Browsing by Author "Song, Song"

Now showing items 1-7 of 7

2009-11-04Zeitschriftenartikel

Confidence bands in quantile regression

Härdle, Wolfgang Karl; Song, Song

Let (X1, Y1), …, (Xn, Yn) be independent and identically distributed random variables and let l(x) be the unknown p-quantile regression curve of Y conditional on X. A quantile smoother ln(x) is a localized, nonlinear ...
2010-11-01Dissertation

Confidence bands in quantile regression and generalized dynamic semiparametric factor models

Song, Song

In vielen Anwendungen ist es notwendig, die stochastische Schwankungen der maximalen Abweichungen der nichtparametrischen Schätzer von Quantil zu wissen, zB um die verschiedene parametrische Modelle zu überprüfen. Einheitliche ...
2010-08-03Buch

High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model

Song, Song; Härdle, Wolfgang Karl; Ritov, Ya‘acov

(High dimensional) time series which reveal nonstationary and possibly periodic behavior occur frequently in many fields of science. In this article, we separate the modeling of high dimensional time series to time propagation ...
2011-08-03Buch

Large Vector Auto Regressions

Song, Song; Bickel, Peter J.

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for ...
2010-01-07Buch

Partial Linear Quantile Regression and Bootstrap Confidence Bands

Härdle, Wolfgang Karl; Ritov, Ya‘acov; Song, Song

In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions. The method is based on the bootstrap, where resampling is done from a suitably estimated empirical density ...
2011-12-01Buch

Risk Patterns and Correlated Brain Activities

Myšičková, Alena; Song, Song; Majer, Piotr; Mohr, Peter N.C.; Heekeren, Hauke R.; Härdle, Wolfgang Karl

Decision making usually involves uncertainty and risk. Understanding which parts of the human brain are activated during decisions under risk and which neural processes underly (risky) investment decisions are important ...
2008-04-03Buch

The Stochastic Fluctuation of the Quantile Regression Curve

Härdle, Wolfgang Karl; Song, Song

Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknown p-quantile regression curve of Y on X. A quantile-smoother ln(x) is a localised, nonlinear estimator of l(x). The strong uniform consistency rate is ...