Search Results - subject:"kernel-form error density"

Bayesian bandwidth estimation for local linear fitting in nonparametric regression models

Shang, Han Lin; Zhang, Xibin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 55-71

Persistent link: https://www.econbiz.de/10013334620

A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - Department of Econometrics and Business Statistics, … - 2013

parameters in the kernel-form error density and the Nadaraya-Watson regression estimator and develop a sampling algorithm. A … simulation study shows that when the true error density is non-Gaussian, the kernel-form error density is often favored against …

Persistent link: https://www.econbiz.de/10011141016

Bayesian semiparametric GARCH models

Zhang, Xibin; King, Maxwell L. - Department of Econometrics and Business Statistics, … - 2011

This paper aims to investigate a Bayesian sampling approach to parameter estimation in the semiparametric GARCH model with an unknown conditional error density, which we approximate by a mixture of Gaussian densities centered at individual errors and scaled by a common standard deviation. This...

Persistent link: https://www.econbiz.de/10009366291

A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - In: Computational Statistics & Data Analysis 78 (2014) C, pp. 218-234

kernel-form error density and the Nadaraya–Watson regression estimator are derived, and a sampling algorithm is developed. A … simulation study shows that when the true error density is non-Gaussian, the kernel-form error density is often favored against …

Persistent link: https://www.econbiz.de/10010785340