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Stable variable selection for right censored data: comparison of methods

Besse, Philippe; Leconte, Eve; Walschaerts, Marie - Toulouse School of Economics (TSE) - 2012

The instability in the selection of models is a major concern with data sets containing a large number of covariates. This paper deals with variable selection methodology in the case of high-dimensional problems where the response variable can be right censored. We focuse on new stable variable...

Persistent link: https://www.econbiz.de/10010934793

Functional inference in semiparametric models using the piggyback bootstrap

Dixon, John; Kosorok, Michael; Lee, Bee - In: Annals of the Institute of Statistical Mathematics 57 (2005) 2, pp. 255-277

Persistent link: https://www.econbiz.de/10005616310

Local bootstrap

Shi, Sheng - In: Annals of the Institute of Statistical Mathematics 43 (1991) 4, pp. 667-676

Persistent link: https://www.econbiz.de/10005760159

Nonparametric estimation and symmetry tests for conditional density functions

Yao, Qiwei; Hyndman, Rob J. - London School of Economics (LSE) - 2002

We suggest two improved methods for conditional density estimation. The rst is based on locally tting a log-linear model, and is in the spirit of recent work on locally parametric techniques in density estimation. The second method is a constrained local polynomial estimator. Both methods always...

Persistent link: https://www.econbiz.de/10011125947

Semiparametric Diffusion Estimation and Application to a Stock Market Model

Hardle, Wolfgang; Kleinow, Torsten; Korostelev, Alexander; … - Finance Discipline Group, Business School - 2001

The analysis of diffusion process in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

Persistent link: https://www.econbiz.de/10004984483

A note on the Bandwidth choice when the null hypothesis is semiparametric

Marín, Jorge Barrientos - In: REVISTA DE ECONOMÍA DEL ROSARIO (2005)

-known bootstrap residual process. In nonparametric testing literature, the dominant idea is that bandwidth utilized to produce … bootstrap sample should be bigger that bandwidth for estimating model under null hypothesis. However, there is no hint so far … about how to choose such bandwidth in practice. We will discuss a first step to find some rule of thumb to choose bandwidth …

Persistent link: https://www.econbiz.de/10005768259

Bootstrap-based Bandwidth Selection for Semiparametric Generalized Regression Estimators

Goh, Chuan - University of Toronto, Department of Economics - 2009

This paper considers the problem of implementing semiparametric extremum estimators of a generalized regression model with an unknown link function. The class of estimator under consideration includes as special cases the semiparametric least-squares estimator of Ichimura (1993) as well as the...

Persistent link: https://www.econbiz.de/10008506897

Uniform confidence bands for pricing kernels

Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 376-413

Persistent link: https://www.econbiz.de/10011339301

A general approach for cure models in survival analysis

Patilea, Valentin; Van Keilegom, Ingrid - 2019

Persistent link: https://www.econbiz.de/10012050908