Multivariate nonparametric regression and visualization. With R and applications to finance

MaRDI QIDQ5405853zbMATH OpenFDO

Authors Jussi Klemelä

Publication date 3 April 2014

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Nonparametric finance
• Statistical models and methods for financial markets
• scientific article; zbMATH DE number 2104240
• Statistics and Data Analysis for Financial Engineering
• Introduction to Nonparametric Regression

Cited in

(11)

• The dependent Dirichlet process and related models
• Computational analysis of the behavior of stochastic volatility models with financial applications
• On optimal estimates of random variables
• Convergence rates for kernel regression in infinite-dimensional spaces
• A kernel regression procedure in the 3D shape space with an application to online sales of children's wear
• A new test of independence for bivariate observations
• Nonparametric finance
• Conditional central limit theorem
• The regression curve estimation by using mixed smoothing spline and kernel (MsS-K) model
• A scale space approach for estimating the characteristic feature sizes in hierarchical signals
• Nonparametric volatility prediction

Describes a project that uses

Uses Software

• R

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