Search Results - subject:"Kernel"

Nonparametric estimation of the ruin probability in the classical compound poisson risk model

Gao, Yuan; Chen, Lingju; Jiang, Jiancheng; You, Honglong - In: Journal of risk and financial management : JRFM 13 (2020) 12/298, pp. 1-12

In this paper we study estimating ruin probability which is an important problem in insurance. Our work is developed upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the Fourier transform but requires smoothing on the density...

Persistent link: https://www.econbiz.de/10012392224

Recovering latent variables by matching

Arellano, Manuel; Bonhomme, Stéphane - 2020

We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean distance between the model’s predictions and their matched...

Persistent link: https://www.econbiz.de/10012152500

A class of time-varying vector moving average (∞) models

Yan, Yayi; Gao, Jiti; Peng, Bin - 2020

Persistent link: https://www.econbiz.de/10012610863

Time-varying panel data models with an additive factor structure

Liu, Fei; Gao, Jiti; Yang, Yanrong - 2020

Persistent link: https://www.econbiz.de/10012610885

Local Polynomial Order in Regression Discontinuity Designs

Pei, Zhuan - 2020

Treatment effect estimates in regression discontinuity (RD) designs are often sensitive to the choice of bandwidth and polynomial order, the two important ingredients of widely used local regression methods. While Imbens and Kalyanaraman (2012) and Calonico, Cattaneo and Titiunik (2014) provide...

Persistent link: https://www.econbiz.de/10012481619

Bankruptcy prediction and stress quantification using support vector machine : evidence from Indian banks

Shrivastava, Santosh Kumar; Ramudu, P. Janaki - In: Risks : open access journal 8 (2020) 2/52, pp. 1-22

the decision boundary of the support vector machine with a linear kernel. The results reveal, inter alia, that support … vector machine with linear kernel shows 92.86% forecasting accuracy, while a support vector machine with radial basis … function kernel shows 71.43% accuracy. The study helps to carry out comparative analyses of financial stress of the banks and …

Persistent link: https://www.econbiz.de/10012292870

In-sample hazard forecasting based on survival models with operational time

Bischofberger, Stephan M. - In: Risks : open access journal 8 (2020) 1/3, pp. 1-17

We introduce a generalization of the one-dimensional accelerated failure time model allowing the covariate effect to be any positive function of the covariate. This function and the baseline hazard rate are estimated nonparametrically via an iterative algorithm. In an application in non-life...

Persistent link: https://www.econbiz.de/10012204339

Regionalanalyse auf Basis simulierter Geokoordinaten : Gütebeurteilung des Verfahrens am Beispiel der Wahlberechtigten in Berlin

Erfurth, Kerstin - In: Wirtschaft und Statistik : WISTA (2020) 2, pp. 25-36

Für Daten mit geografischem Bezug eignen sich Kartendarstellungen zur Visualisierung, um einen einfachen Zugang zu komplexen Informationen zu erhalten. Insbesondere die Verteilung verschiedener Bevölkerungsgruppen und die Identifikation von Hotspots stellen ein für Planungszwecke bedeutendes...

Persistent link: https://www.econbiz.de/10012206260

An empirical study of the sentiment capital asset pricing model

Ghazi, Soroush; Schneider, Mark - 2020

Persistent link: https://www.econbiz.de/10012209308

Nonparametric Gini-Frisch Bounds

Chalak, Karim - 2020

The Gini-Frisch bounds partially identify the constant slope coefficient in a linear equation when the explanatory variable suffers from classical measurement error. This paper generalizes these quintessential bounds to accommodate nonparametric heterogenous effects. It provides suitable...

Persistent link: https://www.econbiz.de/10012840367