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Semiparametric duration models
Drost, Feike C. (contributor); Werker, Bas J. M. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001568494
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Semiparametric lower bounds for tail index estimation
Beirlant, Jan (contributor); Bouquiaux, Christel (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001612058
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Semiparametrically efficient inference based on signs and ranks for median restricted models
Hallin, Marc (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001901479
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Semiparametric duration models
Drost, Feike C.; Werker, Bas J. M. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 1, pp. 40-50
Persistent link: https://www.econbiz.de/10001891415
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Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models
Drost, Feike C.; Akker, Ramon van den; Werker, Bas J. M. - 2008
Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on...
Persistent link: https://www.econbiz.de/10014050438
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Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued Ar(P) Models
Drost, Feike C.; Akker, Ramon van den; Werker, Bas J. M. - 2013
Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on...
Persistent link: https://www.econbiz.de/10014217553
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Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models
Drost, Feike C. (contributor);  … - 2008 - Rev. version of CentER Discussion Paper 2007-23
Persistent link: https://www.econbiz.de/10003752414
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Improving upon the marginal empirical distribuition functions when the copula is known
Segers, Johan (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003736683
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Optimal pseudo-Gaussian and rank-based tests of the cointegration rank in semiparametric error-correction models
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - 2015
Persistent link: https://www.econbiz.de/10011348908
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Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 190 (2016) 1, pp. 46-61
Persistent link: https://www.econbiz.de/10011591614