Results 21 to 30 of about 6,398 (252)

Nonparametric likelihood based estimation for a multivariate Lipschitz density

Journal of Multivariate Analysis, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Daniel Carando, Ricardo Fraiman, Pablo Groisman   +2 more
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Semi- and Nonparametric ARCH Processes

Journal of Probability and Statistics, 2011
ARCH/GARCH modelling has been successfully applied in empirical finance for many years. This paper surveys the semiparametric and nonparametric methods in univariate and multivariate ARCH/GARCH models.
Oliver B. Linton, Yang Yan
doaj   +1 more source

Nonparametric iterative estimation of multivariate binary density

Journal of Multivariate Analysis, 1985
In this paper, an iterative estimate of the multivariate density is proposed when the variables are binary in nature. Some properties of this estimate are also discussed. Finally, applications of this estimate are discussed in the areas of pattern recognition and reliability.
Liang, Wen-Qi, Krishnaiah, P.R.
openaire   +2 more sources

Estimation of Star-Shaped Distributions

Risks, 2016
Scatter plots of multivariate data sets motivate modeling of star-shaped distributions beyond elliptically contoured ones. We study properties of estimators for the density generator function, the star-generalized radius distribution and the density in a
Eckhard Liebscher, Wolf-Dieter Richter
doaj   +1 more source

Using conditional kernel density estimation for wind power density forecasting [PDF]

, 2012
Of the various renewable energy resources, wind power is widely recognized as one of the most promising. The management of wind farms and electricity systems can benefit greatly from the availability of estimates of the probability distribution of wind ...
Jeon, Jooyoung, Taylor, James W., Jeon, Jooyong, Taylor, James   +3 more
core   +1 more source

Local Likelihood Density Estimation and Value-at-Risk

Journal of Probability and Statistics, 2010
This paper presents a new nonparametric method for computing the conditional Value-at-Risk, based on a local approximation of the conditional density function in a neighborhood of a predetermined extreme value for univariate and multivariate series of ...
Christian Gourieroux, Joann Jasiak
doaj   +1 more source

Bayesian Nonparametric Inference for a Multivariate Copula Function [PDF]

, 2014
The paper presents a general Bayesian nonparametric approach for estimating a high dimensional copula. We first introduce the skew-normal copula, which we then extend to an infinite mixture model.
Wu, Juan, Wang, Xue, Walker, Stephen G.
core   +1 more source

Adaptive Nonparametric Kernel Density Estimation Approach for Joint Probability Density Function Modeling of Multiple Wind Farms

Energies, 2019
The uncertainty of wind power brings many challenges to the operation and control of power systems, especially for the joint operation of multiple wind farms.
Nan Yang, Yu Huang, Dengxu Hou, Songkai Liu, Di Ye, Bangtian Dong, Youping Fan   +6 more
doaj   +1 more source

Multivariate Nonparametric Volatility Density Estimation

, 2009
We consider a continuous-time stochastic volatility model. The model contains a stationary volatility process, the multivariate density of the finite dimensional distributions of which we aim to estimate. We assume that we observe the process at discrete instants in time. The sampling times will be equidistant with vanishing distance.
van Es, Bert, Spreij, Peter
openaire   +2 more sources

Nonparametric estimation of multivariate density with direct and auxiliary data and application

Indian Journal of Pure and Applied Mathematics, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bandyopadhyay, Subhadip, Bose, Arup, Sengupta, Debasis   +2 more
openaire   +1 more source