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Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation [PDF]

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Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of ...
Volker Krätschmer   +2 more
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Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): Nonlinear Statistical Modeling (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.) [PDF]

open access: yes
We establish valid theoretical and empirical Edgeworth expansions for density-weighted averaged derivative estimates of semiparametric index models.Edgeworth expansions, semiparametric estimates, averaged ...
Y Nishiyama, Peter M Robinson
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Difference based Ridge and Liu type Estimators in Semiparametric Regression Models [PDF]

open access: yes
We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the partial linear semiparametric regression model, y = Xβ + f + ε.
Wolfgang Karl Härdle   +2 more
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