Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Author "Mammen, Enno"

Now showing items 1-11 of 11

2000-02-24Buch

A Bootstrap Test for Single Index Models

Härdle, Wolfgang Karl; Mammen, Enno; Proença, Isabel
1997-07-30Buch

Bootstrap of kernel smoothing in nonlinear time series

Franke, Jürgen; Kreiss, Jens-Peter; Mammen, Enno

Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This ...
1998-12-16Buch

Estimating Yield Curves by Kernel Smoothing Methods

Linton, Oliver; Mammen, Enno; Nielsen, Jens P.; Tanggaard, C.
1999-01-14Buch

Estimation in an additive model when the components are linked parametrically

Carroll, Raymond J.; Härdle, Wolfgang Karl; Mammen, Enno

Motivated by a nonparametric GARCH model we consider nonparametric additive regression and autoregression models in the special case that the additive components are linked parametrically. We show that the parameter can ...
2003-12-08Buch

Implied Volatility String Dynamics

Fengler, Matthias R.; Härdle, Wolfgang Karl; Mammen, Enno

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This ...
2005-10-12Buch

Nonparametric Estimation of an Additive Model with a Link Function

Horowitz, Joel L.; Mammen, Enno

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 ...
1997-08-01Buch

On Estimation of Monotone and Concave Frontier Functions

Gijbels, I.; Mammen, Enno; Park, Byeong U.; Simar, Léopold

When analyzing the productivity of firms, one may want to compare how the firms transform a set of inputs x (typically labor, energy or capital) into an output y (typically a quantity of goods produced). The economic ...
2007-02-21Buch

Penalized quasi-likelihood estimation in partial linear models

Mammen, Enno; Geer, Sara van de
1998-07-02Buch

Properties of the Nonparametric Autoregressive Bootstrap

Franke, Jürgen; Kreiss, Jens-Peter; Mammen, Enno; Neumann, Michael H.

We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this end, we revisit this problem for nonparametric autoregressive processes and give some quantitative ...
1998-11-09Buch

Semiparametric additive indices for binary response and generalized additive models

Härdle, Wolfgang Karl; Huet, Sylvie; Mammen, Enno; Sperlich, Stefan

Models are studied where the response Y and covariates X, T are assumed to fulfill E(Y|X; T) = G{XT β + α + m1(T1) + … + md(Td)}. Here G is a known (link) function, β is an unknown parameter, and m1, …, md are unknown ...
1998-01-19Buch

Smooth discrimination analysis

Mammen, Enno; Tsybakov, Aleksandr B.

Discriminant analysis for two data sets in IRd with probability densities f and g can be based on the estimation of the set G = {x : f(x) ≥ g(x)}. We consider applications where it is appropriate to assume that the region ...