Showing 1 - 10 of 57
We consider the problem of uniform asymptotics in kernel functional estimation where the bandwidth can depend on the data. In a unified approach we investigate kernel estimates of the density and the hazard rate for uncensored and right-censored observations. The model allows for the fixed...
Persistent link: https://www.econbiz.de/10010296605
Various consistency proofs for the kernel density estimator have been developed over the last few decades. Important milestones are the pointwise consistency and almost sure uniform convergence with a fixed bandwidth on the one hand and the rate of convergence with a fixed or even a variable...
Persistent link: https://www.econbiz.de/10010301327
Dependent censoring occurs in longitudinal studies of recurrent events when the censoring time depends on the potentially unobserved recurrent event times. To perform regression analysis in this setting, we propose a semiparametric joint model that formulates the marginal distributions of the...
Persistent link: https://www.econbiz.de/10009476569
This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...
Persistent link: https://www.econbiz.de/10010288306
A new framework is provided for identifying market timing. The analysis focuses on the local joint history of the hedge fund with the benchmark. The approach is fully nonparametric. Therefore, it has the advantage of avoiding the misspecification problems so common in this literature. The test...
Persistent link: https://www.econbiz.de/10005471893
This paper establishes stochastic equicontinuity for classes of mixingales. Attention is restricted to Lipschitz-continuous parametric functions. Unlike some other empirical process theory for dependent data, our results do not require bounded functions, stationary processes, or restrictive...
Persistent link: https://www.econbiz.de/10004968854
This paper studies tools for checking the validity of a parametric regression model, when both response and predictors are unobserved and distorted in a multiplicative fashion by an observed confounding variable. A residual based empirical process test statistic marked by proper functions of the...
Persistent link: https://www.econbiz.de/10011117687
<Para ID="Par1">In this paper, we present a method for estimating the conditional distribution function of the model error. Given the covariates, the conditional mean function is modeled as a partial linear model, and the conditional distribution function of model error is modeled as a single-index model. To...</para>
Persistent link: https://www.econbiz.de/10011240913
We consider a class of cure rate frailty models for multivariate failure time data with a survival fraction. This class is formulated through a transformation on the unknown population survival function. It incorporates random effects to account for the underlying correlation, and includes the...
Persistent link: https://www.econbiz.de/10010848631
In the common nonparametric regression model, we consider the problem of testing the hypothesis that the coefficient of the scale and location function is constant. The test is based on a comparison of the standardized (by a local linear estimate of the scale function) observations with their...
Persistent link: https://www.econbiz.de/10010848637