This paper shows that recent published mortality projections with unobserved exposure can be understood as structured density estimation. The structured density is only observed on a sub-sample corresponding to historical calendar times. The mortality forecast is obtained by extrapolating the...

This paper discusses the solution of nonlinear integral equations with noisy integral kernels as they appear in nonparametric instrumental regression. We propose a regularized Newton-type iteration and establish convergence and convergence rate results. A particular emphasis is on instrumental...

We propose a semiparametric factor model, which approximates the implied volatility surface (IVS) in a finite dimensional function space. Unlike standard principal component approaches typically used to reduce complexity, our approach is tailored to the degenerated design of IVS data. In...

This paper discusses a universal approach to the construction of confidence regions for level sets {h(x)≥0}⊂Rq of a function h of interest. The proposed construction is based on a plug-in estimate of the level sets using an appropriate estimate ĥn of h. The approach provides finite sample...

We develop an easily computed smooth backfitting algorithm for additive model fitting in repeated measures problems. Our methodology easily copes with various settings, such as when some covariates are the same over repeated response measurements. We allow for a working covariance matrix for the...

Nonseparable models do not impose any type of additivity between the unobserved part and the observable regressors, and are therefore ideal for many economic applications. To identify these models using the entire joint distribution of the data as summarized in regression quantiles, monotonicity...