Search Results - subject:"Nonparametric regression"

Specification Tests for the Distribution of Errors in Nonoarametric Regression: A Martingale Approach

Alonso, Alicia Pérez; Mora, Juan - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2008

We discuss how to test whether the distribution of regression errors belongs to a parametric family of continuous distribution functions, making no parametric assumption about the conditional mean or the conditional variance in the regression model. We propose using test statistics that are...

Persistent link: https://www.econbiz.de/10005731258

Short-term evolution of forward curves and volatility in illiquid power market

Vázquez, Miguel; Sánchez-Úbeda, Eugenio F.; Berzosa, Ana - Volkswirtschaftliche Fakultät, … - 2008

We propose in this paper a model for the description of electricity spot prices, which we use to describe the dynamics of forward curves. The spot price model is based on a long-term/short-term decomposition, where the price is thought of as made up of two factors: A long-term equilibrium level...

Persistent link: https://www.econbiz.de/10005619322

Demand Analysis as an Ill-Posed Inverse Problem with Semiparametric Specification

Hoderlein, Stefan; Holzmann, Hajo - Department of Economics, Boston College - 2008

in a nonparametric regression by assuming mean independence of residuals from instruments only. Because it is common in …

Persistent link: https://www.econbiz.de/10008506227

Unconditional Quantile Treatment Effects under Endogeneity

Frölich, Markus; Melly, Blaise - Institute for the Study of Labor (IZA) - 2008

univariate nonparametric regression separately for the D = 0 and D = 1 populations. We show now that these weights W+ are always … the proposed estimators. JEL Classification: C13, C14, C21 Keywords: quantile treatment effects, nonparametric … regression, instrumental variables Corresponding author: Markus Frölich Universität Mannheim Abteilung …

Persistent link: https://www.econbiz.de/10005700992

A martingale-transform goodness-of-fit test for the form of the conditional variance

Dette, Holger; Hetzler, Benjamin - Institut für Wirtschafts- und Sozialstatistik, … - 2008

In the common nonparametric regression model the problem of testing for a specific parametric form of the variance …

Persistent link: https://www.econbiz.de/10009216327

A finite sample comparison of nonparametric estimates of the effective dose in quantal bioassay

Dette, Holger; Scheder, Regine - Institut für Wirtschafts- und Sozialstatistik, … - 2008

To estimate the effective dose level ED a in the common binary response model, several parametric and nonparametric estimators have been proposed in the literature. In the present paper, we focus on nonparametric methods and present a detailed numerical comparison of four different approaches to...

Persistent link: https://www.econbiz.de/10009216871

Confidence bands for inverse regression models with application to gel electrophoresis

Birke, Melanie; Bissantz, Nicolai; Holzmann, Hajo - Institut für Wirtschafts- und Sozialstatistik, … - 2008

We construct uniform confidence bands for the regression function in inverse, homoscedastic regression models with convolution-type operators. Here, the convolution is between two non-periodic functions on the whole real line rather than between two period functions on a compact interval, since...

Persistent link: https://www.econbiz.de/10009216879

Convergence analysis of generalized iteratively reweighted least squares algorithms on convex function spaces

Bissantz, Nicolai; Dümbgen, Lutz; Munk, Axel; … - Institut für Wirtschafts- und Sozialstatistik, … - 2008

The computation of robust regression estimates often relies on minimization of a convex functional on a convex set. In this paper we discuss a general technique for a large class of convex functionals to compute the minimizers iteratively which is closely related to majorization-minimization...

Persistent link: https://www.econbiz.de/10009216893

A Reproducing Kernel Perspective of Smoothing Spline Estimators

Bianconcini, Silvia - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2008

Spline functions have a long history as smoothers of noisy time series data, and several equivalent kernel representations have been proposed in terms of the Green's function solving the related boundary value problem. In this study we make use of the reproducing kernel property of the Green's...

Persistent link: https://www.econbiz.de/10008474130

Shape constrained kernel density estimation

Birke, Melanie - 2008

in nonparametric regression by Dette, Neumeyer and Pilz (2006), Birke and Dette (2005) and Birke and Dette (2007). Those … report, Department of Mathematics. Birke, M. and Dette, H. (2007). Estimating a convex function in nonparametric regression …

Persistent link: https://www.econbiz.de/10003835873