Search Results - subject:"ill-posed problem"

Identification in financial models with time-dependent volatility and stochastic drift components

Krämer, Romy - 2007

Persistent link: https://www.econbiz.de/10003494294

Posterior consistency of nonparametric conditional moment restricted models

Liao, Yuan; Jiang, Wenxin - Volkswirtschaftliche Fakultät, … - 2011

This paper addresses the estimation of the nonparametric conditional moment restricted model that involves an infinite-dimensional parameter g0. We estimate it in a quasi-Bayesian way, based on the limited information likelihood, and investigate the impact of three types of priors on the...

Persistent link: https://www.econbiz.de/10011113752

Nonparametric Instrumental Regression

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

The focus of this paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions that stem from a structural econometric model E[Y âˆ’ f (Z) | W] = 0, and involve endogenous variables Y and Z and instruments W. The function f is the...

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

An optimal regularization method for space-fractional backward diffusion problem

Zhang, Z.Q.; Wei, T. - In: Mathematics and Computers in Simulation (MATCOM) 92 (2013) C, pp. 14-27

In this paper, a space-fractional backward diffusion problem (SFBDP) in a strip is considered. By the Fourier transform, we proposed an optimal modified method to solve this problem in the presence of noisy data. The convergence estimates for the approximate solutions with the regularization...

Persistent link: https://www.econbiz.de/10010751820

Estimation of nonparametric regression models with a mixture of Berkson and classical errors

Yin, Zanhua; Gao, Wei; Tang, Man-Lai; Tian, Guo-Liang - In: Statistics & Probability Letters 83 (2013) 4, pp. 1151-1162

We consider the estimation of nonparametric regression models with the explanatory variable being measured with Berkson errors or with a mixture of Berkson and classical errors. By constructing a compact operator, the regression function is the solution of an ill-posed inverse problem, and we...

Persistent link: https://www.econbiz.de/10010662326

Ill-conditioned problems, Fisher information, and weak instruments

Forchini, Giovanni; Hillier, Grant H. - 2005

identification, and also to the condition numbers that are used to measure Ѥistance from an ill-posed problem' in other branches of …

Persistent link: https://www.econbiz.de/10010318556

Ill-conditioned problems, Fisher information and weak instruments

Forchini, Giovanni; Hillier, Grant - Centre for Microdata Methods and Practice (CEMMAP) - 2005

identification, and also to the condition numbers that are used to measure Ñ¤istance from an ill-posed problem' in other branches of … condition numbers that are used to measure ‘distance from an ill-posed problem’ in other branches of applied mathematics. We … one suspects from the recent “weak instruments” literature in econometrics that being close to an ill-posed problem might …

Persistent link: https://www.econbiz.de/10005037559

Comparingparameter choice methods for regularization of ill-posed problems

Bauer, Frank; Lukas, Mark A. - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 9, pp. 1795-1841

In the literature on regularization, many different parameter choice methods have been proposed in both deterministic and stochastic settings. However, based on the available information, it is not always easy to know how well a particular method will perform in a given situation and how it...

Persistent link: https://www.econbiz.de/10010750046

On the calibration of local jump-diffusion asset price models

Kindermann, S.; Mayer, P. - In: Finance and Stochastics 15 (2011) 4, pp. 685-724

Persistent link: https://www.econbiz.de/10009400206

Numerical approximation of solution of nonhomogeneous backward heat conduction problem in bounded region

Feng, Xiao-Li; Qian, Zhi; Fu, Chu-Li - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 2, pp. 177-188

In this paper we consider a numerical approximation of solution of nonhomogeneous backward heat conduction problem (BHCP) in bounded region based on Tikhonov regularization method. Error estimate at t=0 for this method is provided. According to the error estimate, a selection of regularization...

Persistent link: https://www.econbiz.de/10010748857