Multivariate wavelet-based shape-preserving estimation for dependent observations

DOI10.3150/07-BEJ5066MaRDI QIDQ2465264zbMATH OpenOpenAlexFDO

Authors Antonio Cosma, Rainer von Sachs, Olivier Scaillet

Publication date 9 January 2008

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/07-bej5066

zbMATH Keywords

B-splinesconditional quantilemultivariate processshape preserving wavelet estimationtime series

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for wavelets (65T60)

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Cited in

(11)

• Flexible modeling based on copulas in nonparametric median regression
• Box dimension estimation of multi-dimensional random fields via wavelet shrinkage
• Shape-preserving wavelet-based multivariate density estimation
• Shape-restricted inference for Lorenz curves using duality theory
• Copula Density Estimation Using Multiwavelets Based on the Multiresolution Analysis
• Nonparametric estimation of conditional VaR and expected shortfall
• Conditional value-at-risk: semiparametric estimation and inference
• A smoothing stochastic algorithm for quantile estimation
• Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
• NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
• Conditional VAR and expected shortfall: a new functional approach

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