Search Results - subject:"Density estimator"

A Simple Consistent Nonparametric Estimator of the Lorenz Curve

Zhang, Yu Yvette; Wu, Ximing; Li, Qi - In: Essays in honor of Aman Ullah, (pp. 635-653). 2016

We propose a nonparametric estimator of the Lorenz curve that satisfies its theoretical properties, including monotonicity and convexity. We adopt a transformation approach that transforms a constrained estimation problem into an unconstrained one, which is estimated nonparametrically. We...

Persistent link: https://www.econbiz.de/10015365796

A Class of Nonparametric Density Derivative Estimators Based on Global Lipschitz Conditions

Mynbaev, Kairat; Martins-Filho, Carlos; Aipenova, Aziza - In: Essays in honor of Aman Ullah, (pp. 591-615). 2016

Estimators for derivatives associated with a density function can be useful in identifying its modes and inflection points. In addition, these estimators play an important role in plug-in methods associated with bandwidth selection in nonparametric kernel density estimation. In this paper, we...

Persistent link: https://www.econbiz.de/10015365798

Model Averaging Over Nonparametric Estimators

Henderson, Daniel J.; Parmeter, Christopher F. - In: Essays in honor of Aman Ullah, (pp. 539-560). 2016

It is known that model averaging estimators are useful when there is uncertainty governing which covariates should enter the model. We argue that in applied research there is also uncertainty as to which method one should deploy, prompting model averaging over user-defined choices. Specifically,...

Persistent link: https://www.econbiz.de/10015365800

Does Liquidity Risk Premium Affect Optimal Portfolio Holdings of U.S. Treasury Securities?

Gómez, Karoll - In: The spread of financial sophistication through emerging …, (pp. 75-108). 2016

This chapter focuses on examining how changes in the liquidity differential between nominal and TIPS yields influence optimal portfolio allocations in U.S. Treasury securities. Based on a nonparametric estimation technique and comparing the optimal allocation decisions of mean-variance and CRRA...

Persistent link: https://www.econbiz.de/10015365875

RECOVERING LOCALIZED INFORMATION ON AGRICULTURAL STRUCTURE UNDERLYING DATA CONFIDENTIALITY REGULATIONS - POTENTIALS OF DIFFERENT DATA AGGREGATION AND SEGREGATION TECHNIQUES

Gocht, Alexander; Roeder, Norbert - Gesellschaft für Wirtschafts- und Sozialwissenschaften … - 2010

The modelling and information system RAUMIS is used for policy impact assessment to measure the impact of agriculture on the environment. The county level resolution often limits the analysis and a further disaggregation at the municipality level would reduce aggregation bias and improve the...

Persistent link: https://www.econbiz.de/10009351590

EU-WIDE FARM TYPES SUPPLY IN CAPRI - HOW TO CONSISTENTLY DISAGGREGATE SECTOR MODELS INTO FARM TYPE MODEL

Gocht, Alexander; Britz, Wolfgang - Gesellschaft für Wirtschafts- und Sozialwissenschaften … - 2010

Persistent link: https://www.econbiz.de/10009351593

A Bayesian approach to parameter estimation for kernel density estimation via transformations

Liu, Qing; Pitt, David; Zhang, Xibin; Wu, Xueyuan - Department of Econometrics and Business Statistics, … - 2010

density estimator based on original data does not perform well. However, the density of the original data can be estimated … density estimator is mainly determined by the bandwidth, and only in a minor way by the kernel choice. In the current … two dimensions is well captured through the bivariate density estimator based on transformed data. …

Persistent link: https://www.econbiz.de/10008679042

Distribution Dynamics of Food Price Inflation Rates in EU: An Alternative Conditional Density Estimator Approach

Liontakis, Angelos; Papadas, Christos T. - Department of Agricultural Economics, Agricultural … - 2010

dynamics, non-parametric econometric methods are implemented as well. An alternative conditional density estimator, proposed in …

Persistent link: https://www.econbiz.de/10008685078

Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting, with an Application to Mammography Decisions

Fang, Hanming - 2010

We extend the semi-parametric estimation method for dynamic discrete choice models using Hotz and Miller's (1993) conditional choice probability (CCP) approach to the setting where individuals may have hyperbolic discounting time preferences and may be naive about their time inconsistency. We...

Persistent link: https://www.econbiz.de/10013137310

Nonparametric Estimation of the Volatility Under Microstructure Noise : Wavelet Adaptation

Hoffmann, Marc - 2010

We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data are blurred by additional noise. This noise can be white or correlated, and serves as a model for microstructure effects in financial modeling, when the data are given on an...

Persistent link: https://www.econbiz.de/10013139169