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  • Search: subject:"kernel selection"
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Year of publication
Subject
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Core 3 Estimation theory 3 Kernel selection 3 Schätztheorie 3 kernel selection 3 Asymmetric kernel 2 Bayes factor 2 Nichtparametrisches Verfahren 2 Nonparametric statistics 2 Statistical distribution 2 Statistische Verteilung 2 ARCH model 1 ARCH-Modell 1 Bayes-Statistik 1 Bayesian inference 1 Boundary bias 1 Economics of information 1 Entropie 1 Entropy 1 Forecasting model 1 Fourier kernel 1 Informationsökonomik 1 Jensen-Shannon divergence 1 MSM-PSO-SVR 1 Marginal likelihood 1 Markov chain 1 Markov-Kette 1 Nichtparametrische Schätzung 1 Nonparametric estimation 1 Prognoseverfahren 1 Recovery-rate density 1 Regression analysis 1 Regressionsanalyse 1 Short-term volatility forecasting 1 Volatility 1 Volatilität 1 bandwidth selection 1 boundary bias 1 cointegration 1 entropy 1
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Online availability
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Free 3 Undetermined 2
Type of publication
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Article 4 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 4 Undetermined 2
Author
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Beheshti, Neshat 2 Li, Song 2 Silvapulle, Mervyn J. 2 Soofi, Ehsan S. 2 Zhang, Xibin 2 Khashanah, Khaldoun 1 Ludwig, Alexander 1 Racine, Jeffrey 1 Racine, Jeffrey S. 1 Shao, Chenjie 1 Silvapulle, Param 1 Silvapulle, Paramsothy 1
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Institution
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Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, McMaster University 1
Published in...
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Econometric reviews 2 Department of Economics Working Papers / Department of Economics, McMaster University 1 Economics Bulletin 1 Monash Econometrics and Business Statistics Working Papers 1 Quantitative finance 1
Source
All
ECONIS (ZBW) 3 RePEc 3
Showing 1 - 6 of 6
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Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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Information Measures for Nonparametric Kernel Estimation
Beheshti, Neshat; Racine, Jeffrey S.; Soofi, Ehsan S. - Department of Economics, McMaster University - 2015
This paper addresses the following question: How much information do the kernel function and the bandwidth provide for nonparametric kernel estimation? The question is addressed by showing that kernel estimation of a cumulative distribution function (CDF) is an information transmission procedure...
Persistent link: https://www.econbiz.de/10011269074
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Information measures of kernel estimation
Beheshti, Neshat; Racine, Jeffrey; Soofi, Ehsan S. - In: Econometric reviews 38 (2019) 1, pp. 47-68
Persistent link: https://www.econbiz.de/10012180697
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Testing the null of cointegration with a structural break: optimal kernel and bandwidth selection
Ludwig, Alexander - In: Economics Bulletin 33 (2013) 4, pp. 2828-2839
along several dimensions: sample size, kernel selection, bandwidth selection, the maximum value of the first order …
Persistent link: https://www.econbiz.de/10010835987
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Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval
Li, Song; Silvapulle, Mervyn J.; Silvapulle, Param; … - Department of Econometrics and Business Statistics, … - 2012
This paper investigates nonparametric estimation of density on [0,1]. The kernel estimator of density on [0,1] has been found to be sensitive to both bandwidth and kernel. This paper proposes a unified Bayesian framework for choosing both the bandwidth and kernel function. In a simulation study,...
Persistent link: https://www.econbiz.de/10009650286
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Bayesian approaches to nonparametric estimation of densities on the unit interval
Li, Song; Silvapulle, Mervyn J.; Silvapulle, Paramsothy; … - In: Econometric reviews 34 (2015) 1/5, pp. 394-412
Persistent link: https://www.econbiz.de/10011373275
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