Gradient-based bandwidth selection for estimating average derivatives
DOI10.1016/J.ECONLET.2015.12.005zbMATH Open1398.62312OpenAlexW2231913150MaRDI QIDQ1668136FDOQ1668136
Authors: Cong Li, Yanfei Wang 
Publication date: 3 September 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2015.12.005
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Nonparametric estimation (62G05) Density estimation (62G07) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Empirical-Bias Bandwidths for Local Polynomial Nonparametric Regression and Density Estimation
- Locally-weighted regression: an approach to regression analysis by local fitting
- Bandwidth Choice for Average Derivative Estimation
- Multivariate local polynomial regression for estimating average derivatives
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- Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters
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Cited In (7)
- Robust data-driven inference for density-weighted average derivatives
- Computation and application of robust data-driven bandwidth selection for gradient function estimation
- Smoothness adaptive average derivative estimation
- Nonparametric estimation of single-index models in scale-space
- A critical review of univariate non-parametric estimation of first derivatives
- How sensitive are average derivatives?
- Bandwidth Choice for Average Derivative Estimation
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