Results 51 to 60 of about 167,561,462 (173)
Some nonparametric diagnostic Statistical procedures and their asymptotic behavior. [PDF]
In this thesis some new, nonparametric methods are introduced to explore uni- or bivariate data. First, we introduce the "shorth plot", a graphical method to depict the main features of one-dimensional probability distributions.
Gantner, M.
core
Journal of Time Series Analysis, EarlyView.ABSTRACT Expectile is a coherent and elicitable law‐invariant risk measure widely applied in risk management. Existing methods based on iteratively reweighted least squares (IWLS) are not computationally efficient for large‐scale sample sizes. To overcome the issue, we develop a direct nonparametric conditional expectile function estimator by inverting
Feipeng Zhang, Ping‐Shou Zhong
wiley +1 more source
A New Nonparametric Test of Cointegration Rank [PDF]
This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary multivariate cointegrated systems. The asymptotic properties of the procedure are determined and a Monte Carlo study is carried out.Cointegration rank ...
George Kapetanios
core
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka +4 more
wiley +1 more source
Inference on Income Distributions [PDF]
This paper attempts to provide a synthetic view of varied techniques available for per- forming inference on income distributions. Two main approaches can be distinguished: one in which the object of interest is some index of income inequality or poverty,
Russell Davidson
core
Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative [PDF]
, 2009 This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family ...
Horowitz, JL, Lee, S
core
Nonparametric tests of conditional treatment effects [PDF]
, 2009 We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the ...
Whang, Yoon-Jae +5 more
core +1 more source
Density‐Valued ARMA Models by Spline Mixtures
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley +1 more source
Asymptotic and bootstrap inference for inequality and poverty measures [PDF]
A random sample drawn from a population would appear to offer an ideal opportunity to use the bootstrap in order to perform accurate inference, since the observations of the sample are IID.
Russell Davidson, Emmanuel Flachaire
core
Robust Estimation and Inference for Time‐Varying Unconditional Volatility
Journal of Time Series Analysis, EarlyView.ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee +2 more
wiley +1 more source