Search Results - subject:"monotone rearrangements"

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Nonparametric comparison of quantile curves : a stochastic process approach

Dette, Holger; Volgushev, Stanislav; Wagener, Jens - 2011

Persistent link: https://www.econbiz.de/10009153974

Shape constrained kernel density estimation

Birke, Melanie - 2008

using monotone rearrangements. It is shown that the resulting estimate is a density itself and shares the asymptotic …

Persistent link: https://www.econbiz.de/10010300696

Shape constrained kernel density estimation

Birke, Melanie - Institut für Wirtschafts- und Sozialstatistik, … - 2008

using monotone rearrangements. It is shown that the resulting estimate is a density itself and shares the asymptotic …

Persistent link: https://www.econbiz.de/10009219822

Nonparametric option pricing with no-arbitrage constraints

Birke, Melanie; Pilz, Kay F. - 2007

We propose a completely kernel based method of estimating the call price function or the state price density of options. The new estimator of the call price function fulfills the constraints like monotonicity and convexity given in Breeden and Litzenberger (1978) without necessarily estimating...

Persistent link: https://www.econbiz.de/10010298211

Nonparametric option pricing with no-arbitrage constraints

Birke, Melanie; Pilz, Kay F. - Institut für Wirtschafts- und Sozialstatistik, … - 2007

Persistent link: https://www.econbiz.de/10009219838