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Empirical Projected Copula Process and Conditional Independence An Extended Version

Frattarolo, Lorenzo; Guegan, Dominique - HAL - 2013

Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its … sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight … centered Gaussian Process is obtained under weak assumptions on copula derivatives. …

Persistent link: https://www.econbiz.de/10011026052

Bayesian bandwidth selection for a nonparametric regession model with mixed types of regressors

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

We propose a sampling approach to bandwidth estimation for a nonparametric regression model with continuous and discrete types of regressors and unknown error density. The unknown error density is approximated by a location-mixture of Gaussian densities with means being the individual errors,...

Persistent link: https://www.econbiz.de/10010860408

Gaussian kernel GARCH models

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

This paper aims to investigate a Bayesian sampling approach to parameter estimation in the 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 mixture density...

Persistent link: https://www.econbiz.de/10010860418

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

We propose to approximate the unknown error density of a nonparametric regression model by a mixture of Gaussian densities with means being the individual error realizations and variance a constant parameter. This mixture density has the form of a kernel density estimator of error realizations....

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