Search Results - subject:"conditional density"

Bayesian regression with heteroscedastic error density and parametric mean function

Pelenis, Justinas - In: Journal of econometrics 178 (2014) 1, pp. 624-638

Persistent link: https://www.econbiz.de/10010257372

Persistence vs. mobility in industrial and technological specialisations : evidence from 11 Euro area countries

Chiappini, Raphaël - In: Journal of evolutionary economics : JEE 24 (2014) 1, pp. 159-187

Persistent link: https://www.econbiz.de/10010235264

Flexible time series models for subjective distribution estimation with monetary policy in view

Guegan, Dominique; Ielpo, Florian - HAL - 2007

In this paper, we introduce a new approach to estimate the subjective distribution of the future short rate from the historical dynamics of futures, based on a model generated by a Normal Inverse Gaussian distribution, with dynamical parameters. The model displays time varying conditional...

Persistent link: https://www.econbiz.de/10010750544

Intra-distribution dynamics of regional per-capita income in Europe: evidence from alternative conditional density estimators

Basile, Roberto - Istituto Nazionale di Statistica (ISTAT) - 2007

This paper compares different conditional density estimators to analyze the cross-sectional distribution dynamics of …

Persistent link: https://www.econbiz.de/10005449505

Flexible time series models for subjective distribution estimation with monetary policy in view.

Guégan, Dominique; Ielpo, Florian - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

Persistent link: https://www.econbiz.de/10005670899

Kernel estimation of conditional density with truncated, censored and dependent data

Liang, Han-Ying; Liu, Ai-Ai - In: Journal of Multivariate Analysis 120 (2013) C, pp. 40-58

In this paper we define a kernel estimator of the conditional density for a left-truncated and right-censored model …

Persistent link: https://www.econbiz.de/10011041911

Maximum likelihood estimation for conditional distribution single-index models under censoring

Strzalkowska-Kominiak, Ewa; Cao, Ricardo - In: Journal of Multivariate Analysis 114 (2013) C, pp. 74-98

A new likelihood approach is proposed for the problem of semiparametric estimation of a conditional distribution or density under censoring. Consistency and asymptotic normality for two versions of the maximum likelihood estimator of the parameter vector in the single index model are proved. The...

Persistent link: https://www.econbiz.de/10010594242

Asymptotic normality of conditional density estimation in the single index model for functional time series data

Ling, Nengxiang; Xu, Qian - In: Statistics & Probability Letters 82 (2012) 12, pp. 2235-2243

In this paper, we investigate the estimation of conditional density function based on the single-index model for … functional time series data. The asymptotic normality of the conditional density estimator and the conditional mode estimator for … asymptotic (1-ζ) confidence interval of the conditional density function and the conditional mode are also presented for 0<ζ<1. …

Persistent link: https://www.econbiz.de/10011039954

Bayesian modeling of joint and conditional distributions

Norets, Andriy; Pelenis, Justinas - In: Journal of Econometrics 168 (2012) 2, pp. 332-346

In this paper, we study a Bayesian approach to flexible modeling of conditional distributions. The approach uses a flexible model for the joint distribution of the dependent and independent variables and then extracts the conditional distributions of interest from the estimated joint...

Persistent link: https://www.econbiz.de/10010577522

Forecasting the performance of hedge fund styles

Olmo, José; Sanso-Navarro, Marcos - In: Journal of Banking & Finance 36 (2012) 8, pp. 2351-2365

This article predicts the relative performance of hedge fund investment styles using time-varying conditional stochastic dominance tests. These tests allow for the construction of dynamic trading strategies based on nonparametric density forecasts of hedge fund returns. During the recent...

Persistent link: https://www.econbiz.de/10010599650