Search Results - subject:"Functional data"

The functional k NN estimator of the conditional expectile: Uniform consistency in number of neighbors

Almanjahie, Ibrahim M.; Bouzebda, Salim; Chikr … - In: Statistics & Risk Modeling 38 (2022) 3-4, pp. 47-63

Abstract The main purpose of the present paper is to investigate the problem of the nonparametric estimation of the expectile regression in which the response variable is scalar while the covariate is a random function. More precisely, an estimator is constructed by using the k Nearest Neighbor...

Persistent link: https://www.econbiz.de/10014621280

Analyzing the impact of Brexit on global uncertainty using functional linear regression with point of impact : the role of currency and equity markets

Mangisa, Siphumlile; Das, Sonali; Gupta, Rangan - In: The Singapore economic review 67 (2022) 4, pp. 1377-1388

Persistent link: https://www.econbiz.de/10014235382

Analyzing the difference evolution of provincial energy consumption in China using the functional data analysis method

Wang, You; Gong, Xu - In: Energy economics 105 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013201955

Functional profile techniques for claims reserving

Maciak, Matúš; Mizera, Ivan; Pešta, Michal - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 449-482

Persistent link: https://www.econbiz.de/10013270074

Predictive functional linear models with diverging number of semiparametric single-index interactions

Liu, Yanghui; Li, Yehua; Carroll, Raymond J.; Wang, Naisyin - In: Journal of econometrics 230 (2022) 2, pp. 221-239

Persistent link: https://www.econbiz.de/10013463776

Permutation tests for equality of distributions of functional data

Bugni, Federico A.; Horowitz, Joel - 2018

a continuous time stochastic process are called functional data. This paper is concerned with comparing two or more … stochastic processes that generate functional data. The data may be produced by a randomized experiment in which there are … data. In contrast to existing methods, the test described here applies to both functional data and multiple treatments. The …

Persistent link: https://www.econbiz.de/10011941452

The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates

Fink, Holger; Fuest, Andreas; Port, Henry - In: Risks 6 (2018) 3, pp. 1-19

A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model implements the yield curve differentials between EUR and the US as exogenous factors. Functional principal component analysis allows us to use the information of basically the...

Persistent link: https://www.econbiz.de/10011996642

Nonparametric forecasting of multivariate probability density functions

Guégan, Dominique; Iacopini, Matteo - 2018

Persistent link: https://www.econbiz.de/10011868987

The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates

Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10011890808

Permutation tests for equality of distributions of functional data

Bugni, Federico A.; Horowitz, Joel - 2018

Persistent link: https://www.econbiz.de/10011804944