Search Results - subject:"Time Homogeneity"

An Omnibus Test to Detect Time-Heterogeneity in Time Series

Guegan, Dominique; Peretti, Philippe De - HAL - 2012

In this paper, we present a procedure that tests for the null of time-homogeneity of the first two moments of a time …

Persistent link: https://www.econbiz.de/10010930207

An Omnibus Test to Detect Time-Heterogeneity in Time Series

Guegan, Dominique; Peretti, Philippe De - HAL - 2011

This paper focuses on a procedure to test for structural changes in the first two moments of a time series, when no information about the process driving the breaks is available. We model the series as a finite-order auto-regressive process plus an orthogonal Bernstein polynomial to capture...

Persistent link: https://www.econbiz.de/10010635006

An omnibus test to detect time-heterogeneity in time series.

Guegan, Dominique; Peretti, Philippe de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

Persistent link: https://www.econbiz.de/10008764533

Adaptive pointwise estimation in time-inhomogeneous time-series models

Čížek, Pavel; Härdle, Wolfgang Karl; Spokoiny, Vladimir - 2008

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

Persistent link: https://www.econbiz.de/10010274136

Adaptive pointwise estimation in time-inhomogeneous time-series models

Cizek, Pavel; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

: adaptive pointwise estimation, autoregressive models, conditional het- eroscedasticity models, local time-homogeneity ∗Dept. of … relaxing the assumption of time homogeneity and allowing some or all model parameters to vary over time (Fan and Zhang, 1999 … interval and tests it for time-homogeneity until a structural break is found or data exhausted. Hence, a model has to be …

Persistent link: https://www.econbiz.de/10005677996

The Default Risk of Firms Examined with Smooth Support Vector Machines

Härdle, Wolfgang; Lee, Yuh-Jye; Schäfer, Dorothea; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

In the era of Basel II a powerful tool for bankruptcy prognosis is vital for banks. The tool must be precise but also easily adaptable to the bank's objections regarding the relation of false acceptances (Type I error) and false rejections (Type II error). We explore the suitabil- ity of Smooth...

Persistent link: https://www.econbiz.de/10005207945

Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models

Cizek, Pavel; Haerdle, W.; Spokoiny, V. - Tilburg University, Center for Economic Research - 2007

Persistent link: https://www.econbiz.de/10011091047

Time series properties of a rating system based on financial ratios

Krüger, Ulrich; Stötzel, Martin; Trück, Stefan - 2005

This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...

Persistent link: https://www.econbiz.de/10010295907

Testing Homogeneity of Time-Continuous Rating Transitions

Lawrenz, Claudia; Tschiersch, Patrick; Weißbach, Rafael - 2005

systems instead of discrete-time rating information. A non-parametric test for the hypothesis of time-homogeneity is developed …

Persistent link: https://www.econbiz.de/10010296695

Time series properties of a rating system based on financial ratios

Krüger, Ulrich; Stötzel, Martin; Trück, Stefan - Deutsche Bundesbank - 2005

Persistent link: https://www.econbiz.de/10005082757