Search Results - subject:"Tikhonov regularization"

Darolles, Serge; Florens, Jean-Pierre; Fan, Yanqin; … - Département Sciences Sociales, Agriculture et … - 2011

procedure based on Tikhonov regularization. The paper analyzes identification and overidentification of this model, and presents …

Persistent link: https://www.econbiz.de/10010780369

B-spline techniques for volatility modeling

Corlay, Sulvain - In: The journal of computational finance 19 (2016) 3, pp. 97-135

Persistent link: https://www.econbiz.de/10011563492

Calibration of stochastic volatility models : a Tikhonov regularization approach

Dai, Min; Tang, Ling; Yue, Xingye - In: Journal of economic dynamics & control 64 (2016), pp. 66-81

Persistent link: https://www.econbiz.de/10011708221

Nonparametric instrumental variable estimators of structural quantile effects

Chernozhukov, Victor; Gagliardini, Patrick; Scaillet, … - 2008

We study the asymptotic distribution of Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is...

Persistent link: https://www.econbiz.de/10003961394

Convergence rates of general regularization methods for statistical inverse problems and applications

Bissantz, Nicolai; Hohage, T.; Munk, Axel; Ruymgaart, F. - 2007

During the past the convergence analysis for linear statistical inverse problems has mainly focused on spectral cut-off and Tikhonov type estimators. Spectral cut-off estimators achieve minimax rates for a broad range of smoothness classes and operators, but their practical usefulness is limited...

Persistent link: https://www.econbiz.de/10010298188

Identification and estimation by penalization in nonparametric instrumental regression

FLORENS, Jean-Pierre; JOHANNES, Jan; VAN BELLEGEM, … - Center for Operations Research and Econometrics (CORE), … - 2007

The nonparametric estimation of a regression function x from conditional moment restrictions involving instrumental variables is considered. The rate of convergence of penalized estimators is studied in the case where x is not identified from the conditional moment restriction. We also study the...

Persistent link: https://www.econbiz.de/10005065283

A Specification Test For Nonparametric Instrumental Variable Regression

Gagliardini, Patrick; Scaillet, Olivier - 2007

We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...

Persistent link: https://www.econbiz.de/10005162958

Convergence rates of general regularization methods for statistical inverse problems and applications

Bissantz, Nicolai; Hohage, T.; Munk, Axel; Ruymgaart, F. - Institut für Wirtschafts- und Sozialstatistik, … - 2007

Persistent link: https://www.econbiz.de/10009219813

Identification and estimation by penalization in nonparametric instrumental regression

Florens, Jean-Pierre (contributor); … - 2007

, nonparametric estimation, il-posed inverse problem, identification, penalized estimator, Tikhonov regularization, Sobolev norm … stabilization procedure is called the “Tikhonov regularization” and has been largely considered in econometric theory, see the above … choice of anL2 norm has been extensively studied in econometrics and leads to the so-called Tikhonov regularization. However …

Persistent link: https://www.econbiz.de/10003570967

Instrumental regression in partially linear models

FLORENS, Jean-Pierre; JOHANNES, Jan; VAN BELLEGEM, … - Center for Operations Research and Econometrics (CORE), … - 2006

We consider the semiparametric regression X t +(Z) where and (r and function, and where the variables (X, Z) are endogeneous. We propose necessary and sufficient conditions for the identification of the parameters in the presence of instrumental variables. We also focus on the estimation of . An...

Persistent link: https://www.econbiz.de/10005043530