Browsing School of Pure and Applied Sciences by Subject "Nonparametric Estimation"
Now showing items 1-2 of 2
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Nonparametric Estimation of the Error Functional of a Location-Scale Model
(Scienpress Ltd, 2018-10-01)Two estimators of the distribution of the error term are proposed based on nonparametric regression residuals; considering a heteroscadastic location-scale model where the mean and variance functions are smooth, and the ... -
A Three-Step Nonparametric Estimation of Conditional Value-At-Risk Admitting a Location-Scale Model
(Journal of Statistical and Econometric Methods, 2019)Financial institutions owners and regulators are concerned majorly about risk analysis, Value-at-Risk (VaR) is one of the most popular and common measures of risk used in finance, measures the down-side risk and is ...
