Showing 1 - 10 of 117
In this paper, we describe how to test for the presence of measurement error in explanatory variables. First, we discuss the test of such hypotheses in parametric models such as linear regressions and then introduce a new Stata command [R] dgmtest for a nonparametric test proposed in Wilhelm...
Persistent link: https://www.econbiz.de/10011895115
In this paper, we describe how to test for the presence of measurement error in explanatory variables. First, we discuss the test of such hypotheses in parametric models such as linear regressions and then introduce a new Stata command [R] dgmtest for a nonparametric test proposed in Wilhelm...
Persistent link: https://www.econbiz.de/10012101433
Discriminant analysis for two data sets in IRd with probability densities f and g can be based on the estimation of the set G = {x : f(x) Ï g(x)}. We consider applications where it is appropriate to assume that the region G has a smooth boundary. In particular, this assumption makes sense if...
Persistent link: https://www.econbiz.de/10010309858
We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit...
Persistent link: https://www.econbiz.de/10010263640
We study the nonparametric calibration of exponential, self-decomposable Lévy models whose jump density can be characterized by the k-function, which is typically nonsmooth at zero. On the one hand the estimation of the drift, the activity measure a := k(0+) + k(0-) and analog parameters for...
Persistent link: https://www.econbiz.de/10010281533
We consider nonparametric estimation of a mixed discrete-continuous distribution under anisotropic smoothness conditions and possibly increasing number of support points for the discrete part of the distribution. For these settings, we derive lower bounds on the estimation rates in the total...
Persistent link: https://www.econbiz.de/10011917384
We study the nonparametric calibration of exponential, self-decomposable Levy models whose jump density can be characterized by the k-function, which is typically nonsmooth at zero. On the one hand the estimation of the drift, the activity measure alpha:= k(0+) + k(0-) and analog parameters for...
Persistent link: https://www.econbiz.de/10009367416
We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit...
Persistent link: https://www.econbiz.de/10005652730
The calibration of financial models has become rather important topic in recent years mainly because of the need to price increasingly complex options in a consistent way. The choice of the underlying model is crucial for the good performance of any calibration procedure. Recent empirical...
Persistent link: https://www.econbiz.de/10005678048
We consider a generalization of stochastic bandits where the set of arms, $\cX$, is allowed to be a generic measurable space and the mean-payoff function is ''locally Lipschitz'' with respect to a dissimilarity function that is known to the decision maker. Under this condition we construct an...
Persistent link: https://www.econbiz.de/10009371841