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Tie the straps : uniform bootstrap con fidence bands for bounded influence curve estimators

Härdle, Wolfgang; Ritov, Ya'acov; Wang, Weining - 2013

We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are developed for additive models with both symmetric error...

Persistent link: https://www.econbiz.de/10010195959

Robust estimation and inference for threshold models with integrated regressors

Chen, Haiqiang - 2013

then generalized to incorporate endogeneity and serial correlation in error terms, under which, we design a Cochrane …

Persistent link: https://www.econbiz.de/10009767269

Estimation of the signal subspace without estimation of the inverse covariance matrix

Panov, Vladimir - 2010

Let a high-dimensional random vector ⃗X can be represented as a sum of two components - a signal ⃗S , which belongs to some low-dimensional subspace S, and a noise component ⃗N . This paper presents a new approach for estimating the subspace S based on the ideas of the Non-Gaussian...

Persistent link: https://www.econbiz.de/10008663366

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/10009151649

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/10009151650

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/10009349196

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/10009388782

Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps

Bibinger, Markus; Vetter, Mathias - 2013

We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are generalized to the case of irregular observations. In the two-dimensional...

Persistent link: https://www.econbiz.de/10009745914

Implied basket correlation dynamics

Härdle, Wolfgang; 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/10009665551

Semiparametric estimation with generated covariates

Mammen, Enno; Rothe, Christoph; Schienle, Melanie - 2014

We study a general class of semiparametric estimators when the in nite-dimensional nuisance parameters include a conditional expectation function that has been estimated nonparametrically using generated covariates. Such estimators are used frequently to e.g. estimate nonlinear models with...

Persistent link: https://www.econbiz.de/10010402950