메뉴 건너뛰기




Volumn 141, Issue 1, 2007, Pages 213-249

Local multiplicative bias correction for asymmetric kernel density estimators

Author keywords

Asymmetric kernel; Health insurance; Income distribution; Loss distribution; Semiparametric density estimation; Specification testing

Indexed keywords

HEALTH INSURANCE; MATHEMATICAL MODELS; SAMPLING;

EID: 34548671837     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.01.018     Document Type: Article
Times cited : (45)

References (44)
  • 2
    • 0001110699 scopus 로고
    • On bandwidth variation in kernel estimates-a square root law
    • Abramson I.S. On bandwidth variation in kernel estimates-a square root law. The Annals of Statistics 10 (1982) 1217-1223
    • (1982) The Annals of Statistics , vol.10 , pp. 1217-1223
    • Abramson, I.S.1
  • 3
    • 0030369366 scopus 로고    scopus 로고
    • Nonparametric pricing of interest rate derivative securities
    • Ai{dotless}̈t-Sahalia Y. Nonparametric pricing of interest rate derivative securities. Econometrica 64 (1996) 527-560
    • (1996) Econometrica , vol.64 , pp. 527-560
    • Aït-Sahalia, Y.1
  • 4
    • 0242670422 scopus 로고    scopus 로고
    • Continuous-time models of the spot interest rate
    • Ai{dotless}̈t-Sahalia Y. Continuous-time models of the spot interest rate. The Review of Financial Studies 9 (1996) 385-426
    • (1996) The Review of Financial Studies , vol.9 , pp. 385-426
    • Aït-Sahalia, Y.1
  • 5
    • 0000797991 scopus 로고
    • On some global measures of the deviations of density function estimates
    • Bickel P.J., and Rosenblatt M. On some global measures of the deviations of density function estimates. The Annals of Statistics 1 (1973) 1071-1095
    • (1973) The Annals of Statistics , vol.1 , pp. 1071-1095
    • Bickel, P.J.1    Rosenblatt, M.2
  • 7
    • 17444384527 scopus 로고    scopus 로고
    • Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data
    • Bouezmarni T., and Scaillet O. Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Econometric Theory 21 (2005) 390-412
    • (2005) Econometric Theory , vol.21 , pp. 390-412
    • Bouezmarni, T.1    Scaillet, O.2
  • 11
    • 34247111159 scopus 로고    scopus 로고
    • Measurement of inequality
    • Atkinson A., and Bourguignon F. (Eds), North-Holland, Amsterdam
    • Cowell F. Measurement of inequality. In: Atkinson A., and Bourguignon F. (Eds). Handbook of Income Distribution (1999), North-Holland, Amsterdam
    • (1999) Handbook of Income Distribution
    • Cowell, F.1
  • 12
    • 2542475361 scopus 로고    scopus 로고
    • Income distribution in Brazil 1981-1990: parametric and non-parametric approaches
    • Cowell F., Ferreira F., and Litchfield J. Income distribution in Brazil 1981-1990: parametric and non-parametric approaches. Journal of Income Distribution 8 (1998) 63-76
    • (1998) Journal of Income Distribution , vol.8 , pp. 63-76
    • Cowell, F.1    Ferreira, F.2    Litchfield, J.3
  • 13
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • Cox J.C., Ingersoll J.E., and Ross S.A. A theory of the term structure of interest rates. Econometrica 53 (1985) 385-408
    • (1985) Econometrica , vol.53 , pp. 385-408
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 14
    • 0001905231 scopus 로고    scopus 로고
    • The econometrics of ultra-high frequency data
    • Engle R.F. The econometrics of ultra-high frequency data. Econometrica 68 (2000) 1-22
    • (2000) Econometrica , vol.68 , pp. 1-22
    • Engle, R.F.1
  • 15
    • 0011062891 scopus 로고
    • Bootstrapping a consistent nonparametric goodness-of-fit test
    • Fan Y. Bootstrapping a consistent nonparametric goodness-of-fit test. Econometric Reviews 14 (1995) 367-382
    • (1995) Econometric Reviews , vol.14 , pp. 367-382
    • Fan, Y.1
  • 16
    • 0032342961 scopus 로고    scopus 로고
    • Goodness-of-fit tests based on kernel density estimators with fixed smoothing parameters
    • Fan Y. Goodness-of-fit tests based on kernel density estimators with fixed smoothing parameters. Econometric Theory 14 (1998) 604-621
    • (1998) Econometric Theory , vol.14 , pp. 604-621
    • Fan, Y.1
  • 17
    • 21144469140 scopus 로고
    • Variable bandwidth and local linear regression smoothers
    • Fan J., and Gijbels I. Variable bandwidth and local linear regression smoothers. The Annals of Statistics 20 (1992) 2008-2036
    • (1992) The Annals of Statistics , vol.20 , pp. 2008-2036
    • Fan, J.1    Gijbels, I.2
  • 19
    • 15944387432 scopus 로고    scopus 로고
    • Nonparametric specification tests for conditional duration models
    • Fernandes M., and Grammig J. Nonparametric specification tests for conditional duration models. Journal of Econometrics 127 (2005) 35-68
    • (2005) Journal of Econometrics , vol.127 , pp. 35-68
    • Fernandes, M.1    Grammig, J.2
  • 21
    • 34548702024 scopus 로고    scopus 로고
    • Gouriéroux, Ch., Jasiak, J., 2001. Local likelihood density estimation and value at risk. Discussion Paper CREST and CEPREMAP.
  • 22
  • 23
    • 0041757246 scopus 로고    scopus 로고
    • Local nonlinear least squares: using parametric information in nonparametric regression
    • Gozalo P., and Linton O.B. Local nonlinear least squares: using parametric information in nonparametric regression. Journal of Econometrics 99 (2000) 63-106
    • (2000) Journal of Econometrics , vol.99 , pp. 63-106
    • Gozalo, P.1    Linton, O.B.2
  • 24
    • 34548691043 scopus 로고    scopus 로고
    • Hagmann, M., Scaillet, O., 2003. Local multiplicative bias correction for asymmetric kernel density estimators. FAME Working Paper 91.
  • 25
    • 34548693672 scopus 로고    scopus 로고
    • Estimation of recovery rate densities: non-parametric and semi-parametric approaches versus industry practice
    • Resti A., Sironi A., and Altman E. (Eds), Risk Publications, London
    • Hagmann M., Renault O., and Scaillet O. Estimation of recovery rate densities: non-parametric and semi-parametric approaches versus industry practice. In: Resti A., Sironi A., and Altman E. (Eds). Recovery Risk: The Next Challenge in Credit Risk Management (2005), Risk Publications, London 323-346
    • (2005) Recovery Risk: The Next Challenge in Credit Risk Management , pp. 323-346
    • Hagmann, M.1    Renault, O.2    Scaillet, O.3
  • 26
    • 0001077759 scopus 로고
    • Nonparametric density estimation with a parametric start
    • Hjort N.L., and Glad I.K. Nonparametric density estimation with a parametric start. The Annals of Statistics 24 (1995) 882-904
    • (1995) The Annals of Statistics , vol.24 , pp. 882-904
    • Hjort, N.L.1    Glad, I.K.2
  • 27
    • 0030367069 scopus 로고    scopus 로고
    • Locally parametric nonparametric density estimation
    • Hjort N.L., and Jones M.C. Locally parametric nonparametric density estimation. The Annals of Statistics 24 (1996) 1619-1647
    • (1996) The Annals of Statistics , vol.24 , pp. 1619-1647
    • Hjort, N.L.1    Jones, M.C.2
  • 29
    • 0000362452 scopus 로고
    • Simple boundary correction for kernel density estimation
    • Jones M.C. Simple boundary correction for kernel density estimation. Statistics and Computing 3 (1993) 135-146
    • (1993) Statistics and Computing , vol.3 , pp. 135-146
    • Jones, M.C.1
  • 30
    • 21444452106 scopus 로고    scopus 로고
    • A simple nonnegative boundary correction method for kernel density estimation
    • Jones M.C., and Foster P. A simple nonnegative boundary correction method for kernel density estimation. Statistica Sinica 6 (1996) 1005-1013
    • (1996) Statistica Sinica , vol.6 , pp. 1005-1013
    • Jones, M.C.1    Foster, P.2
  • 31
    • 0000431859 scopus 로고
    • A simple but effective bias reduction method for density and regression estimation
    • Jones M.C., Linton O.B., and Nielsen J.P. A simple but effective bias reduction method for density and regression estimation. Biometrika 82 (1995) 327-338
    • (1995) Biometrika , vol.82 , pp. 327-338
    • Jones, M.C.1    Linton, O.B.2    Nielsen, J.P.3
  • 34
    • 34548692546 scopus 로고    scopus 로고
    • Linton, O.B., Pakes, A., 2001. Nonlinear estimators in econometrics, manuscript, London School of Economics and Political Science.
  • 35
    • 0030372807 scopus 로고    scopus 로고
    • Local likelihood density estimation
    • Loader C.R. Local likelihood density estimation. The Annals of Statistics 24 (1996) 1602-1618
    • (1996) The Annals of Statistics , vol.24 , pp. 1602-1618
    • Loader, C.R.1
  • 36
    • 0000423464 scopus 로고
    • Smooth optimum kernel estimators near endpoints
    • Müller H. Smooth optimum kernel estimators near endpoints. Biometrika 78 (1991) 520-521
    • (1991) Biometrika , vol.78 , pp. 520-521
    • Müller, H.1
  • 37
    • 6444225982 scopus 로고    scopus 로고
    • On the way to recovery: a nonparametric bias free estimation of recovery rate densities
    • Renault O., and Scaillet O. On the way to recovery: a nonparametric bias free estimation of recovery rate densities. Journal of Banking and Finance 28 (2004) 2915-2931
    • (2004) Journal of Banking and Finance , vol.28 , pp. 2915-2931
    • Renault, O.1    Scaillet, O.2
  • 39
    • 33748225489 scopus 로고
    • Remarks on some nonparametric estimates of a density function
    • Rosenblatt M. Remarks on some nonparametric estimates of a density function. The Annals of Mathematical Statistics 27 (1956) 642-669
    • (1956) The Annals of Mathematical Statistics , vol.27 , pp. 642-669
    • Rosenblatt, M.1
  • 40
    • 0842285869 scopus 로고    scopus 로고
    • Density estimation using inverse and reciprocal inverse Gaussian kernels
    • Scaillet O. Density estimation using inverse and reciprocal inverse Gaussian kernels. Journal of Nonparametric Statistics 16 (2004) 217-226
    • (2004) Journal of Nonparametric Statistics , vol.16 , pp. 217-226
    • Scaillet, O.1
  • 41
    • 84948304931 scopus 로고
    • Incorporating support constraints into nonparametric estimators of densities
    • Schuster E. Incorporating support constraints into nonparametric estimators of densities. Communications in Statistics: Theory and Methods (1985) 1123-1136
    • (1985) Communications in Statistics: Theory and Methods , pp. 1123-1136
    • Schuster, E.1
  • 43
    • 34548699140 scopus 로고    scopus 로고
    • Tyurin, K., 2003. Competing risks and the order flow dynamics in FOREX electronic brokerage. Discussion Paper, Indiana University.
  • 44
    • 0002644952 scopus 로고
    • Maximum likelihood estimation of misspecified models
    • White H. Maximum likelihood estimation of misspecified models. Econometrica 50 (1982) 1-26
    • (1982) Econometrica , vol.50 , pp. 1-26
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.