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Härdle, Wolfgang Karl; Mori, Yuichi; Symanzik, Jürgen - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

Computational Statistics is an international journal that fosters the publication of applications and methodological research in the field of computational statistics. In this article, we will discuss the motivation, history, some specialties, and the future scope of this journal.

Persistent link: https://www.econbiz.de/10009399337

Approximate Solutions to Dynamic Models - Linear Methods

Uhlig, Harald - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...

Persistent link: https://www.econbiz.de/10005652725

Yxilon – A Client/Server Based Statistical Environment

Härdle, Wolfgang; Klinke, Sigbert; Ziegenhagen, Uwe - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

real datasets, which are usually more complex than the common examples found in standard textbooks. The software used in …

Persistent link: https://www.econbiz.de/10005489968

Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing

Hlavka, Zdenek; Pesta, Michal - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005652754

Working with the XQC

Härdle, Wolfgang; Lehmann, Heiko - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

familiar with. Thus, such methods are only available for preselected software packages, but not for widely used standard … software packages like MS Excel. To apply these new methods to empirical data a potential user faces a number of problems or it … have their preferred software and often do not have access to the same statistical software packages as their teacher …

Persistent link: https://www.econbiz.de/10005677890

QuantNet – A Database-Driven Online Repository of Scientific Information

Andriyashin, Anton; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

In this study a framework for an online database-driven repository of information – QuantNet – is presented. QuantNet is aimed at easing the process of web publishing for those who are unfamiliar with technical details and markup languages. At the same time advanced users are provided with...

Persistent link: https://www.econbiz.de/10005677924

Do Maternal Health Problems Influence Child's Worrying Status? Evidence from British Cohort Study

Dai, Xianhua; Härdle, Wolfgang Karl; Yu, Keming - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

The influence of maternal health problems on childâ€™s worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on childâ€™s worrying status. Conventional methods apply symmetric prior distributions such as a normal...

Persistent link: https://www.econbiz.de/10011184073

Building Loss Models

Burnecki, Krzysztof; Janczura, Joanna; RafaÅ‚ Weron - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another...

Persistent link: https://www.econbiz.de/10011184074

Principal Component Analysis in an Asymmetric Norm

Tran, Ngoc Mai; Osipenko, Maria; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

Principal component analysis (PCA) is a widely used dimension reduction tool in the analysis of many kind of high-dimensional data. It is used in signal process- ing, mechanical ingeneering, psychometrics, and other fields under different names. It still bears the same mathematical idea: the...

Persistent link: https://www.econbiz.de/10010728046

Comparing Solution Methods for DSGE Models with Labor Market Search

Lan, Hong - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the Chebyshev polynomials as its basis, and the perturbation methods up to...

Persistent link: https://www.econbiz.de/10010895344