The Art Of Semiparametrics
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The Art Of Semiparametrics
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Author : Stefan Sperlich
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-07-25
The Art Of Semiparametrics written by Stefan Sperlich and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-25 with Mathematics categories.
This selection of articles emerged from different works presented "The Art of Semiparametrics" conference in 2003 in Berlin. It offers a collection of individual works that together show the large spectrum of semiparametric statistics. The book combines theoretical contributions with more applied and empirical studies. Although each article represents an original contribution to its own field, all are written in a self-contained way that may be read by non-experts.
Semiparametric Regression
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Author : David Ruppert
language : en
Publisher: Cambridge University Press
Release Date : 2003-07-14
Semiparametric Regression written by David Ruppert and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-07-14 with Mathematics categories.
Even experts on semiparametric regression should find something new here.
Econometric Analysis Of Volatile Art Markets
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Author : Fabian Y. R. P. Bocart
language : en
Publisher:
Release Date : 2011
Econometric Analysis Of Volatile Art Markets written by Fabian Y. R. P. Bocart and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is applied to a blue chips art market. A nonparametric local likelihood estimator is proposed, and this is more precise than the often used dummy variables method. The empirical analysis reveals that errors are considerably non-Gaussian, and that a student distribution with time-varying scale and degrees of freedom does well in explaining deviations of prices from their expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock indices. -- Volatility ; art markets ; hedonic regression ; semiparametric estimation
Semiparametric Modeling Of Implied Volatility
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Author : Matthias R. Fengler
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-19
Semiparametric Modeling Of Implied Volatility written by Matthias R. Fengler and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-12-19 with Business & Economics categories.
This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.
Semiparametric Minimum Distance Estimation
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Author : Lung-fei Lee
language : en
Publisher:
Release Date : 1991
Semiparametric Minimum Distance Estimation written by Lung-fei Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Bayesian Non And Semi Parametric Methods And Applications
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Author : Peter Rossi
language : en
Publisher: Princeton University Press
Release Date : 2014-04-27
Bayesian Non And Semi Parametric Methods And Applications written by Peter Rossi and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-04-27 with Business & Economics categories.
This book reviews and develops Bayesian non-parametric and semi-parametric methods for applications in microeconometrics and quantitative marketing. Most econometric models used in microeconomics and marketing applications involve arbitrary distributional assumptions. As more data becomes available, a natural desire to provide methods that relax these assumptions arises. Peter Rossi advocates a Bayesian approach in which specific distributional assumptions are replaced with more flexible distributions based on mixtures of normals. The Bayesian approach can use either a large but fixed number of normal components in the mixture or an infinite number bounded only by the sample size. By using flexible distributional approximations instead of fixed parametric models, the Bayesian approach can reap the advantages of an efficient method that models all of the structure in the data while retaining desirable smoothing properties. Non-Bayesian non-parametric methods often require additional ad hoc rules to avoid "overfitting," in which resulting density approximates are nonsmooth. With proper priors, the Bayesian approach largely avoids overfitting, while retaining flexibility. This book provides methods for assessing informative priors that require only simple data normalizations. The book also applies the mixture of the normals approximation method to a number of important models in microeconometrics and marketing, including the non-parametric and semi-parametric regression models, instrumental variables problems, and models of heterogeneity. In addition, the author has written a free online software package in R, "bayesm," which implements all of the non-parametric models discussed in the book.
Survival Analysis State Of The Art
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Author : John P. Klein
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Survival Analysis State Of The Art written by John P. Klein and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
Survival analysis is a highly active area of research with applications spanning the physical, engineering, biological, and social sciences. In addition to statisticians and biostatisticians, researchers in this area include epidemiologists, reliability engineers, demographers and economists. The economists survival analysis by the name of duration analysis and the analysis of transition data. We attempted to bring together leading researchers, with a common interest in developing methodology in survival analysis, at the NATO Advanced Research Workshop. The research works collected in this volume are based on the presentations at the Workshop. Analysis of survival experiments is complicated by issues of censoring, where only partial observation of an individual's life length is available and left truncation, where individuals enter the study group if their life lengths exceed a given threshold time. Application of the theory of counting processes to survival analysis, as developed by the Scandinavian School, has allowed for substantial advances in the procedures for analyzing such experiments. The increased use of computer intensive solutions to inference problems in survival analysis~ in both the classical and Bayesian settings, is also evident throughout the volume. Several areas of research have received special attention in the volume.
Life Distributions
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Author : Albert W. Marshall
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-10-13
Life Distributions written by Albert W. Marshall and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-10-13 with Technology & Engineering categories.
This book is devoted to the study of univariate distributions appropriate for the analyses of data known to be nonnegative. The book includes much material from reliability theory in engineering and survival analysis in medicine.
Statistical Inference For Ergodic Diffusion Processes
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Author : Yury A. Kutoyants
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Statistical Inference For Ergodic Diffusion Processes written by Yury A. Kutoyants and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.
Longitudinal Data Analysis
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Author : Garrett Fitzmaurice
language : en
Publisher: CRC Press
Release Date : 2008-08-11
Longitudinal Data Analysis written by Garrett Fitzmaurice and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-08-11 with Mathematics categories.
Although many books currently available describe statistical models and methods for analyzing longitudinal data, they do not highlight connections between various research threads in the statistical literature. Responding to this void, Longitudinal Data Analysis provides a clear, comprehensive, and unified overview of state-of-the-art theory
