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Year of publication
Subject
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Schätztheorie 2 Black-Scholes model 1 Black-Scholes-Modell 1 Convergence 1 Estimation theory 1 Fractional Black-Scholes model 1 Gegenbauer polynomials 1 Improved approximation 1 Monotone function 1 Monotone function , improved approximation , multivariate rearrangement , univariate rearrangement , growth chart , quantile regression , mean regression , series , locally linear , kernel methods 1 Multivariate Analyse 1 Stochastic process 1 Stochastischer Prozess 1 Time series analysis 1 Zeitreihenanalyse 1 growth chart 1 improved approximation 1 kernel methods 1 locally linear 1 mean regression 1 multivariate rearrange- ment 1 quantile regression 1 series 1 univariate rearrangement 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
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Chernozhukov, Victor 2 Galichon, Alfred 2 Aghdam, Y. Esmaeelzade 1 Amin, A. 1 Fernandez-Val, Ivan 1 Fernández-Val, Iván 1 Gómez-Aguilar, J. F. 1 Mesgarani, H. 1
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Institution
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Department of Economics, Boston University 1
Published in...
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Boston University - Department of Economics - Working Papers Series 1 Computational economics 1 cemmap working paper 1
Source
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ECONIS (ZBW) 1 EconStor 1 RePEc 1
Showing 1 - 3 of 3
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An efficient numerical scheme to approach the time fractional Black-Scholes model using orthogonal gegenbauer polynomials
Aghdam, Y. Esmaeelzade; Mesgarani, H.; Amin, A.; … - In: Computational economics 64 (2024) 1, pp. 211-224
Persistent link: https://www.econbiz.de/10015078017
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Improving estimates of monotone functions by rearrangement
Chernozhukov, Victor; Fernández-Val, Iván; Galichon, … - 2007
Suppose that a target function is monotonic, namely, weakly increasing, and an original estimate of the target function is available, which is not weakly increasing. Many common estimation methods used in statistics produce such estimates. We show that these estimates can always be improved with...
Persistent link: https://www.econbiz.de/10010318513
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Cover Image
IMPROVING ESTIMATES OF MONOTONE FUNCTIONS BY REARRANGEMENT
Chernozhukov, Victor; Fernandez-Val, Ivan; Galichon, Alfred - Department of Economics, Boston University - 2007
Suppose that a target function f0 : Rd ! R is monotonic, namely, weakly increasing, and an original estimate ^ f of the target function is available, which is not weakly increasing. Many common estimation methods used in statistics produce such estimates ^ f. We show that these estimates can...
Persistent link: https://www.econbiz.de/10005281426
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