Reference : Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations
Scientific journals : Article
Business & economic sciences : Quantitative methods in economics & management
http://hdl.handle.net/10993/4450
Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations
English
Cosma, Antonio mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Scaillet, Olivier [Université de Genève - UNIGE and Swiss Finance Institute > HEC Genève]
Von Sachs, Rainer [Université Catholique de Louvain - UCL > Institut de Statistique]
2007
Bernoulli
Chapman & Hall
13
2
301-329
Yes
1350-7265
London
UK
[en] Conditional quantile ; time series ; shape preserving wavelet estimation ; B-splines ; multivariate process
[en] 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.
http://hdl.handle.net/10993/4450
http://www.swissfinanceinstitute.ch/rp144.pdf

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