Analysis of least squares regression estimates in case of additional errors in the variables

DOI10.1016/J.JSPI.2010.05.031zbMath1197.62036OpenAlexW1964098174MaRDI QIDQ710765

Michael Kohler, Andreas Fromkorth

Publication date: 22 October 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.05.031

zbMATH Keywords

rate of convergenceconsistencyAmerican optionserrors in variablesleast squares estimatesregression-based Monte Carlo methods

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Related Items (3)

Estimation of conditional distribution functions from data with additional errors applied to shape optimization ⋮ Fixed-design regression estimation based on real and artificial data ⋮ ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
• Analysis of the rate of convergence of least squares neural network regression estimates in case of measurement errors
• Monte Carlo algorithms for optimal stopping and statistical learning
• A practical guide to splines
• Nonparametric regression with errors in variables
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Optimal global rates of convergence for nonparametric regression
• A distribution-free theory of nonparametric regression
• A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
• A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
• Nonparametric regression with additional measurement errors in the dependent variable
• PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
• Nonparametric Regression Estimation in the Heteroscedastic Errors-in-Variables Problem
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Nonparametric regression in the presence of measurement error
• A Design-Adaptive Local Polynomial Estimator for the Errors-in-Variables Problem
• Instrumental Variable Treatment of Nonclassical Measurement Error Models
• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• Convergence of stochastic processes

This page was built for publication: Analysis of least squares regression estimates in case of additional errors in the variables