Browsing by Subject "Bootstrap"
Now showing items 1-5 of 5
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Bootstrap of Kernel Smoothing in Quantile Autoregression Process
(Journal of Statistical and Econometric Methods, 2013)The paper considers the problem of bootstrapping kernel estimator of conditional quantiles for time series, under independent and identically distributed errors, by mimicking the kernel smoothing in nonparametric autoregressive ... -
Bootstrap Uniform Confidence Bands for A Local Linear Nonparametric Estimator and Applications to Financial Risk Management
(2012)This paper considers the problem of bootstrapping a local linear estimator in conditional quantile estimation of a financial time series assuming independent and identically distributed errors. A nonparametric ... -
Nonparametric Prediction Interval for Conditional Expected Shortfall Admitting a Location-Scale Model using Bootstrap Method
(MksU Press, 2021-06)In financial risk management, the expected shortfall is a popular risk measure which is often considered as an alternative to Value-at-Risk. It is defined as the conditional expected loss given that the loss is greater ... -
Nonparametric Prediction Interval for Conditional Expected Shortfall Admittinga Location-Scale Model using Bootstrap Method
(Machakos University, 2019-04)Infinancialriskmanagement,theexpectedshortfallisapopularriskmeasurewhichisoften considered as an alternative to Value-at-Risk. It is defined as the conditional expected loss given that the loss is greater than a given ... -
A residual-based bootstrap for functional autoregressions
(arXiv preprint, 2019)We consider the residual-based or naive bootstrap for functional autoregressions of order 1 and prove that it is asymptotically valid for, e.g., the sample mean and for empirical covariance operator estimates. As a crucial ...
