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Semi-Parametric Estimation of Portfolio Large Losses
SSRN Electronic Journal, 2011Although multi-asset portfolios are central in modern finance, the multivariate statistical estimation involved in portfolio selection and management is not an easy task. This article focuses on the problem of estimating the probability of multi-asset portfolio large losses.
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Semi parametric estimation of employment duration models
Econometric Reviews, 1987Semi parametric methods provide estimates of finite parameter vectors without requiring that the complete data generation process be assumed in a finite-dimensional family. By avoiding bias from incorrect specification, such estimators gain robustness, although usually at the cost of decreased precision.
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Semi-Parametric Estimation of a Logit Model [PDF]
, 2000 In this paper, I develop an estimator for a semi-parametric logit model based on a kernel-weighted average of pairwise conditional logit terms. Then I demonstrate consistency, asymptotic normality, and consistent asymptotic covariance matrix estimation for this estimator using results for sequences of $U$-statistic.
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Semi-parametric estimation of incubation and generation times by means of Laguerre polynomials
Journal of Nonparametric Statistics, 2022Íngrid van Keilegom
exaly
Error-Bars in Semi-Parametric Estimation
ImPhys/Imaging ...Van Ormondt, D. (author) +3 more
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Density estimation using non-parametric and semi-parametric mixtures
Statistical Modelling, 2012Chew-Seng Chee
exaly
Estimation in semi-parametric regression with non-stationary regressors
Bernoulli, 2012Degui Li, Jití Gao, Jia Chen
exaly