Search Results - subject:"Empirical distribution function"

Bootstrap of residual processes in regression : to smooth or not to smooth?

Neumeyer, Natalie; Van Keilegom, Ingrid - 2018

Persistent link: https://www.econbiz.de/10012050820

Risk Measures in Optimization Problems via Empirical Estimates

Kaňková, Vlasta - In: Czech Economic Review 7 (2013) 3, pp. 162-177

Economic and financial activities are often influenced simultaneously by a decision parameter and a random factor. Since mostly it is necessary to determine the decision parameter without knowledge of the realization of the random element, deterministic optimization problems depending on a...

Persistent link: https://www.econbiz.de/10010712646

Goodness-of-fit testing for the marginal distribution of regime-switching models

Janczura, Joanna; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2011

empirical distribution function. The motivation for this research comes from a recent stream of literature in energy economics …

Persistent link: https://www.econbiz.de/10009203622

Goodness-of-fit testing for regime-switching models

Janczura, Joanna; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2010

concept of the weighted empirical distribution function. We apply the proposed scheme to test whether a 2-state Markov regime …

Persistent link: https://www.econbiz.de/10008595627

On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters

Capasso, Marco; Alessi, Lucia; Barigozzi, Matteo; … - 2007

goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to reestimate unknown …

Persistent link: https://www.econbiz.de/10010328518

On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters

Capasso, Marco; Alessi, Lucia; Barigozzi, Matteo; … - Laboratory of Economics and Management (LEM), Scuola … - 2007

goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to re-estimate unknown … statistics based on the empirical distribution function: The case of unknown parameters. Marco Capasso⁄ Lucia Alessi⁄ Matteo …- mogorov - Smirnov statistic; Kuiper statistic; Cram¶er - Von Mises statistic; Empirical distribution function; Monte …

Persistent link: https://www.econbiz.de/10005650091

Empirical likelihood estimators for the error distribution in nonparametric regression models

Kiwitt, Sebastian; Nagel, Eva-Renate; Neumeyer, Natalie - 2005

The aim of this paper is to show that existing estimators for the error distribution in nonparametric regression models can be improved when additional information about the distribution is included by the empirical likelihood method. The weak convergence of the resulting new estimator to a...

Persistent link: https://www.econbiz.de/10010296709

Empirical likelihood estimators for the error distribution in nonparametric regression models

Kiwitt, Sebastian; Nagel, Eva-Renate; Neumeyer, Natalie - Institut für Wirtschafts- und Sozialstatistik, … - 2005

Persistent link: https://www.econbiz.de/10009216968

A Test for Conditional Symmetry in Time Series Models

Bai, Jushan; Ng, Serena - Department of Economics, Boston College - 1998

The assumption of conditional symmetry is often invoked to validate adaptive estimation and consistent estimation of ARCH/GARCH models by quasi maximum likelihood. Imposing conditional symmetry can increase the efficiency of bootstraps if the symmetry assumption is valid. This paper proposes a...

Persistent link: https://www.econbiz.de/10004970573