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Conditional complexity of compression for authorship attribution

Malyutov, Mikhail B.; Wickramasinghe, Chammi Irosha; … - 2007

We introduce new stylometry tools based on the sliced conditional compression complexity of literary texts which are inspired by the nearly optimal application of the incomputable Kolmogorov conditional complexity (and presumably approximates it). Whereas other stylometry tools can occasionally...

Persistent link: https://www.econbiz.de/10010277239

Stock picking via nonsymmetrically pruned binary decision trees

Andriyashin, Anton - 2008

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

Persistent link: https://www.econbiz.de/10010263732

Implied basket correlation dynamics

Härdle, Wolfgang Karl; Silyakova, Elena - 2012

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms … of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …

Persistent link: https://www.econbiz.de/10010318771

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

Persistent link: https://www.econbiz.de/10010281562

Semiparametric estimation with generated covariates

Mammen, Enno; Rothe, Christoph; Schienle, Melanie - 2011

In this paper, we study a general class of semiparametric optimization estimators of a vector-valued parameter. The criterion function depends on two types of infinite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated...

Persistent link: https://www.econbiz.de/10010281571

Asymptotics of asynchronicity

Bibinger, Markus - 2011

In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...

Persistent link: https://www.econbiz.de/10010281581

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Bibinger, Markus - 2011

The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...

Persistent link: https://www.econbiz.de/10010281599

From Animal Baits to Investors´ Preference: Estimating and Demixingof the Weight Function in Semiparametric Models for Biased Samples

Ritov, Ya’acov; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

We consider two semiparametric models for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...

Persistent link: https://www.econbiz.de/10005861031

From animal baits to investors' preference: Estimating and demixing of the weight function in semiparametric models for biased samples

Ritov, Ya'acov; Härdle, Wolfgang Karl - 2007

We consider two semiparametric models for the weight function in a bias sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...

Persistent link: https://www.econbiz.de/10010274127

Constrained general regression in pseudo-Sobolev spaces with application to option pricing

Hlávka, Zdeněk; Peésta, Michal - 2006

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...

Persistent link: https://www.econbiz.de/10010274279