Qualitative and asymptotic performance of SNP density estimators

DOI10.1016/0304-4076(95)01752-6zbMath0866.62078OpenAlexW2022884727MaRDI QIDQ1126496

Victor M. Fenton, A. Ronald Gallant

Publication date: 8 December 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01752-6

zbMATH Keywords

convergence ratesMonte Carlo simulationdensity estimationkernel estimatorSNP estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Related Items

Consistent estimator for basis selection based on a proxy of the Kullback-Leibler distance, Semi-nonparametric estimation of binary response models with an application to natural resource valuation, Estimating continuous-time stochastic volatility models of the short-term interest rate, Estimation of stochastic volatility models with diagnostics, Volume, volatility, and leverage: A dynamic analysis, “Smooth” Semiparametric Regression Analysis for Arbitrarily Censored Time-to-Event Data, Asymptotic and qualitative performance of non-parametric density estimators: a comparative study, Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale, Uniform convergence rate of the seminonparametric density estimator and testing for similarity of two unknown densities, Model averaging quantiles from data censored by a limit of detection, Gram–Charlier densities: a multivariate approach, The relative efficiency of method of moments estimators, Semi-nonparametric estimation of secret reserve prices in auctions, A practical guide to compact infinite dimensional parameter spaces, Cross-validated SNP density estimates, Generalized Linear Latent Variable Models with Flexible Distribution of Latent Variables

Uses Software

• NPSOL

Cites Work

• Semi-Nonparametric Maximum Likelihood Estimation
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
• Approximation of least squares regression on nested subspaces
• Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards \(F\) test truncation rule
• On the asymptotic normality of Fourier flexible form estimates
• Exact mean integrated squared error
• Estimating the dimension of a model
• Nonparametric estimation of structural models for high-frequency currency market data
• Progress in data-based bandwidth selection for kernel density estimation
• Fitting autoregressive models for prediction
• Nonlinear Dynamic Structures
• Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
• A More Portable Fortran Random Number Generator
• The nonlinear mixed effects model with a smooth random effects density
• Generalized Predictive Tests and Structural Change Analysis in Econometrics
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Convergence Rates of SNP Density Estimators
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item