Search Results - subject:"Kernel density estimator"

Local Marginal Analysis of Spatial Data: A Gaussian Process Regression Approach with Bayesian Model and Kernel Averaging

Dearmon, Jacob; Smith, Tony E. - 2016

Statistical methods of spatial analysis are often successful at either prediction or explanation, but not necessarily both. In a recent paper, Dearmon and Smith (2016) showed that by combining Gaussian Process Regression (GPR) with Bayesian Model Averaging (BMA), a modeling framework could be...

Persistent link: https://www.econbiz.de/10015365784

A Simple Consistent Nonparametric Estimator of the Lorenz Curve

Zhang, Yu Yvette; Wu, Ximing; Li, Qi - 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 - 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. - 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

Semiparametric Estimation of Partially Linear Varying Coefficient Panel Data Models

Yonghong, An; Cheng, Hsiao; Dong, Li - 2016

This paper considers the problem of estimating a partially linear varying coefficient fixed effects panel data model. Using the series method, we establish the root N normality for the estimator of the parametric component; and we show that the unknown function can be consistently estimated at...

Persistent link: https://www.econbiz.de/10015365813

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

Portilla, Karoll Gómez - 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

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 … insurance claim costs and exhibit a high-level of skewness in the marginal empirical distributions. Therefore, the kernel …

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

Concepts and developments in the literature of economic growth and convergence have recently been adopted and used in the study of inflation rate convergence. This paper examines initially the existence of â-convergence, as mean reversion, of food price inflation rates in the European Union,...

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