Results 11 to 20 of about 411,514 (294)
Nonparametric Estimation of Extreme Quantiles with an Application to Longevity Risk
Risks, 2021 A new method to estimate longevity risk based on the kernel estimation of the extreme quantiles of truncated age-at-death distributions is proposed. Its theoretical properties are presented and a simulation study is reported.
Catalina Bolancé, Montserrat Guillen
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Improved the bias in kernel quantile function estimation
AIMS Mathematics, 2023 In this paper, a new estimator for kernel quantile estimation is given to reduce the bias. The asymptotic properties of the proposed estimator was established and it turned out that the bias has been reduced to the fourth power of the bandwidth, while ...
Abdallah Sayah, Nassima Almi
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Research Based on High-Dimensional Fused Lasso Partially Linear Model
Mathematics, 2023 In this paper, a partially linear model based on the fused lasso method is proposed to solve the problem of high correlation between adjacent variables, and then the idea of the two-stage estimation method is used to study the solution of this model ...
Aifen Feng +4 more
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Kernel density estimation and its application
ITM Web of Conferences, 2018 Kernel density estimation is a technique for estimation of probability density function that is a must-have enabling the user to better analyse the studied probability distribution than when using a traditional histogram. Unlike the histogram, the kernel
Węglarczyk Stanisław
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Matematika, 2018 Abstrak. Pada penelitian yang dilakukan oleh Setiawan dkk, menyatakan bahwa metode loss distribution approach dengan pendekatan kernel density estimation mampu menghasilkan nilai economic capital yang lebih efisien sebesar 1,6% - 3,2% dibandingkan dengan
Erwan Setiawan, Ramdhan F Suwarman
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Time-frequency represetation of radar signals using Doppler-Lag block searching Wigner-Ville distribution [PDF]
, 2018 Radar signals are time-varying signals where the signal parameters change over time. For these signals, Quadratic Time-Frequency Distribution (QTFD) offers advantages over classical spectrum estimation in terms of frequency and time resolution but it ...
Hamdi, Muhammad Noor Muhammad +1 more
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Improved parameter estimation of Time Dependent Kernel Density by using Artificial Neural Networks
Journal of Finance and Data Science, 2018 Time Dependent Kernel Density Estimation (TDKDE) used in modelling time-varying phenomenon requires two input parameters known as bandwidth and discount to perform.
Xing Wang +2 more
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Research of comparative analysis of nonparametric density estimation by applying Monte Carlo method
Lietuvos Matematikos Rinkinys, 2013 This paper presents nonparametric statistical estimation of distribution density. The Monte Carlo method is used to show the effects of kernel function for multimodal kernel density estimation.
Indrė Drulytė, Tomas Ruzgas
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Kernel Quantile Estimators [PDF]
Journal of the American Statistical Association, 1990 Abstract For an estimator of quantiles, the efficiency of the sample quantile can be improved by considering linear combinations of order statistics, that is, L estimators. A variety of such methods have appeared in the literature; an important aspect of this article is that asymptotically several of these are shown to be kernel estimators with a ...
Simon J. Sheather, J. S. Marron
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Predictive accuracy of option pricing models considering high-frequency data
Ekonomski Vjesnik, 2021 Purpose: Recently, considerable attention has been given to forecasting, not only the mean and the variance, but also the entire probability density function (pdf) of the underlying asset.
Josip Arnerić, Maria Čuljak
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