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2002, Wiley series in probability and statistics, ISBN 0471411175, xiii, 203
Book
2006, 1. Aufl., Statistics in Practice, ISBN 0471469874, 241
This unique resource provides simulation techniques for financial risk managers ensuring you become well versed in many recent innovations, including Gibbs... 
Finance | Financial risk management | Simulation methods | Mathematics | Risk management
eBook
2013, Wiley handbooks in financial engineering and econometrics, ISBN 0470647159, xv, 412
Book
2013, Wiley handbooks in financial engineering and econometrics, ISBN 0470647159, xv, 412
Book
Statistica Sinica, ISSN 1017-0405, 2021
Journal Article
Statistica Sinica, ISSN 1017-0405, 2019
Journal Article
Journal of Time Series Analysis, ISSN 0143-9782, 10/2019
Journal Article
Journal of Econometrics, ISSN 0304-4076, 12/2018, Volume 207, Issue 2, pp. 307 - 324
Journal Article
Statistica Sinica, ISSN 1017-0405, 2020
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 10/2019, Volume 138, pp. 143 - 154
This paper studies the maximum likelihood estimation of nonlinear state space models. Particle Markov chain Monte Carlo method is introduced to implement the... 
Monte Carlo expectation maximization algorithm | Particle Markov chain Monte Carlo method | Nonlinear state space models | Sample size selection criterion | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | PARTICLE METHODS | STATISTICS & PROBABILITY | SIMULATION | Markov processes | Monte Carlo method | Models | Algorithms | Analysis
Journal Article
Statistica Sinica, ISSN 1017-0405, 2019, Volume 29, Issue 1, pp. 139 - 163
Prediction has long been a vibrant topic in modern probability and statistics. In addition to finding optimal forecasts and for model selection, it is argued... 
Mean squared prediction error | Quantum leap | Least squares predictor | Positive error | Extreme-value predictor | Nearly unstable process | least squares predictor | mean squared prediction error | MODELS | nearly unstable process | TIME-SERIES | STATISTICS & PROBABILITY | positive error | INFERENCE | quantum leap
Journal Article
Journal of Econometrics, ISSN 0304-4076, 12/2015, Volume 189, Issue 2, p. 285
  This paper develops a novel approach for estimating a threshold autoregressive (TAR) model with multiple-regimes and establishes its large sample properties.... 
Studies | Economic models | Parameter estimation | Simulation | Gross National Product--GNP | Regression analysis
Journal Article
Journal of Forecasting, ISSN 0277-6693, 08/2017, Volume 36, Issue 5, pp. 541 - 556
Journal Article
Economics Letters, ISSN 0165-1765, 01/2015, Volume 126, p. 43
  By allowing deviations from equilibrium to follow a fractionally integrated process, the notion of fractional cointegration analysis encompasses a wide range... 
Studies | Normal distribution | Time series | Cointegration analysis | Equilibrium | Asymptotic methods | Monte Carlo simulation
Journal Article
Economics letters, ISSN 0165-1765, 01/2015, Volume 126, pp. 43 - 46
By allowing deviations from equilibrium to follow a fractionally integrated process, the notion of fractional cointegration analysis encompasses a wide range... 
Journal Article
Journal of econometrics, ISSN 0304-4076, 02/2015, Volume 189, Issue 2, pp. 285 - 285
This paper develops a novel approach for estimating a threshold autoregressive (TAR) model with multiple-regimes and establishes its large sample properties.... 
United States--US
Journal Article
Annals of the Institute of Statistical Mathematics, ISSN 0020-3157, 07/2019
Journal Article
中国科学:数学英文版, ISSN 1674-7283, 2017, Volume 60, Issue 5, pp. 875 - 896
An adaptive local smoothing method for nonpaxametric conditional quantile regression models is considered in this paper. Theoretical properties of the... 
回归模型 | 平滑方法 | 分位数回归 | 选择算法 | 风险 | 条件分位数 | 空间自适应 | 自适应带宽 | robustness | adaptive smoothing | risk bounds | automatic bandwidths | conditional quantile | MATHEMATICS, APPLIED | NONPARAMETRIC REGRESSION | CONSTANT | MATHEMATICS | KERNEL | ESTIMATORS | WAVELET SHRINKAGE | POINTS
Journal Article
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