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Browsing by Author "Guo, Mengmeng"
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2011-01-03BuchA Confidence Corridor for Expectile Functions Duran, Esra Akdeniz; Guo, Mengmeng; Härdle, Wolfgang KarlLet (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 ...
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2010-05-26BuchAdaptive Interest Rate Modelling Guo, Mengmeng; Härdle, Wolfgang KarlA 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 ...
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2013-01-02BuchFunctional Data Analysis of Generalized Quantile Regressions Guo, Mengmeng; Zhou, Lhan; Huang, Jianhua Z.; Härdle, Wolfgang KarlGeneralized 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 ...
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2012-08-22DissertationGeneralized quantile regression Guo, MengmengDie generalisierte Quantilregression, einschließlich der Sonderfälle bedingter Quantile und Expektile, ist insbesondere dann eine nützliche Alternative zum bedingten Mittel bei der Charakterisierung einer bedingten ...