Search Results - subject:"Local linear estimator"

Tilted Nonparametric Estimation of Volatility Functions

Phillips, Peter C.B.; Xu, Ke-Li - Cowles Foundation for Research in Economics, Yale University - 2007

local linear estimator in the case of unbounded support but, unlike that estimator, is restricted to be non-negative in …

Persistent link: https://www.econbiz.de/10005093922

Local linear estimation for stochastic processes driven by <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\alpha $$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi mathvariant="italic">α</mi> </math> </EquationSource> </InlineEquation>-stable L<InlineEquation ID="IEq2"> <EquationSource ...

Wang, Yunyan; Zhang, Lixin - In: Statistical Inference for Stochastic Processes 16 (2013) 2, pp. 161-171

> </InlineEquation>vy motion are considered, local linear estimator of the drift function for these processes is discussed. Under mild … conditions, we derive consistency of the local linear estimator of the drift function. The performance of the proposed estimator …

Persistent link: https://www.econbiz.de/10010992893

Nonparametric correlation models for portfolio allocation

Aslanidis, Nektarios; Casas, Isabel - In: Journal of Banking & Finance 37 (2013) 7, pp. 2268-2283

This article proposes time-varying nonparametric and semiparametric estimators of the conditional cross-correlation matrix in the context of portfolio allocation. Simulations results show that the nonparametric and semiparametric models are best in DGPs with substantial variability or structural...

Persistent link: https://www.econbiz.de/10010666264

Nonparametric correlation models for portfolio allocation

Aslanidis, Nektarios; Casas, Isabel - In: Journal of banking & finance 37 (2013) 7, pp. 2268-2283

Persistent link: https://www.econbiz.de/10009760686

A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market

Ziehaus, Christina - In: Statistics & Risk Modeling 29 (2012) 3, pp. 269-280

Abstract We consider the problem of maximizing the utility of consumption and terminal wealth in a geometric Ornstein–Uhlenbeck market. We calculate the optimal consumption and wealth processes for power, logarithmic and exponential utility as well as their behavior depending e.g. on...

Persistent link: https://www.econbiz.de/10014622213

Nonparametric spatial regression under near-epoch dependence

Jenish, Nazgul - In: Journal of Econometrics 167 (2012) 1, pp. 224-239

This paper establishes asymptotic normality and uniform consistency with convergence rates of the local linear … estimator for spatial near-epoch dependent (NED) processes. The class of the NED spatial processes covers important spatial …

Persistent link: https://www.econbiz.de/10010574061

Fitting software reliability growth curves using nonparametric regression methods

Dharmasena, S; Zeephongsekul, P - 2010

A simple and effective method of assessing the reliability of a piece of software is to plot the cumulative number of failures observed during testing, N(x), against time x. Since no software is ever completely free of errors, be it careless minor oversights or the results of serious design...

Persistent link: https://www.econbiz.de/10009481496

Nonparametric estimation of conditional medians for linear and related processes

Honda, Toshio - In: Annals of the Institute of Statistical Mathematics 62 (2010) 6, pp. 995-1021

Persistent link: https://www.econbiz.de/10008775933

Efficient and fast spline-backfitted kernel smoothing of additive models

Wang, Jing; Yang, Lijian - In: Annals of the Institute of Statistical Mathematics 61 (2009) 3, pp. 663-690

Persistent link: https://www.econbiz.de/10005029249

Estimating Semiparametric Econometrics Models by Local Linear Method: With an Application to Cross-Country Growth

Li, Qi; Wooldridge, Jeffrey - In: Annals of Economics and Finance 1 (2000) 2, pp. 337-357

for several semiparametric econometric models. An empirical application of using a semiparametric local linear estimator … models by local linear method. We provide a simple proof of establishing the joint asymptotic normality of the local linear … estimator. We then show that our results can be used to easily derive the asymptotic distributions of local linear estimators …

Persistent link: https://www.econbiz.de/10009131598