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Kernel density estimation for undirected dyadic data

Graham, Bryan S.; Niu, Fengshi; Powell, James - 2019 - This Draft: July 2019

We study nonparametric estimation of density functions for undirected dyadic random variables (i.e., random variables …, of nodes. This di?ers from the results for nonparametric estimation of densities and regres-sion functions for monadic …

Persistent link: https://www.econbiz.de/10012053034

Model selection test for the heavy-tailed distributions under censored samples with application in financial data

Panahi, Hanieh - In: International Journal of Financial Studies : open … 4 (2016) 4, pp. 1-14

Numerous heavy-tailed distributions are used for modeling financial data and in problems related to the modeling of economics processes. These distributions have higher peaks and heavier tails than normal distributions. Moreover, in some situations, we cannot observe complete information about...

Persistent link: https://www.econbiz.de/10011606719

On Maximum Likelihood Estimates for the Shape Parameter of the Generalized Pareto Distribution

Kouider, Mohammed Ridha - 2019

The general Pareto distribution (GPD) has been widely used a lot in the extreme value for example to model exceedance over a threshold. Feature of The GPD that when applied to real data sets depends substantially and clearly on the parameter estimation process. Mostly the estimation is preferred...

Persistent link: https://www.econbiz.de/10012860148

Badescu, Andrei - 2016

In this paper, we propose a copula-free approach for modeling correlated frequency distributions using an Erlang-based multivariate mixed Poisson distribution. We investigate some of the properties possessed by this class of distributions and derive a tailor-made expectation-maximization (EM)...

Persistent link: https://www.econbiz.de/10013002480

Estimation and inference of distributional partial effects : theory and application

Shen, Shu - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 54-66

Persistent link: https://www.econbiz.de/10012176489

Nonparametric IV Estimation of Local Average Treatment Effects with Covariates

Frölich, Markus - 2002

of LATE rely on parametric or semiparametric methods. In this paper, a nonparametric estimator for the estimation of LATE …In this paper nonparametric instrumental variable estimation of local average treatment effects (LATE) is extended to … on much weaker assumptions than the identification of average treatment effects in other nonparametric instrumental …

Persistent link: https://www.econbiz.de/10010262665

What is the Value of Knowing the Propensity Score for Estimating Average Treatment Effects?

Frölich, Markus - 2002

Propensity score matching is widely used in treatment evaluation to estimate average treatment effects. Nevertheless, the role of the propensity score is still controversial. Since the propensity score is usually unknown and has to be estimated, the efficiency loss arising from not knowing the...

Persistent link: https://www.econbiz.de/10010262697

Time varying hierarchical archimedean copulae

Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2010

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

Persistent link: https://www.econbiz.de/10010270704

Non-gaussian component analysis: New ideas, new proofs, new applications

Panov, Vladimir - 2010

In this article, we present new ideas concerning Non-Gaussian Component Analysis (NGCA). We use the structural assumption that a high-dimensional random vector X can be represented as a sum of two components - a lowdimensional signal S and a noise component N. We show that this assumption...

Persistent link: https://www.econbiz.de/10010270736

Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Theodossiou, Panayiotis; McDonald, James B.; Hansen, … - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-7, pp. 1-20

This paper provides a survey of three families of flexible parametric probability density functions (the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sine distributions) which can be used in modeling a wide variety of econometric problems....

Persistent link: https://www.econbiz.de/10010295290