The mean-Gini framework has been suggested as a robust alternative to the portfolio approach to futures hedging given its optimality under general distributional conditions. However, calculation of the Gini hedge ratio requires estimation of the underlying price distribution. We estimate...

Suppose the observations (X <Subscript> i </Subscript>, Y <Subscript> i </Subscript>) taking values in R <Superscript> d </Superscript>×R, [InlineMediaObject not available: see fulltext.] are φ-mixing. Compared with the i.i.d. case, some known strong uniform convergence results for the estimators of the regression function r(x)=E(Y <Subscript> i </Subscript>|X <Subscript> i </Subscript>=x) need strong moment...</subscript></subscript></superscript></subscript></subscript>

In this paper robustness properties are studied for kernel density estimators. A plug-in and least squares cross-validation bandwidth selector are considered. In an asymptotic analysis and in a simulation study it is shown that the robustness of kernel density estimates depends strongly on the...

This article proposes a new data-driven method for selecting the smoothing parameter involved in the construction of kernel-based adaptive location estimators. The method consists of minimizing a cross-validatory criterion with respect to the bandwidth occurring in the kemd type estimators of...

In this paper robustness properties are studied for kernel density estimators. A plug-in and least squares cross-validation bandwidth selector are considered. In an asymptotic analysis and in a simulation study it is shown that the robustness of kernel density estimates depends strongly on the...