Auflistung Schriftenreihen und Sammelbände nach Titel
Anzeige der Publikationen 3330-3349 von 5414
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2000-06-01BuchNonparametric 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 ...
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2005-10-12BuchNonparametric 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 ...
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2000-10-01BuchNonparametric Estimation of Generalized Impulse Response Function
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2005-09-30BuchNonparametric estimation of homogeneous function
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2010-04-01DiskussionspapierNonparametric Estimation of Risk-Neutral 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 ...
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2002-06-25BuchNonparametric estimation of scalar diffusions based on low frequency data is ill-posed
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1997-01-22BuchNonparametric 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 ...
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2002-04-26BuchNonparametric Estimators of GARCH Processes
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1998-03-19BuchNonparametric 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 ...
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1997-01-13BuchNonparametric 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 ...
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1997-01-15BuchNonparametric 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 ...
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2012-08-17DiskussionspapierNonparametric Kernel Density Estimation Near the Boundary Standard fixed symmetric kernel type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. We show that in such settings, alternatives of asymmetric ...
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2001-11-01BuchNonparametric Kernel Estimation of Evolutionary Autoregressive Processes
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1997-07-01BuchNonparametric Lag Selection for Time Series A nonparametric version of the Final Prediction Error (FPE) is proposed for lag selection in nonlinear autoregressive time series. We derive its consistency for both local constant and local linear estimators using a derived ...
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2003-03-17BuchNonparametric Methods in Continuous-Time Finance This paper gives a selective review on the recent developments of nonparametric methods in continuous-time finance, particularly in the areas of nonparametric estimation of diffusion processes, nonparametric testing of ...
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2011-11-10DiskussionspapierNonparametric Nonstationary Regression with Many Covariates This article studies nonparametric estimation of a regression model for d ≥ 2 potentially non- stationary regressors. It provides the first nonparametric procedure for a wide and important range of practical problems, for ...
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2005-03-01DiskussionspapierNonparametric Productivity Analysis How can we measure and compare the relative performance of production units? If input and output variables are one dimensional, then the simplest way is to compute efficiency by calculating and comparing the ratio of output ...
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2010-12-06DiskussionspapierNonparametric Regression with Nonparametrically Generated Covariates We analyze the properties of non- and semiparametric estimation procedures involving nonparametric regression with generated covariates. Such estimators appear in numerous econometric applications, including nonparametric ...
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2004-10-27DiskussionspapierNonparametric Risk Management with Generalized Hyperbolic Distributions In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution ...
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1998-06-01BuchNonparametric Significance Testing A procedure for testing the signicance of a subset of explanatory variables in a nonparametric regression is proposed. Our test statistic uses the kernel method. Under the null hypothesis of no effect of the variables under ...