Data Analysis of Generalized Quantile Regressions

Guo, Mengmeng; Zhou, Lhan; Huang, Jianhua Z.; Härdle, Wolfgang Karl

Generalized quantile regressions, including the conditional quantiles and expectiles as special cases, are useful alternatives to the conditional means for characterizing a conditional distribution, especially when the ...
2012-08-22Dissertation

Generalized quantile regression

Guo, Mengmeng

Die generalisierte Quantilregression, einschließlich der Sonderfälle bedingter Quantile und Expektile, ist insbesondere dann eine nützliche Alternative zum bedingten Mittel bei der Charakterisierung einer bedingten ...