References of "Von Sachs, Rainer"
     in
Bookmark and Share    
Full Text
Peer Reviewed
See detailMultivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations
Cosma, Antonio UL; Scaillet, Olivier; Von Sachs, Rainer

in Bernoulli (2007), 13(2), 301-329

We present a new approach on shape preserving estimation of probability distribution and density functions using wavelet methodology for multivariate dependent data. Our estimators preserve shape ... [more ▼]

We present a new approach on shape preserving estimation of probability distribution and density functions using wavelet methodology for multivariate dependent data. Our estimators preserve shape constraints such as monotonicity, positivity and integration to one, and allow for low spatial regularity of the underlying functions. As important application, we discuss conditional quantile estimation for financial time series data. We show that our methodology can be easily implemented with B-splines, and performs well in a finite sample situation, through Monte Carlo simulations. [less ▲]

Detailed reference viewed: 117 (8 UL)