Asymmetric Kernel Smoothing : Theory and Applications in Economics and Finance. 1st ed. 2018
- 種類:
- 電子ブック
- 責任表示:
- by Masayuki Hirukawa
- 出版情報:
- Singapore : Springer Nature Singapore : Imprint: Springer, 2018
- 著者名:
- シリーズ名:
- JSS Research Series in Statistics ;
- ISBN:
- 9789811054662 [9811054665]
- 注記:
- 1. Asymmetric kernels: definition and history -- 2. Density estimation from nonnegative observations -- 3. Regression estimation with nonnegative regressors -- 4. Model specification tests -- 5. Asymmetric kernel smoothing in action: applications in economics and finance.
This is the first book to provide an accessible and comprehensive introduction to a newly developed smoothing technique using asymmetric kernel functions. Further, it discusses the statistical properties of estimators and test statistics using asymmetric kernels. The topics addressed include the bias-variance tradeoff, smoothing parameter choices, achieving rate improvements with bias reduction techniques, and estimation with weakly dependent data. Further, the large- and finite-sample properties of estimators and test statistics smoothed by asymmetric kernels are compared with those smoothed by symmetric kernels. Lastly, the book addresses the applications of asymmetric kernel estimation and testing to various forms of nonnegative economic and financial data. Until recently, the most popularly chosen nonparametric methods used symmetric kernel functions to estimate probability density functions of symmetric distributions with unbounded support. Yet many types of economic and financial data are nonnegative an - ローカル注記:
- 学内専用E-BOOKS (local access only)
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