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Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves
Hall, Peter G.; Hyndman, Rob J.; Fan, Yanan - Department of Econometrics and Business Statistics, … - 2003
We study methods for constructing confidence intervals, and confidence bands, for estimators of receiver operating characteristics. Particular emphasis is placed on the way in which smoothing should be implemented, when estimating either the characteristic itself or its variance. We show that...
Persistent link: https://www.econbiz.de/10005427623
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An Improved Method for Bandwidth Selection when Estimating ROC Curves
Hall, Peter; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2002
The receiver operating characteristic (ROC) curve is used to describe the performance of a diagnostic test which classifies observations into two groups. We introduce a new method for selecting bandwidths when computing kernel estimates of ROC curves. Our technique allows for interaction between...
Persistent link: https://www.econbiz.de/10005149070
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Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models
Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007
A semiparametric method is studied for estimating the dependence parameter and the joint distribution of the error term … arguments that would be useful for other potential extensions of this semiparametric approach. It is shown that the proposed … in practice. In this simulation study, our proposed semiparametric method performed better than the well-known parametric …
Persistent link: https://www.econbiz.de/10005149050
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Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration
Gao, Jiti; Phillips, Peter C.B. - Department of Econometrics and Business Statistics, … - 2013
are commonly used in applied econometric work. Nonparametric and semiparametric estimation methods are proposed to … rates, that can arise in the conduct of semiparametric regression with nonstationary data. The results include some new …
Persistent link: https://www.econbiz.de/10010702338