Search Results - subject:"kernel estimation" - EconBiz

Inference on a semiparametric model with global power law and local nonparametric trends

Gao, Jiti; Linton, Oliver; Peng, Bin - 2018

This paper studies a model with both a parametric global trend and a nonparametric local trend. This model may be of interest in a number of applications in economics, finance, ecology, and geology. The model nests the parametric global trend model considered in Phillips (2007) and Robinson...

Persistent link: https://www.econbiz.de/10011775194

Estimating latent group structure in time-varying coefficient panel data models

Chen, Jia - 2018 - Version: October 24, 2018

Persistent link: https://www.econbiz.de/10011941321

Interval estimation of value-at-risk based on nonparametric models

Khraibani, Hussein; Nehme, Bilal; Strauss, Olivier - In: Econometrics : open access journal 6 (2018) 4, pp. 1-30

nonparametric approach called maxitive kernel estimation of the VaR. This estimation is based on a coherent extension of the kernel …

Persistent link: https://www.econbiz.de/10011945779

Inference on a semiparametric model with global power law and local nonparametric trends

Gao, Jiti; Linton, Oliver; Peng, Bin - 2018

This paper studies a model with both a parametric global trend and a nonparametric local trend. This model may be of interest in a number of applications in economics, finance, ecology, and geology. The model nests the parametric global trend model considered in Phillips (2007) and Robinson...

Persistent link: https://www.econbiz.de/10011941426

Interval estimation of value-at-risk based on nonparametric models

Khraibani, Hussein; Nehme, Bilal; Strauss, Olivier - In: Econometrics 6 (2018) 4, pp. 1-30

nonparametric approach called maxitive kernel estimation of the VaR. This estimation is based on a coherent extension of the kernel …

Persistent link: https://www.econbiz.de/10011995231

Inference on a semiparametric model with global power law and local nonparametric trends

Gao, Jiti; Linton, Oliver; Peng, Bin - 2017

Persistent link: https://www.econbiz.de/10011782105

Local logit regression for recovery rate

Sopitpongstorn, Nithi; Silvapulle, Paramsothy; Gao, Jiti - 2017

Persistent link: https://www.econbiz.de/10011782259

Direct nonlinear shrinkage estimation of large-dimensional covariance matrices

Ledoit, Olivier; Wolf, Michael - 2017

of direct kernel estimation are: (1) it is much easier to comprehend because it is analogous to kernel density estimation …

Persistent link: https://www.econbiz.de/10011729044

Direct nonlinear shrinkage estimation of large-dimensional covariance matrices

Ledoit, Olivier; Wolf, Michael - 2017

of direct kernel estimation are: (1) it is much easier to comprehend because it is analogous to kernel density estimation …

Persistent link: https://www.econbiz.de/10011784298

Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors

Zhang, Ruohao; Kumbhakar, Subal; Lai, Hung-pin - In: Econometric reviews 40 (2021) 4, pp. 415-432

Persistent link: https://www.econbiz.de/10012515607

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